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RE #6 You specifically mentioned large cap though. I agree that higher volatility is "better" only because that's my personal preference. Small/micro cap stocks might get excluded in my backtesting because I exclude when bid-ask spread is too high. Otherwise my systems don't discriminate...

#3 Exclude any ADR's from any country #4, #5 Maybe better off trading the commodity directly, not sure why "tend to trend" would mean exclusion #6 Exclude low volatility any cap, although realize there are many definitions of "volatility"

CNBC's screener appears to do this. http://www.cnbc.com/id/15839076/ Company Name/Symbol Industry Last Today's Change Market Cap Beta Aixtron Ag AIXG Semiconductors $38.60 1.06 / -2.67 $3.85B +2.9 Calpine Corporati... CPN Conventional Elec... $15.89 0.04 / +0.25 $7.08B +1.4 Charter...

Click the link that says "mirrors": http://arxiv.org/servers.html

HTML, not bitmap. I believe the SMF Addin for Excel operates the same way, HTML parsing. http://finance.dir.groups.yahoo.com/group/smf_addin/

SEC 13F is filed quarterly by funds. Any fund managing $100 million or more is required to file, whether or not ownership exceeds 5%.

Dell earnings after close today (Tuesday 2/15) I believe... http://finance.yahoo.com/news/What-behind-big-put-spread-optmonster-3868221061.html?x=0&.v=1 What's behind big put spread in Dell The options volume in Dell is nearing 100,000 contracts today, driven by a big March put spread...

There's what's not advised, right there. Sure search for "joint probability distribution". However, to trade just 1 stock is far from ideal. I'm not sure what the real rule of thumb is, but personally I'd trade at least 16. Otherwise you're missing the real benefit of having statistical information.

Overall market direction. Dow, S&P 500, Nasdaq, oil, USD/EUR, USD/CNY.

From what I've found so far, "trading system" or "strategy system" or "backtesting system" maybe?

Awesome, thanks! http://www.tradingsystemlab.com/default.aspx description: Trading System Lab will auto-design and create Trading Systems automatically in as little as a few minutes using a new, high speed evolutionary algorithm. Trading System Lab will create daytrading systems...

Trading Physics is interesting, however only the first 10 downloads are free. I'm guessing the first 10 days of intraday data.

Trying to search for a black box type trading system, or website, or plugin, I might be using the wrong term. Is "black box" what I'm looking for? Basically I'm wondering if there is something that's more than stock screening, and less than MatLab/R/etc. More advanced than "backtest moving...

Close-to-Close Estimator Pro It has well-understood sampling properties. It is easy to correct bias. It is easy to convert to a form involving typical daily moves. Con It is a very inefficient use of data and converges very slowly. Parkinson Estimator Pro Using daily range...

I am not an expert either. It may be that the mathematical definitions of censored data and data with selection bias are different. This book sample seems relevant to selection bias, comments on different biases, including selection bias, in dealing with stock market indexes (indices)...

Selection bias is the same as censored/truncated data. Search for Heckman algorithm, Heckman solution, Heckman selection model, Heckman two-step procedure, Heckman correction. One implementation is in the R package sampleSelection...

Curve fitting, IMHO. Especially since the sector assignments are your own. One of the "gurus", Zweig I'm thinking but I can't find it in a quick google search, excludes the real estate sector. Ridiculous, I say. The only "sector" to exclude might be ADR's since foreign companies might be...

Can't the data just be considered censored? http://en.wikipedia.org/wiki/Censoring_%28statistics%29

I haven't, but looks interesting! If you are trying to deal with outliers, there are other ways, for example random forests have been shown to be less susceptible to outliers. If you are considering different distributions, look into fat-tailed distributions. Outliers can be clumped...

How many variables go into determining the buy/sell signal(s)? For many variables, 9000 trades may not be enough. IMHO averaging 900/trades a year is enough, the per-stock trades/year is less relevant. Some things to consider: If not already part of the signal, consider trend of the...