The pertinent question here is where do you want to focus your efforts? Modeling price series versus "engineering" - if you will - a good system are two very different pursuits IMO. While a good model can be created by anyone with some elementary mathematical knowledge, a good trading system on the otherhand uses an entirely different set of rules and assumptions. In any case the two can work in concert given an appropriate fundamental understanding of the market principle one is trying to exploit. From the looks of your model (and please correct me if I am wrong), it attempts to time market turns or inflection points. Immediately I would question why your model attempts to "time" something that is very often catalyst - and hence randomly - driven. Because of my narrow views of what does and does not work in the markets, the idea of timing any market event seems to me to be a contradiction in logic. Some have mentioned I am set in my ways regarding this, but, again I have done the research and have come up empty. The following is all opinion and should be taken with a grain of salt: A trading system should aim to respond to low/high prices irrelevant of time. Time should definetly incorporated into the trading side/money management aspect of the model, but, in terms of identifying the actual points of inefficiency a timing model is too suspect to curve fitting and general volatility as well as LAG - in other words: current price rules all, historical recent price should be used as a second order input. I run systems that are essentially permutations on two very simple concepts - are prices moving away from value or are they reverting to value? That is it.... I do have some mathematically sophiticated volatility models that help define extrema points, but these models only aid in assessing risk, in as such they act as a fifth wheel in many cases as well.