Hi,

I would like to confirm my intuition about backtesting. My strategy is a
simple moving average crossing over (something similar). I open a long
position of 1 unit if fast line crosses above the slow one and vice versa.
After seeing my equity curve being almost straight down, I decided to flip
the rule such that I short 1 unit when fast line crosses above and vice
versa. To my surprise, I do not seem to get a flip of pnl back. I got even
worse pnl profile. This is puzzling for me.

My rules use market order to execute all orders. One might argue that it
could be due to asymmetry in bid/ask when momentum is in place that causes
this. However, I have more than ten thousands of transactions. I do not
think bid/ask spread should be a dominant effect here. Any thought would be
appreciated. Thank you.

Robert

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