Thanks for the hint about Slippage. When i set Slippage = 0 i get a completely different result. Now the strategy is not profitable:

Code:
Monte Carlo Analysis... Median AR 4%
Profit 7$  MI 0$  DD 93$  Capital 87$
Trades 4737  Win 57.2%  Avg +0.0p  Bars 1
AR 2%  PF 1.00  SR 0.05  UI 46%  R2 0.00