What accounts for this is market manipulation, you can apply optimization and backtesting, you can fit the best model but at the end of the day market makers and banks have the enfluence over price and they will "blow you up" as you say...guess I would call it ...shake you down.
Letter to the SEC
For account ##### under my name ###### on November 20, 2008 Interactive Brokers (IB)(Timber Hill) was acting as my broker-dealer/execution provider for trades in Citigroup (C). I was holding roughly 15,000 shares Citigroup @ an average price of 4.80-4.90. I was prompted...