My experience with backtesting is that nothing works.. or everything works, depending on how you view it.
When you start from established theory like Black-Scholes and similar, there is a wealth of techniques in derivatives trading with a mathematical fundamentals, you'll notice that they do work. But unlike a fair coin which has exactly 50-50% probability of getting heads or tail, the stock market is a bit more fuzzy.. say the probability varies around 40% and 60% but surely won't be neither 10% nor 80%. So as long as you were the only smart guy who has figured out the probability revolves around 50% and CAN ADD ENOUGH SPREAD, like some 10%, the theory works as charmed and you'd be swimming in money.
But because so many others already know the theory, the spread is much tighter, say 5%. Like as an example, the midpoint of the market would say a probability of 53% and the bid buys @ 51% and ask sells at 55%. You can't make money at such low spreads with the classic theory.
I'm sure you can make money though, but you need to find something new, something that noone has thought of. Or at least very few have thought of. In a way, you need a "genius breakthrough".
I like to think of the "Feynman technique" for such breakthroughs. The guy recommended you hold at all times some 12 hard problems around you. Not necessarily in your mind, but constantly cycle around them. And they're hard as in not solved yet (like making money on a seemingly efficient market that presents no opportunities).
Keep learning and experimenting ... you'll come across new ideas or techniques.
Everytime you get such a new idea or technique, apply it to all your 12 problems. It may not work but sometimes it will advance your knowledge of those problems a little more.
And every once in a while, one such new technique will actually solve an old problem! And there, you have your breakthrough.
