That's one of the problems. they're all correlated. And the take off starts with the commodity crisis on july 2008. Maybe it's just works with a lot of volatility and a strong trend. But, it's still works with the actual rally.
Considering this being an TF model... 1. You're missing the whole point of TF. The essence of the style is to trade multiple markets by increase the potential profitable opportunity of catching an outlier move. Posting a bunch of reports/equity curve for a single product is pretty much useless. 2. Another core issue you're missing out (or not providing) is the market selection logic. This needs to be tested and without providing the tests results for this. I find it useless to provide you with any kind of feedback / opinion. How you present your model to people = the compentency as a systematic trader.
1. if it works well for a lot of single products, it should work with a portfolio. And the stocks in my selection avec from differents sectors. 2. it's a TF, so i'm looking for trending stocks. I use the relative strengh to find the best trending stocks. But maybe it's not the best way. I'll have to work on this tests of market selection.
Are you using intraday price data? I am not able to reproduce your results using 3 years of daily price data for United States Steel stock symbol X. Are you sure your calculations are good? I don't observe greater than 400 trades even with a very short term system.