I was working on a pretty simple momentum (short term hold) system based on some observations in discretionary trades. I had great results over the last 2 years but pretty average results prior the gfc. I was ready to chuck out the general idea and work on something else when I stumbled upon a peculiar market inefficiency which combined with other elements in the old system got much improved results.
The new system performed well over the last two years, and I moderately optimised it for these two years (increasing per trade performance by about 15%) but then went on to perform almost as well in out of sample data and over almost any time frame I threw at it up to 10 years back.
The system only trades on ASX300 stocks which means low slippage on accounts of my size. I assumed 0.1% roundtrip slippage expense (which I believe to be conservative) and 0.1% commission (which is a bit higher than what I would pay live).
I assume 0.1% for brokerage and 0.1% for slippage
edit: the forum crops the images, here is the gallery link.
2 Year performance result:
6 Year Performance Result