Obviously you should do some parameter averaging, e.g. you could compute the signal using various speeds from 5-15 days and average the positions over each parameter choice, to make the strategy robust.
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To be fair, you started the thread portraying the data as a real stock, and not a random stream you made up. What's the volatility of the actual data, and I assume it's daily data?
The entire point is that it’s a bait and switch! There is absolutely no way that you can read the entire thread and conclude “yes, it would be possible to make money from this” unless you are a moron. It’s 1%/day volatility zero arithmetic drift geometric brownian motion.
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Well, I'd like to think I'm not a moron, and it wasn't clear to me the arithmetic mean was 0 until you explicitly said so. Maybe that was immediately clear to non-morons before you said so?
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Mean zero is the *best case* for the strategy I described! If mean > 0 then a reversion strategy is short more often than long so it would lose money. If mean < 0 then a reversion strategy is long more than it is short so it would lose money.
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