[eastbay]

Lots of traps here. No guarantees you're not onto something, but not likely either. "If it was that easy everybody would do it", and all that.

Slippage and commission is important, and can turn smooth get rich quick strategies into certain losers. Looks like you're at least starting to account for commission. Don't forget slippage.

Inadvertent lookahead is an easy mistake to make. You can set up your code to help protect against it by only feeding data from a mock data source, rather than having it all in memory and just hoping you don't make a mistake in referencing the future.

You can't train and test on overlapping data. I couldn't quite tell if you were doing that from your description, but such tests are worthless for obvious implementation reasons.

If you've sure you're not doing any of the above, well, trade it by hand for awhile and see how it goes.

eastbay