I'm kinda bummed here. I've come up with a backet of stocks like 15 or so, and created a strategy...tested from Jan 2002 to May 2005. I detrended the data and showed a good profit. It is a moving average model using 3 parameters and found points where the parameters closed by worked. I tested on out of sample data (Detrended Data) from May 2005 to May 1, 2007 and I still got a good profit. I've ran the strategy from May 1, 2007 to current date June 13, 2007, and wow haven't done good @ all. I've been trading 50 shares for each stock, so I'm not down much. How is my approach? Should I still run the strategy? Comments?