[Attachment(s) from jani.talikka@gmail.com [amibroker] included below]
It looks quite ok.
Without optimising a thing from the article, running the system on the ASX50, but adding code to take into account historical constituency, 1 day trading delays (ie buy on open the day after a signal to buy and sell on open the day after a sell signal), and 0.11% (minimum $11) trading costs the system gets about 18% risk adjusted returns with MaxDD of 17%. Performance would probably be better if you set it up to buy on close on the day of the signals, but that would involve getting intraday prices and running the system in the last few minutes before close to get orders in that day rather than just running it each night.
It has been pretty flat for the last 5 years, but there is definite potential in it.
Backtest results attached.
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