More.Sure - I dont think this or any mechanical system will work all the time. If the markets were that easy. That doesnt mean that it will never work again.What I mean is there could well be year after year where the markets arent trending - or not enough of them to cover the losses from the false starts.
CTA performance hasnt been great these last few years.It would be interesting to see for example if the method would have kept you in the CL decline.On a side note, an acquaintance of mine works for one of the lager CTA's. He said only around 2-3 out of 10 trades make money on their main fund.