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Largest losing trade is bigger than the largest winning trade. This suggests that the strategy does not use any pre-determined stops. There is a small possibility of getting wiped out by a 6-sigma event.

There is no lock-up period for the 31,250,000 shares offered in this IPO. The 180-day lock-up only applies to the existing common stock that are currenly held privately. From the prospectus: Prior to this offering, there was no public market for our common stock. Upon completion of the...

It looks like your system is slightly over-optimized with the newer data. However, since it still backtested with a profit with out-of-sample data from '03 and '04, I would guess that the system is reasonably robust. If I were you, I'd try to see how I could tweak the system parameters slightly...

:eek: