I roll my own back testing software.
Sadly this system has 31% losing months, so is not the holy grail.
The Sharpe ratio, is 'just' 1.7. Not 3+, which would be the holy grail.
But yes in periods where it prints money it feels like the holy grail. eg When it is on a big winning streak.
I have to be selective with the trades i take and only trade RTH. Also if i could trade 22 hours per day the Sharpe ratio of this system would rise above 3.0 and then i really would have the holy grail. But sadly i have not found a system that good.
