Quote from intradaybill:
You are doing backtesting the way it was done 30 years ago. You have to first find out what others are doing because you are essentially competing with them in exploiting possible edges.
A couple of years of backtesting is not even remotely enough. For daily data the backtest must span more than ten years. For intraday data you should use tens of thousands of bars.
Also, keep in mind that any conceivable combination of indicators has been already exploited by NNs and data mining programs. There are programs that will generate handreds of profitable systems, historically of course, in a few hours or days, by mining data. Many traders use them and this speeds up development time exponentially.
Good luck.
