Momentum Strategy, rev.2

add slippage, commission and see what happens.

@alter.daemon, look for Inverse Fisher RSI-MTF2 strat here (with profitability 80-90%) and do the same.
Slippage, is a good thing for demotivation, but with no great use in practice, imho.

@capissimo, without slippage simulation in backtesting you are only lying to yourself - it won't work in a real world. just give it a try and you'll see.

@alter.daemon, I agree, somewhat. But used in conjunction with some indicator, say, atr, which shows active periods during the day, it proves to be viable.

UPD: for better performance use smaller lookback (2-7) and replace sma function with the one that gives a smaller lag. This will allow to raise the performance statistics to over 60%.