Larry, From your posts I gather that you have tested ALOT of different systems. Can you briefly summarize what were the results of your investigations? I have been to your home page but did not find a summarizing discussion that I could understand.
FWIW, I have back manually tested alot of systems using 3 years of data and found a few, particularly using cross overs of 20 day moving averages, that gave a good profit. Unfortunately, when I took the best systems over 6 years they still gave a profit, but it was much smaller.
In flat trends, a strategy of trading extremes reverting to the mean works good. In rising or falling markets buying or shorting the cross overs work. These strategies are contradictory. If you dont know the upcoming trend (and none of us do) I suspect that profits using either will disapate over longer periods or perhaps match the overall market change.
I pretty much have given up finding a successful trading system as the market appears to be a perfect fractal.
I would appreciate your insights.
Regards - Cy Esp
Market Data 
Markets 
AI
