here you go, added stops, take profit, money management and the system has improved slightly. A little alarming too high 'MAR" и "Annual Sharpe". Probably, because the system is too short-term, I haven’t had such. It is interesting that the system manifests itself best of all in low volatility years., when long-term trend-following systems merge, and vice versa, in high-volatility years it stutters or goes into a small drawdown.
Test with 2005 years with reinvestment.
Portfolio of 20 futures, evenly diversified by sector.
slippage $44 + $7 commission = $51 per circle.
Risk per trade 2% from the deposit.
