Just took a look at your demos. I have to say something does not add up. The disparity between Z1, Z2 and Z12 is too great.
You're right. In the beginning I could add up the perfomance of Z1 & Z2 and come close to Z12 numbers. Not anymore. I don't know why.
But then again we need atleast a year of forward tests to make decisions. So lets wait it out a bit.
That's what I thought. But, with 45% drawdown after 6 months, I don't anymore. If it was real money I would already stopped trading at about 20% drawdown and declared the strategy unprofitable and dangerous. Of course, we all have different risk appetites, but 45% drawdown is just not acceptable under no circumstances. It becomes clearer when you understand that in the next 6 months we'd need Z12 to have 80% profit just to break even (get back to the starting capital). I'm afraid Z12 is now beyond the point of no return.
