I "discovered" this system, I think in the year 2000, on DAX. Backtested it then on 7 years of historical data. Than traded it for 6 months. In a first run I made 11,000 euros, in a second run drawdown doubled, than system pulled up and I stopped with loss of about 2,000 euros. So in total I made 9,000 euros, but change of the drawdown during the live trading spooked me totaly and thouroghly.
I stopped trading it and after I that system tanked down. From the summer 2001 onwards volatility dessapereared out of many stock index markets and this, essentialy brakeout system, suffered. No volatily, no profit for the brakeout systems.
I was not able to find a filter that will exclude tight range days.
Otherwise, during the 7 years of backtesting data, this was making 100-200% per anum. It worked on SP and NQ, but not too well.
cheers, dejan