The things that I have struggled with throughout the years has been backtesting. I could take my system and over optimize and make any report look good. I was continually chasing the best that performed best two months ago. So one long three day weekend i spent close to the entire 72 hours trying to prove or disapprove this new theory I had. This is what I did. I backtested my portfolio from june 30 2005 back the following days. 30, 60, 90 200, 400, 600, 800 and 900 days. then I moved forward from july 1, 2005 to march 1 2006 to see the results on the unseen data. For my portfolio, there was a very consistent result and that is the more days i tested, the better results for the future period. 800 and 900 days were very close to having the best results.