I think the main reason that otherwise profitable strategies fail once automated, is because of backtesting. In my experience, the 'tweaking' for a very specific set of data doesn't allow for future performance. Although the backtesting results will look fantastic, it is not a true representation of what the system will do in the future. If you can create a system that requires no (or VERY few) 'tweaks,' in the backtesting phase, you may be onto something! Also, another good test is to run it on other markets. If you design the system on the S&P but it demonstrates comparable performance in other markets, it shows universality, and suggests that the system may have value for future trading. ...your thoughts?