Here's the method's numbers, backtested over 7813 trades dating back to January 1999 on the e-mini S&P (this period of time excludes the ESZ3 contract due to the fact that I don't have this data available, but it does include the first quarter of this year, ESH4) In any event, this method I backtested came up with 7813 trades, and a winning % of 64% based on one contract traded per trade. The average win was $51.44 and average loss was $78.73 after comissions. The W/L ratio is .65 Total P/L over the 5 years was +$36,509.80 for one contract. The method assumes you are entering at the CLOSE of the entry signal bar, and exiting at the CLOSE of the exit signal bar. We all know that in reality, you can not ALWAYS enter and exit at the exact close of the signal bar because of slippage. Since the profit per trade (as well as the loss per trade) is rather small, slippage could easily destroy much of this system's profits over the long haul. My theory is to always enter with a limit order, and if you get filled before an exit signal, then all is well and good. If you don't get filled before your exit shows up, you skip the trade. The exit is a bit trickier. I figure if the trade is showing a profit, when I get an exit signal, I will use a limit order to try and get out. If the trade starts going against me, I will change to a market order to ensure I exit with at least one tick of profit. If, on the other hand, I get an exit signal when the trade is already showing a LOSS, I will immediately get out using a market order. Is it just impossible to trade an ultra short term system like this which relies on almost zero slippage to remain profitable? It's quite frustrating to come up with system like this, backtest it over a good amount of time and a big number of trades, only to realize that in reality, this thing probably isn't going to work..... Any thoughts?