Hi Ryan,
I like the way you are using 25 stocks and variable slippage to help get realistic simulation results.
I’m concerned, however, about the No OTC Universe since it has a lot of illiquid stocks that are difficult to trade. Did you use a liquidity buy rule. Here is an example.
MedianDailyTot(10,0)> 200000 and MedianDailyTot(10,10)>200000and MedianDailyTot(10,20)>@adt and MedianDailyTot(10,30)>200000
This helps to avoid buying stocks that might temporarily have a decent volume in the past week or two but could become illiquid. This rule does not guarantee that there will be good liquidity when it comes time to sell, but it does help.
Brian