If you come up with a new algorithm based on a new indicator (similar to RSI, moving average in technical analysis, but new!), what would you do? patent? write an academic paper?

ehm, trade it?

QuoteOriginally posted by: Lepperbeehm, trade it?Seriously, I did some back test on my algorithm and the result is as follows.************************************Details of the strategies:Buy at 80.45 on 2006-06-13.Sell at 82.2 on 2006-06-16, with profit (loss) = 1.75, or 2.17526 %.Buy at 80.9 on 2006-06-21.Sell at 82 on 2006-06-22, with profit (loss) = 1.1, or 1.3597 %.Buy at 80.2 on 2006-06-23.Sell at 82.8 on 2006-06-30, with profit (loss) = 2.6, or 3.2419 %.Buy at 81 on 2006-07-14.Sell at 82.05 on 2006-07-19, with profit (loss) = 1.05, or 1.2963 %.Buy at 80.75 on 2006-07-19.Sell at 83.05 on 2006-07-20, with profit (loss) = 2.3, or 2.8483 %.************************************Buy at 26.3 on 2006-06-09.Sell at 28 on 2006-07-27, with profit (loss) = 1.7, or 6.46388 %.Buy at 26.75 on 2006-08-24.Sell at 27.05 on 2006-11-07, with profit (loss) = 0.3, or 1.1215 %.************************************Buy at 34.1 on 2006-06-01.Sell at 36.8 on 2006-07-25, with profit (loss) = 2.7, or 7.91789 %.************************************Buy at 5.1 on 2004-10-08.Sell at 5.05 on 2005-07-13, with profit (loss) = -0.05, or -0.980392 %.Buy at 4.825 on 2005-09-22.Sell at 5.15 on 2005-10-03, with profit (loss) = 0.325, or 6.73575 %.Buy at 4.85 on 2005-10-12.Sell at 5.1 on 2005-11-28, with profit (loss) = 0.25, or 5.15464 %.Buy at 4.8 on 2005-12-06.Sell at 5.05 on 2006-01-13, with profit (loss) = 0.25, or 5.20833 %.Buy at 4.925 on 2006-05-18.Sell at 5.15 on 2006-06-20, with profit (loss) = 0.225, or 4.56853 %.Buy at 5 on 2006-07-11.Sell at 5.01 on 2006-11-08, with profit (loss) = 0.01, or 0.2 %.Buy at 4.86 on 2006-12-01.Closing price is 4.66************************************Buy at 102.9 on 2005-10-06.Sell at 103.1 on 2006-11-10, with profit (loss) = 0.2, or 0.194363 %.************************************Buy at 35.6 on 2005-01-20.Sell at 36.6 on 2005-06-24, with profit (loss) = 1, or 2.80899 %.Buy at 35.45 on 2005-07-08.Sell at 36.7 on 2005-07-12, with profit (loss) = 1.25, or 3.52609 %.Buy at 36.1 on 2005-10-12.Sell at 36.45 on 2005-12-16, with profit (loss) = 0.35, or 0.969529 %.Buy at 38.4 on 2006-06-08.Sell at 38.9 on 2006-06-16, with profit (loss) = 0.5, or 1.30208 %.Buy at 38.05 on 2006-06-20.Sell at 38.85 on 2006-06-22, with profit (loss) = 0.8, or 2.1025 %.Buy at 38.1 on 2006-06-23.Sell at 38.85 on 2006-06-27, with profit (loss) = 0.75, or 1.9685 %.Buy at 38.4 on 2006-06-28.Sell at 39.05 on 2006-06-29, with profit (loss) = 0.65, or 1.69271 %.Buy at 38.4 on 2006-07-17.Sell at 38.95 on 2006-07-20, with profit (loss) = 0.55, or 1.43229 %.************************************Buy at 73.25 on 2006-02-14.Sell at 74.4 on 2006-02-21, with profit (loss) = 1.15, or 1.56997 %.Buy at 73.4 on 2006-02-22.Sell at 74.15 on 2006-02-23, with profit (loss) = 0.75, or 1.0218 %.Buy at 73.3 on 2006-03-01.Sell at 74 on 2006-03-20, with profit (loss) = 0.7, or 0.95498 %.Buy at 73.45 on 2006-03-21.Sell at 73.8 on 2006-04-07, with profit (loss) = 0.35, or 0.476515 %.Buy at 73.2 on 2006-04-07.Sell at 73.95 on 2006-04-19, with profit (loss) = 0.75, or 1.02459 %.Buy at 73.15 on 2006-05-15.Sell at 73.3 on 2006-08-03, with profit (loss) = 0.15, or 0.205058 %.Buy at 72.65 on 2006-08-03.Sell at 73.2 on 2006-08-14, with profit (loss) = 0.55, or 0.757054 %.Buy at 72.6 on 2006-08-24.Sell at 72.25 on 2006-11-14, with profit (loss) = -0.35, or -0.482094 %.Buy at 71.7 on 2006-11-14.Sell at 72.3 on 2006-11-15, with profit (loss) = 0.6, or 0.83682 %.Buy at 71.8 on 2006-11-15.Sell at 72.4 on 2006-11-16, with profit (loss) = 0.6, or 0.835655 %.Buy at 71.85 on 2006-11-16.Sell at 72.25 on 2006-11-17, with profit (loss) = 0.4, or 0.556715 %.Buy at 71.75 on 2006-11-17.Sell at 72.15 on 2006-11-22, with profit (loss) = 0.4, or 0.557491 %.Buy at 71.6 on 2006-11-28.Sell at 72.3 on 2006-11-29, with profit (loss) = 0.7, or 0.977654 %.Buy at 71.9 on 2006-12-01.Sell at 72.45 on 2006-12-04, with profit (loss) = 0.55, or 0.764951 %.************************************Buy at 70.75 on 2005-03-29.Sell at 73.25 on 2005-04-25, with profit (loss) = 2.5, or 3.53357 %.Buy at 73.4 on 2005-10-27.Sell at 75.05 on 2005-11-21, with profit (loss) = 1.65, or 2.24796 %.Buy at 73.9 on 2005-11-30.Sell at 75.05 on 2005-12-02, with profit (loss) = 1.15, or 1.55616 %.Buy at 73.95 on 2005-12-08.Sell at 75.25 on 2005-12-15, with profit (loss) = 1.3, or 1.75794 %.Buy at 78 on 2006-06-08.Sell at 78.8 on 2006-06-30, with profit (loss) = 0.8, or 1.02564 %.Buy at 77.7 on 2006-07-06.Sell at 79.05 on 2006-07-06, with profit (loss) = 1.35, or 1.73745 %.Buy at 77.85 on 2006-07-13.Sell at 79.15 on 2006-07-20, with profit (loss) = 1.3, or 1.66988 %.************************************Buy at 7.15 on 2005-01-21.Sell at 7.7 on 2005-01-25, with profit (loss) = 0.55, or 7.69231 %.Buy at 10.8 on 2006-06-08.Sell at 11.2 on 2006-06-09, with profit (loss) = 0.4, or 3.7037 %.Buy at 10.9 on 2006-06-12.Sell at 11.05 on 2006-06-15, with profit (loss) = 0.15, or 1.37615 %.************************************Buy at 11.4 on 2005-01-05.Sell at 12 on 2005-02-21, with profit (loss) = 0.6, or 5.26316 %.Buy at 11.4 on 2005-03-04.Sell at 11.85 on 2005-04-28, with profit (loss) = 0.45, or 3.94737 %.Buy at 11.5 on 2005-05-13.Sell at 11.75 on 2005-07-13, with profit (loss) = 0.25, or 2.17391 %.Buy at 11.65 on 2005-10-19.Sell at 11.85 on 2005-11-24, with profit (loss) = 0.2, or 1.71674 %.Buy at 11.55 on 2005-11-25.Sell at 11.85 on 2005-12-01, with profit (loss) = 0.3, or 2.5974 %.************************************Buy at 21.15 on 2005-10-06.Sell at 22.45 on 2006-01-12, with profit (loss) = 1.3, or 6.14657 %.Buy at 21.7 on 2006-06-13.Sell at 23.2 on 2006-06-30, with profit (loss) = 1.5, or 6.91244 %.Buy at 22.05 on 2006-07-14.Sell at 22.95 on 2006-07-20, with profit (loss) = 0.9, or 4.08163 %.************************************Buy at 13.1 on 2004-09-28.Sell at 14.35 on 2004-12-03, with profit (loss) = 1.25, or 9.54198 %.Buy at 13.8 on 2005-03-04.Sell at 14.3 on 2005-03-09, with profit (loss) = 0.5, or 3.62319 %.Buy at 14.05 on 2005-05-25.Sell at 14.4 on 2005-07-15, with profit (loss) = 0.35, or 2.4911 %.Buy at 14.1 on 2005-08-12.Sell at 14.45 on 2005-08-18, with profit (loss) = 0.35, or 2.48227 %.Buy at 14.15 on 2005-08-18.Sell at 14.4 on 2005-08-31, with profit (loss) = 0.25, or 1.76678 %.Buy at 14.05 on 2005-09-01.Sell at 14.05 on 2006-01-04, with profit (loss) = 0, or 0 %.Buy at 13.85 on 2006-01-23.Sell at 14.15 on 2006-01-26, with profit (loss) = 0.3, or 2.16606 %.Buy at 13.95 on 2006-02-03.Sell at 14.1 on 2006-02-14, with profit (loss) = 0.15, or 1.07527 %.Buy at 13.7 on 2006-03-08.Sell at 14.05 on 2006-04-06, with profit (loss) = 0.35, or 2.55474 %.Buy at 13.95 on 2006-04-06.Sell at 14.05 on 2006-06-09, with profit (loss) = 0.1, or 0.716846 %.Buy at 13.75 on 2006-06-13.Sell at 13.85 on 2006-07-12, with profit (loss) = 0.1, or 0.727273 %.Buy at 13.75 on 2006-07-13.Sell at 13.82 on 2006-07-26, with profit (loss) = 0.07, or 0.509091 %.************************************Buy at 51.9 on 2005-11-16.Sell at 55.05 on 2005-11-23, with profit (loss) = 3.15, or 6.06936 %.Buy at 55.8 on 2006-06-13.Sell at 58.4 on 2006-06-16, with profit (loss) = 2.6, or 4.6595 %.************************************Buy at 2.65 on 2004-05-10.Sell at 3.15 on 2004-07-21, with profit (loss) = 0.5, or 18.8679 %.Buy at 2.75 on 2004-08-16.Sell at 3.125 on 2004-09-20, with profit (loss) = 0.375, or 13.6364 %.Buy at 2.975 on 2005-01-18.Sell at 3.15 on 2005-01-27, with profit (loss) = 0.175, or 5.88235 %.Buy at 3.075 on 2005-03-30.Sell at 3.225 on 2005-04-04, with profit (loss) = 0.15, or 4.87805 %.Buy at 3.125 on 2005-04-06.Sell at 3.125 on 2005-07-06, with profit (loss) = 0, or 0 %.Buy at 3.025 on 2005-07-07.Sell at 3.275 on 2005-07-22, with profit (loss) = 0.25, or 8.26446 %.Buy at 3.25 on 2005-10-21.Sell at 3.325 on 2005-11-03, with profit (loss) = 0.075, or 2.30769 %.Buy at 4.275 on 2006-06-02.Sell at 4.375 on 2006-06-05, with profit (loss) = 0.1, or 2.33918 %.Buy at 4.3 on 2006-06-07.Sell at 4.25 on 2006-06-27, with profit (loss) = -0.05, or -1.16279 %.Buy at 4.15 on 2006-06-27.Sell at 4.3 on 2006-06-29, with profit (loss) = 0.15, or 3.61446 %.Buy at 4.25 on 2006-07-14.Sell at 4.325 on 2006-07-14, with profit (loss) = 0.075, or 1.76471 %.Buy at 4.25 on 2006-07-17.Sell at 4.3 on 2006-07-21, with profit (loss) = 0.05, or 1.17647 %.Buy at 4.24 on 2006-07-24.Sell at 4.29 on 2006-07-24, with profit (loss) = 0.05, or 1.17925 %.************************************Buy at 14.9 on 2006-05-15.Sell at 15.75 on 2006-05-16, with profit (loss) = 0.85, or 5.7047 %.Buy at 15.05 on 2006-06-09.Sell at 15.85 on 2006-06-22, with profit (loss) = 0.8, or 5.31561 %.Buy at 15.1 on 2006-06-27.Sell at 15.8 on 2006-07-03, with profit (loss) = 0.7, or 4.63576 %.************************************Buy at 20.15 on 2005-10-14.Sell at 21.7 on 2005-12-07, with profit (loss) = 1.55, or 7.69231 %.Buy at 20.85 on 2006-05-18.Sell at 22.7 on 2006-06-05, with profit (loss) = 1.85, or 8.8729 %.Buy at 21.05 on 2006-06-08.Sell at 22.4 on 2006-07-07, with profit (loss) = 1.35, or 6.4133 %.Buy at 21.05 on 2006-07-18.Sell at 22.25 on 2006-07-26, with profit (loss) = 1.2, or 5.70071 %.Buy at 21.05 on 2006-08-25.Sell at 22.45 on 2006-08-30, with profit (loss) = 1.4, or 6.65083 %.************************************Buy at 5.7 on 2004-07-29.Sell at 6.2 on 2004-12-01, with profit (loss) = 0.5, or 8.77193 %.Buy at 5.8 on 2004-12-13.Sell at 6.15 on 2004-12-20, with profit (loss) = 0.35, or 6.03448 %.Buy at 5.8 on 2005-01-05.Sell at 6.2 on 2005-01-20, with profit (loss) = 0.4, or 6.89655 %.Buy at 6 on 2005-03-29.Sell at 6.3 on 2005-04-06, with profit (loss) = 0.3, or 5 %.Buy at 6.05 on 2005-05-17.Sell at 6.3 on 2005-05-31, with profit (loss) = 0.25, or 4.13223 %.Buy at 6.05 on 2005-06-02.Sell at 6.35 on 2005-06-10, with profit (loss) = 0.3, or 4.95868 %.Buy at 6.2 on 2005-09-13.Sell at 6.35 on 2005-09-23, with profit (loss) = 0.15, or 2.41935 %.Buy at 6.15 on 2005-10-06.Sell at 6.3 on 2005-11-11, with profit (loss) = 0.15, or 2.43902 %.Buy at 6.15 on 2005-11-14.Sell at 6.3 on 2005-11-18, with profit (loss) = 0.15, or 2.43902 %.Buy at 6.25 on 2006-02-13.Sell at 6.45 on 2006-02-20, with profit (loss) = 0.2, or 3.2 %.Buy at 6.3 on 2006-03-24.Sell at 6.45 on 2006-03-27, with profit (loss) = 0.15, or 2.38095 %.Buy at 6.25 on 2006-03-28.Sell at 6.45 on 2006-03-30, with profit (loss) = 0.2, or 3.2 %.Buy at 6.4 on 2006-05-24.Sell at 6.6 on 2006-05-24, with profit (loss) = 0.2, or 3.125 %.Buy at 6.45 on 2006-06-13.Sell at 6.6 on 2006-06-14, with profit (loss) = 0.15, or 2.32558 %.Buy at 6.45 on 2006-06-14.Sell at 6.85 on 2006-06-16, with profit (loss) = 0.4, or 6.20155 %.************************************Buy at 5.9 on 2006-05-22.Sell at 6.05 on 2006-06-29, with profit (loss) = 0.15, or 2.54237 %.Buy at 6.49 on Closing price is 6.49************************************Buy at 12.65 on 2006-05-22.Sell at 13.2 on 2006-06-02, with profit (loss) = 0.55, or 4.34783 %.Buy at 12.55 on 2006-06-08.Sell at 13.2 on 2006-06-29, with profit (loss) = 0.65, or 5.17928 %.Buy at 13.06 on 2006-08-24.Sell at 13.36 on 2006-08-30, with profit (loss) = 0.3, or 2.29709 %.************************************Buy at 3.275 on 2006-04-25.Sell at 3.475 on 2006-05-08, with profit (loss) = 0.2, or 6.10687 %.Buy at 3.35 on 2006-05-22.Sell at 3.5 on 2006-06-05, with profit (loss) = 0.15, or 4.47761 %.Buy at 3.375 on 2006-06-09.Sell at 3.475 on 2006-06-28, with profit (loss) = 0.1, or 2.96296 %.Buy at 3.375 on 2006-07-17.Sell at 3.44 on 2006-08-03, with profit (loss) = 0.065, or 1.92593 %.Buy at 3.4 on 2006-08-23.Sell at 3.42 on 2006-10-03, with profit (loss) = 0.02, or 0.588235 %.************************************Buy at 23.15 on 2006-05-22.Sell at 24.1 on 2006-07-26, with profit (loss) = 0.95, or 4.10367 %.Buy at 23.25 on 2006-10-04.Sell at 23.95 on 2006-11-22, with profit (loss) = 0.7, or 3.01075 %.************************************Buy at 14.7 on 2005-09-21.Sell at 15.4 on 2005-10-03, with profit (loss) = 0.7, or 4.7619 %.Buy at 14.5 on 2005-10-06.Sell at 15.1 on 2006-01-04, with profit (loss) = 0.6, or 4.13793 %.Buy at 15.2 on 2006-06-13.Sell at 15.4 on 2006-06-16, with profit (loss) = 0.2, or 1.31579 %.Buy at 15.3 on 2006-09-22.Sell at 15.72 on 2006-09-25, with profit (loss) = 0.42, or 2.7451 %.Buy at 15.42 on 2006-09-26.Sell at 15.7 on 2006-09-28, with profit (loss) = 0.28, or 1.81582 %.Buy at 15.4 on 2006-09-29.Sell at 15.54 on 2006-10-18, with profit (loss) = 0.14, or 0.909091 %.Buy at 15.34 on 2006-10-19.Sell at 15.6 on 2006-10-25, with profit (loss) = 0.26, or 1.69492 %.************************************Buy at 12.35 on 2004-06-23.Sell at 14.6 on 2004-09-17, with profit (loss) = 2.25, or 18.2186 %.Buy at 14.05 on 2005-01-24.Sell at 14.6 on 2005-02-08, with profit (loss) = 0.55, or 3.91459 %.Buy at 14.3 on 2005-03-30.Sell at 14.55 on 2005-04-25, with profit (loss) = 0.25, or 1.74825 %.Buy at 14.3 on 2005-05-17.Sell at 14.55 on 2005-06-22, with profit (loss) = 0.25, or 1.74825 %.Buy at 14.85 on 2005-10-13.Sell at 14.9 on 2005-12-19, with profit (loss) = 0.05, or 0.3367 %.Buy at 14.7 on 2005-12-28.Sell at 14.85 on 2005-12-29, with profit (loss) = 0.15, or 1.02041 %.Buy at 14.95 on 2006-02-08.Sell at 15.15 on 2006-02-14, with profit (loss) = 0.2, or 1.33779 %.Buy at 15.1 on 2006-03-08.Sell at 15.3 on 2006-03-16, with profit (loss) = 0.2, or 1.3245 %.Buy at 15.5 on 2006-05-16.Sell at 15.65 on 2006-05-16, with profit (loss) = 0.15, or 0.967742 %.Buy at 15.55 on 2006-05-18.Sell at 15.65 on 2006-05-18, with profit (loss) = 0.1, or 0.643087 %.Buy at 15.5 on 2006-05-18.Sell at 15.65 on 2006-05-18, with profit (loss) = 0.15, or 0.967742 %.Buy at 15.55 on 2006-05-18.Sell at 15.6 on 2006-05-18, with profit (loss) = 0.05, or 0.321543 %.Buy at 15.55 on 2006-05-19.Sell at 15.65 on 2006-05-19, with profit (loss) = 0.1, or 0.643087 %.Buy at 15.5 on 2006-05-22.Sell at 15.45 on 2006-07-10, with profit (loss) = -0.05, or -0.322581 %.Buy at 15.2 on 2006-07-13.Sell at 15.55 on 2006-07-20, with profit (loss) = 0.35, or 2.30263 %.Buy at 15.25 on 2006-07-20.Sell at 15.35 on 2006-07-21, with profit (loss) = 0.1, or 0.655738 %.************************************Buy at 3.38 on 2006-08-24.Sell at 3.45 on 2006-10-13, with profit (loss) = 0.07, or 2.07101 %.Buy at 3.38 on 2006-10-26.Sell at 3.43 on 2006-11-10, with profit (loss) = 0.05, or 1.47929 %.************************************Total number of trade is 141Mean return is 0.0313794SD is 0.0306327Maximum is 0.188679Minimum is -0.01162790.01 quantile is -0.007810730.05 quantile is 0.0020.1 quantile is 0.00557491Median is 0.0230263Geometric mean is 0.0309463Would like to see comments and what I should do next from all of you.

Return data alone is not enough. You need some measure of risk, ie distribution of returns. It's easy to come up with a strategy that has a high probability of making small positive returns.

I'd say trade it or charge people for getting trading signals from it.Patenting isn't useful because: 1) it requires revealing the invention for all to see and 2) only provides protection to the extent that you can find and sue violators.I'm not sure that academic journals publish papers on indicators unless you can couch the indicator in terms of testing hypotheses about one of the flavors of EMH or some academic theory of market action.

okay, so you're confident your indicator gives valid signals.next step is to construct rules how to build portfolio based on those signals.and backtest it to see how it would have performed over a long time frame (be sure to include 2001-2003,1990,1994,1987,1997/1998 as it looks to be long only equities).don't just look at returns, but instead focus on the downside risk (especially during stressfull times).if your still comfortable with the risk and satisfied with the returns :then open a trading account and run the strategy.

As others have said, you don't have a very long backtest. I wouldn't be comfortable trading a long only strategy with a two year backtest.I backtest over a 15 year period using a bias free universe and assuming worse case order execution. Among other things I look at the return volatility, drawdown size and length, and whether the performance has degraded through time. If all looks good, I'm pretty comfortable that there is something behind the idea. My approach to backtesting is to see it as a challenge to prove that a strategy isn't viable. If you find that your strategy does hold up, then don't publish, patent, or sell the signals, just trade it. If it really works, who in their right mind wouldn't ?

QuoteOriginally posted by: StatTraderAs others have said, you don't have a very long backtest. I wouldn't be comfortable trading a long only strategy with a two year backtest.I backtest over a 15 year period using a bias free universe and assuming worse case order execution. Among other things I look at the return volatility, drawdown size and length, and whether the performance has degraded through time. If all looks good, I'm pretty comfortable that there is something behind the idea. My approach to backtesting is to see it as a challenge to prove that a strategy isn't viable. If you find that your strategy does hold up, then don't publish, patent, or sell the signals, just trade it. If it really works, who in their right mind wouldn't ?What about brokers? They can steal and copy your ideas if your ideas are making money. What should one do to deal with them?

QuoteWhat about brokers? They can steal and copy your ideas if your ideas are making money. What should one do to deal with them?It's difficult to reverse engineer anything but a trivial strategy purely by looking at the order flow. More often than not the orders submitted to the broker will be the net sum of several strategies too, making it even more difficult to decipher.

QuoteOriginally posted by: StatTraderQuoteWhat about brokers? They can steal and copy your ideas if your ideas are making money. What should one do to deal with them?It's difficult to reverse engineer anything but a trivial strategy purely by looking at the order flow. More often than not the orders submitted to the broker will be the net sum of several strategies too, making it even more difficult to decipher.I'm afraid if you're really successful the broker can analyze your every transaction w/r to profits in order to decipher your strategy. Is there a law that prohibits of doing so? Are brokers also required by law to keep client's secrets as lawyers and medical doctors?

brokers are too stupid for that.damn hard to reverse engineer a signal anyhow. if it was easy you could assume a buy signal on any bottom and a sell signal on any top and reverse engineer that strategy. wouldn't that be nice ?

most hedge funds will use multiple brokers so each broker sees only a random selection of the trades each day. knowing this, a broker would be crazy to waste any time trying to reverse engineer what's going on.

Thanks.

Looks like patent is not a good idea. I also know that the back test period is not long enough. The problem is that the algorithm requires very detailed data that I could not just get them for free from Yahoo finance or such. In fact I prefer writing an academic paper on that, as my algorithm sort of uses some concepts from behavioral finance. I'm thinking how I can present the framework without disclosing too much. By the way, which journal would accept these kinds of article?

QuoteOriginally posted by: actuaryalfredLooks like patent is not a good idea. I also know that the back test period is not long enough. The problem is that the algorithm requires very detailed data that I could not just get them for free from Yahoo finance or such. Be careful with algorithm that "requires very detailed data", there are two major problems1) you might have worked with indicative quotes or something like it. To test something on the small timeframe (beginning from 5 minutes, I think) you need the data from broker, preferably the one you would work with. Otherwise you would be fooled by extraordinary noise in indicative data. There is also a problem that often the price you see on the history is "wrong" because the order at that price would have generated requote. Sometimes brokers purge there data, though.2) Even if you get the "right" data, I personnally don't know any broker who supplies tick data so be careful again.The test period is very small (141 trade) so hope you haven't optimized By the way, what is the average length you hold the position open?