Ran momentum anomaly screen adjusting for 5 stocks and backtesteng 2 years with a 1 week rebalance. Backtesteng impressive in excess of 150% return.

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at 09/29/17 1:31 PM : RE: Momentum anomaly

at 10/03/17 1:58 AM : RE: Momentum anomaly

at 12/02/17 8:01 AM : RE: Momentum anomaly

at 09/12/17 4:01 AM : RE: Momentum anomaly

at 09/27/17 4:15 AM : RE: Momentum anomaly

at 09/16/17 8:02 PM : RE: Momentum anomaly

at 04/04/17 8:01 PM : RE: Momentum anomaly

You should learn from your mistakes.   Learn from the anomolies you see in backtester versus history.   Stop complaining about it!   Or just stop trading.  Trading is a great, great business when you work at it methodically.   And it has real risks.   Don't be a fool. 

Step 1 - design a robust search screen based on backtester and "trading common sense".   Don't expect fills on thinly traded stocks to equal the backtester.

Step 2 -  paper trade the robust search screen - offline or with a free paper trading account

Step 3 -  run the backtester for the time period of the paper trading - compare and analyze

Step 4 -  wait for the targeted search screen to under perform its longer term backtest average

Step 5 -  trade with real money starting during an under performance period if you have sound statistical confidence in your screen.

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