I have the same book and tried the Luxor system some time ago (maybe I can find the old script somewhere). I could well reproduce the results from Jaekle and Tomasini - but the system is not profitable, as you see from the equity curve:



This is a typical curve of a system that was fitted to a certain time period, up to 2010. It is not profitable outside of that period.

You can produce lots of such systems, and they look good in books, but better don't trade them. This does not reduce the quality of the book, which explains automated trading very well.

Interestingly, the equity curve was from a WFO test if I remember right - so the market changed in a way after 2010 that even WFO could not save that system.