The most robust strategies are simple, the fewer parameters you have, the more certainty you have that's it's not curve-fit. This doesn't only apply to the trading world.
Is this with daily bars? If so, how do you deal with stops being hit or not intrabar (high, low)? You close stop at the stop price or the close of the bar? Are stops fixed at the start or trailing? Are you sure you are not using the current bar as info to trade on it? I have experience/knowledge with track following algos (mainly Kalman) and I can tell that your results look somewhat too good to be true. Or is it that you are using a lot of leverage and would run huge drawdowns and a large probability of blowing right of the bat?
This isn't 9 lines of code in general. You are using a specific high level language of some specific platform. There are several functions used in the code you posted. It will run only on that platform so I don't understand the purpose of this.
It's 1-hour bars. The stop is neither at the stop price nor at the close of the bar, but is calculated from intra-bar ticks to be as realistic as possible. The stops are not trailing but fixed at the start. I'm sure that I'm not using the current bar. The trade price is the Open of the next bar plus the slippage delay. The leverage is 100:1. I understand that the filter strategy might look too good, but filters were the only method I found so far with those results. Polynomial regression and pattern detection also gave quite good results. All my attempts with standard indicators failed miserably.
This is true, but the platform is free and the functions are not so high level but rather simple, so anyone can reproduce the results. The code for the lowpass filter is from a standard engineering book and available in source code in the platform's header file.
"Obvious" is very subjective. Sometimes the obvious works too, admittedly it might not seem obvious for others.
well..i can describe my "system"\core rules in one sentence. that's how simple it is. however..how to get there and how to handle the trade after you are in-is another story.