You forward tested this for 100 years? You must be pretty old! Are you sure you don't mean back testing? This trading system sounds like something that was overfit / tuned to the data set its being tested on. That's data snooping and means your results are invalid.
I am ;-) Yes, I am sure it does forwardtesting; as said using GBM data. No, nothing of fitting or snooping altogether, because the system doesn't know in advance of any data point; it rather works bar by bar, as was explained in previous postings here. This is a system with some novel ideas, it's not a simple thing.
Btw, the average Sharpe ratio is 5.44, avg MDD less than 3.3%, and does about 21 round-trip-trades per day, the results are annual (252 trading days): Code: Analysis: Mean: 6843269.60 684.33 7843269.60 20.92 -3.28 StdDev: 1257842.27 125.78 1257842.27 1.36 1.54 Sharpe: 5.44 5.44
OK guys, this thread has gone on long enough. The OP has had plenty of time to gather interest here and any further realtime testing/results/discussion will need to take place at a site like Collective2.