Very funny. Luxor trading system can be very easily "persuaded" to be profitable, but only after summer 2010. (before that it's flat). That's about where it became unprofitable on time-based candlesticks. I'll take this as evidence that big money switched to volatility bars few years ago. No wonder professional system traders have been losing money last few years (known fact).

AR is 308%, but it should be smaller in reality because backtest is over 3.5 years, but Zorro doesn't know that. Sharpe is 3.20 and that is really excellent. I don't know how to scale it (complex math). Still can't attach chart to show how it looks.

Anyway, this started looking promising. I need to study Luxor in depth, still don't understand all it's details. But, something in there is very very promising...