First post here, so be gentle. I am trying to create my own automated trading system. I'd like to bounce some ideas with you guys, if possible. A few questions that came to my mind while implementing this (and my answers): 1. How frequent should the system try to trade? I chose once or twice per month since I have 0 experience with this stuff. Basically I want a system to predict the price so I can execute trades myself in a semi-automated way. 2. What should the system predict? I chose to try to predict exact price instead of arrows (whether it will go up or down or flat). 3. What should it trade? For now, just one high-volume security. 4. What should it use to "train" or "learn"? I chose a random period in daily price action of a security. 5. How to measure success of the prediction (when used in training/validation)? I used sum-of-absolute differences. Attached is a figure that shows my results. Blue is the actual price. Red is the price this system predicted 25 days in advance. Notice how the red price closely follows the blue price for an interval in the middle. That was actually used to train the system. It performs rather poorly in the other regions (where I actually want it to succeed, since those are the regions where it will actually execute trades). I want to know what the "experts" around here think of how I answered the above questions. Also, if you do design/build systems to predict exact price action, how much is it usually off by? I guess if it is not off by much, you would be a billionaire sitting on a yacht right now and wouldn't be bothered to read this forum... I'd like to know how accurately people can predict price action if they do use it. I know some people predict direction, not price.