I would like to start a new thread about developing and testing systems for trading stocks. The world of developing mechanical systems for trading stocks is different than it is for commodities. One reason is that stock require real money, futures how much money you have available is never really an issue unless you are way overtrading. In equities you really can't use more than 2-1 leverage as an average trader. Another issue is that returns need to be reported in percent, while most trading platforms like TradeStation, report it in dollars. While many Futures traders trade baskets of markets and not having software which can backtest and optimize a portfolio is a big problem in stock, you must trade a basket and the size of the basket is not the 20-60 commodities, it is 100,500, 2000 or more stocks. You want consolidated results across the basket and you would like to optimize the systems parameters across the basket. The final problem relates to the fact that since you need to report performance in percent returns the kludge invented was split-adjusted data. Prices are divided by split ratio, so that you produce the correct split adjusted returns. The problem is if you subtract .01 for commissions for example on Microsoft in 1988 that is really $3.00-$4.00 a share unadjusted for commission. In addition lets suppose we wanted to use money management and buy $10000.00 of each stock, we would be buying $1,000,000 share of Microsoft at .11 in the 1980âs, which does not make any sense since the real price of the stock was over $30.00!. My research show that split adjust results produce error in backtesting of 200%-600%!. The work I have done shows that this is why many people believe that mechanical systems do not work on stocks because using split adjusted data , leads to these types of backtesting errors. I discuss these issues for in a free tutorial on my site. The link is http://tradersstudio.com/Default.aspx?tabid=126 This tutorial includes the rules to a good trading system, which trades the Nasdaq 100 stocks , but you need to be registered on the site to access the complete document , including the rules for this system. The document can be downloaded as a pdf. Registration is free and only takes a few minutes. This will allow you to access much more content on our site which you cannot see if you are not registered and logged in.