Your comment reminds me of one of the better known of these S&P system day-traders.


He had, maybe, two or three coefficients on his breakout system. He'd buy when the market got to X times the previous day's high plus, like, Y times the previous day's low, plus like Z times the close minus the low - or something.


He eventually got to so many millions of dollars he had to move in and out of the market when these numbers crossed, that the best he could try to do was try to get his position to match his "theoretical" within a five-minute window.


Needless to say, his returns flattened out. But he still didn't lose money.


leroy