[dunster]

That's a very interesting system you've built.

The the thing about backtesting a strategy is that it is very easy to make a mistake in your backtester. Look ahead bias is the most common mistake.

Another challenge is the data. Are you testing against a history of stocks that includes bankruptcies? If not you have survivorship bias.

I suggest you take a look at my website, www.quantopian.com. Look at our open-sourced backtester, https://github.com/quantopian/zipline. Between the two we can help you get past those two sources of error.