All, I'm frustrated. I backtested and optimized a very simple system in AB as following. (buy highest ROC gainer of the last 3 days and some additional fringe conditions; exit is 2% trailing stop, applied immediately) PositionSize=-20;
SetTradeDelays(1,1,1,1); Buy= ROC(Close,3)>Percentile(ROC(Close,55),100,99) AND Close>MA (Close,150)AND Volume > Percentile( Volume, 100, 90 ) AND Volume > 100000 AND Close<5 ; Sell=0; ApplyStop(2,1,2,1,False,0); It looked just great from the numbers when backtesting over the last 5 years: CAR~170% MaxSystemDD=4.3%, number of trades >1000 However, when I bought stocks at the next day's opening, I only had losers and got stopped out. Where does the difference between the as- is and to-be come from? Thanks, Samantha
