I have a trading friend who wishes to eventually become a hedge fund manager using systematic trading...mostly with either index futures or equity index options. He has this idea of using a blend of statistical indicators (TRIN, A/D, % of 52 week highs, put/call ratio, etc.) to develop one GRAND indicator...a composite indicator. He then wants to use that composite indicator to develop a system with buy/sell rules. I've been trying to talk him out of doing extensive research on the use of those statistical indicators because they seem to have low correlation with the underlying index price. Researchers like Colby have already done the basic work to show that. http://www.robertwcolby.com/RelativeAdvantage.html I am trying to talk him into developing several systems (I suggested three) instead of one and that the concentration of research time should be spent on position-sizing and portfolio management methods. Also, I want the three systems to have separate underlying premises.....i.e. trend-following, reversion-to-mean, trend-reversal, etc. Thus, the trick would be allocate the funds to the specific system/strategy which is showing the best performance based on the current market conditions. In this manner, we could possibly avoid the "John Henry" problem of poor performance in non-trending markets. Does anyone want to comment on my ideas here ?