[amibroker] Why does this great system not work in reality?

["samu_trading" <samu_trading@xxxxxxxxx>]

All,
I'm frustrated. I backtested and optimized a very simple system in 
AB as following. 
(buy highest ROC gainer of the last 3 days and some additional 
fringe conditions; exit is 2% trailing stop, applied immediately)
PositionSize=-20;

SetTradeDelays(1,1,1,1);

Buy= ROC(Close,3)>Percentile(ROC(Close,55),100,99) AND Close>MA
(Close,150)AND Volume > Percentile( Volume, 100, 90 ) AND Volume > 
100000 AND Close<5 ; 

Sell=0;

ApplyStop(2,1,2,1,False,0);


It looked just great from the numbers when backtesting over the last 
5 years:
CAR~170% MaxSystemDD=4.3%, number of trades >1000

However, when I bought stocks at the next day's opening, I only had 
losers and got stopped out. Where does the difference between the as-
is and to-be come from?

Thanks, Samantha



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