This is my history in US:
1998 as J1 student 118 days
1999 as J1 Summer Travel or Work 87 days
2000 as J1 Summer Travel or Work 68 days
2003 as B1 visitor 8 days
2003 as F1 student 152 days
2004 as F1 student 349 days
2005 as F1 student 271 days
2005 as H1B Employee 92 days

As I see it I should be exempt individual for 1998, 2003, 2004 and part of 2005 that I was a student. That leads me to conclusion that I do not meet substantial presence test and I am nonresident alien.
Is that right?

If yes, I bought house, relocated for the job and made some invesment losses - can I use them to decrease my taxes? I know that residents can but I am totally confused about non-residents.

Thanks

Yes, In my opinion, you are still a non-resident alien.

You have the option of filing as a non-resident alien or, you can file as a resident alien by waiting to file in June 2006 under First Year Choice. This is my recommended option.

As a non-resident alien, you can claim moving expenses (Form 3903) and you can deduct investment losses (Schedule D), but you cannot deduct mortgage interest or real estate taxes. These last two deductions are rather significant, so it would probably be worth it for you to wait and file as a resident alien.