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Dimitris, pay attention to what Tomasz is trying to tell you...
When working with end of day data it makes no sense to even consider
trading on todays close. If you want any approximation to reality
you need to change to: buy tomorrows open (or later) for stocks and
tomorrows close for mutual funds.
Any trading system that exhibits the type of behavior you are
describing is a flawed system that needs further development work.
As for the NDX version, with more testing experience, you will find
that almost all trading systems make less money when stops are used.
Stops are not used to increase profits...stops are used to reduce
drawdowns.
When there are no stops the system can incur really big drawdowns
which eventually turn into profits as the market or individual stock
performace improves. But in the meanwhile, you may have lost 30,
40 ,50% before the improvement occurs. No one could or should live
with such a profit rollercoaster.
Trust me...been there, did that, lost the money
Trader
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