I have looked into Sto on an index like $INDU. Yes I am working on automation and trying to better filter out any market crash or abnormal activity. October 2008 seems to be good for testing a crash. You can never account for "news" :-)
I am testing for the last 2 years with 1 min intra-bar signals checked with Buy @ High and Sell @ Low settings. I figure these setting would be similar to worst case since in live mode you may get better than Buy @ High and Sell @ Low price. I am using this in place of calculating slippage.
So far it looks great, anyone else get over 200% return (portfolio back testing not set) using these testing settings YTD? Almost sounds too good to be true. Last time I got these results StrategyDesk was "cheating" using future data :-) Now that I have 1 min intra-bar signals checked future data should never be used.
Market Data 
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