6) Look up the maximum portfolio allocation for the trade, then calculate how much to put into the trade. (See the "Portfolio Allocation" column in the "Latest Signals & Results" table.) I may scale into the position by allocating half of the maximum allocation on the entry date, then adding the remainder one week or more later if the trade has shown a profit (with the second entry based on the price action).

7) Find an appropriate security for the trade. I mostly use Exchange Traded Funds. I like to frequently check this regularly updated ETFs list at retired Royal Bank of Canada analyst Don Vialoux's excellent technical analysis website DVTechTalk.com.

8) Execute the trade for the open of that day.

9) Look up the stop level for the setup (see the stop column in the "Latest Signals & Results" table). This is the point where I'd sell in the event of a loss.

10) Relax and do other stuff for 10,055 minutes, until the next COTs Report.

Highly Correlated Markets Table
S&P 500: Dow Jones industrials
Dow Jones industrials: BKX Banks Index, S&P 500
NASDAQ 100: n/a
BKX Bank Index: Dow Jones industrials
Nikkei: n/a
Natural gas: n/a
Gold, copper, silver, platinum, heating oil, crude oil (all highly correlated with each other)

Notes:
1) I defined markets as "highly correlated" when their weekly open prices have greater than 0.85 correlation between March 1995 (the start of the combined futures and options Commitments of Traders data) and the end of 2007 (the end of my test data).

2) Markets like the Nikkei and NASDAQ 100 that have the notation "n/a" aren't highly correlated with any other market. These uncorrelated markets are useful for building diversity into my portfolio.

3) No trade will be taken in the case of an equal number of long and short setups in highly correlated markets.