we had a discussion about this on the trade station message boards. When refering to day trading, is it easier to make a winning strategy that goes short or long?
An even more interesting question would be, is it better to use an "always in" strategy. By better I mean more of an edge.
What's for sure, it's harder to simulate short trading system. Because you should know what stocks are available for short at any given moment (and it depends on your broker too), and you should simulate the "bid up" rule. Also short generally takes longer to fill. Of course this doesn't apply to stocks trading 10mln+ shares a day, but these are only a handful ...