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Mike - possibly a dumb question: Are you accounting for comissions? Asking because today I was happy with some backtesting results just to find out I had forgotten the comissh... :-) argh... back to the drawing board.
Can you help answer these questions from other members on NexusFi?
Also, having read this thread, I would like to add that I would never trust a backtest run on anything less that 3 years of data. Personally, I backtest on 11 years of tick-level ES data. Also, a thorough test of any system absolutely requires forward testing as well as Monte Carlo analysis.
Having said that, the system results look incredible! If you'd like me to backtest & Monte Carlo the system, I'd be more than happy to, just send me the strategy...(Yeah, I know, no chance in hell! )
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