Problem is that if backtesting is not acting the same as in real time trading, due to abnormal spread, a lot of people will argue that this is a shame… blablabla 😆 But throwing away a good system into the garbage because of a 24 points spread on one of the largest world index is a non sense.

Just like most of the major events that have taken place in recent years (11/09, subprime crisis, Obama election, etc.), we will have to keep in mind the episode of Coronavirus in your future backtests. I am convinced that from today, the trend following systems will very often have a very correct WFE over the current periods 🙂