nothing wanna say...
I ran your code through the backtest and I got a max drawdown of 70% percent. does your strategy have any stoplosses. Why such a large draw down? have you looked at improving that drawdown?
i have add some rools such as stoploss or trailing stop, but no better performance as this. If i add these rools above, it will close the trade in a very short time. I do not know if this algorithm is so sensitive about the rools. It's funny that the longer u hold the position(3 days), the better performance u will see.
If u have some point of view on changing this algorithm, pls let me know, thank u.
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