You are correct. Be very careful about over-fitting a data set. The character of the market changes quite frequently. Two real options: 1. Take the longest time period available to you and create a strategy that consistently works on the entire data set. 2. Take a short term data set, fit it, and then rework your strategy quite often. Don't be dishearted by those who mock your 10 variables. Simplicity is sometimes beauty, sometimes idiocy. Up to you to make the call here.