Thanks for your thoughts. Yes, my data starts in the April 1st 2004. RedDuke, you made a valid point about the bull market. Admittedly, the performance of the recent years is the best. However, for the 5 year period from the April 1st 2004 to the April 1st 2009, during which the SP500 fell from 1126 to 790, the algorithm performs as following: Initial capital 100000.00 Ending capital 171549.68 Exposure % 20.35% Annual Return % 11.39% All trades 1109 Winners 626 (56.45 %) Losers 483 (43.55 %) Max. system % drawdown -3.41% Sharpe Ratio of trades 1.59 Not stellar but also not too bad IMHO. Daniel.a, I am sorry for the stupid question, but what is the average trd%...? The algorithm trades hourly. The Open prices mentioned above are the 1 hour bar Open prices.