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It was unfortunately sobering :-( I wanted a free lunch with little effort ;) In any case, I'm going to keep doing backtesting on various systems to try to keep eliminating them so as to prove to myself that there's no magic bullet. Next up will be EMA's instead of SMA's, and then I'll...

Backtesting the S&P against moving averages is something I've done recently, on a long term scale. Rules for backtesting: Rule 1) If a price crossover happens, you buy/sell at the closing price of that day (this assumes you have a good enough inclination of whether the crossing held that...