pt, first let me apologize for the tone of the note - it came across negatively (at least to me when I re-read it).
To answer the questions:
Your system doesn't work because it has an unacceptably high drawdown (and I suspect particularly so if you look at only the past 5 years). To claim it works is to look entirely at the reward and to ignore the risk. It has a terrible (and I really mean terrible) risk-reward. Read any book on trading and the great traders start with risk management. You are ignoring that.
If you think a 90% return is great - I can show you some penny stocks that go up 10x in a lot less time. The risk-reward on those isn't so good either.
The systems that I and my friends use are intentionally NOT backtested or optimized over the last 20 years because to do so would create a strong bias toward bull market conditions. Really good systems work in a variety of markets - any system should be examined separately in many market conditions (bull, bear, sideways) to see how it performs then.
Do you know how your system performs independently in bull, bear, sideways markets? No, because you lump everything together and focus on one number - return - and for all 20 years. My guess is that you'll get a poor return except in a strong bull run, and even then you will get high drawdowns.
You absolutely need to examine systems like this critically, always asking how things could go wrong. You are not. There is a lot more to a good system than just having a good value for return. And systems do break, even ones that backtest for a long period of time.
There's more to this than I can state here - that's why I recommended a book.
AI
