Btw. the backtest gives a nice profit (at least with my params) but when you look at the performance report it's all due to slippage ($8203 profit and $12474 slp in my case). Setting Fill and Slippage to 0 gives me -$7524 loss. The reasons are described in the manual (in Fill and Slippage sections). I think that the numbers in the second case are more realistic. What do you think, jcl? Which values should give more realistic results?