I have been persuing the path you are on for quite a while and have obtained best results using price patterns and intermarket relationships. Look at what effects a security ... for instance, the SP500 futures ... what could effect this? The Dollar, TBonds, Euro? What drives the index to go up/down ... advance/decline, tick, trin, vix? Applying traditional indicators (mov avgs, momentum, etc.) to these instead of the security can yield some interesting results. Elite Trader is a good site, however there are a few other websites geared more towards system development. Check out the forum at traderclub.com Check out the mailing list archives at purebytes.com/archives Also checkout the recommended reading at thomasstridsman.com (books). There is a good selection of books that deal with trading system development and optimization. My personal take is to look for a relationship and then "fine-tune" is with different parameters. My data sample is usually quite large. For example, when testing a daytrading system for the sp futures, I sampled data from 1990 to end of 2001. There were over 500 trades. My optimization yielded a little less profit (4%, but cut down the drawdown by 18%). The relationship is very robust so this optimization doesn't effect results much. Price patterns can be very profittable also. I'm just starting to investigate this and have come across some very interesting patterns. Here's a clue ... when looking at a daytrading system, take each day as a seperate event then filter it with previous data. For example, say you are using hour bars and a certain pattern develops indicating a long ... this is based upon data for that day only. Apply a filter by looking a N previous days, such as making sure the security is/is not in a trend. Good luck ... keep us informed of your work.