With the right data-mining tools (which I understand you do have), it should be easy to find if this is statistically significant or not. Why don't you share your preliminary results? This might prompt a deeper discussion.
I will share some of my research starting next week. I will add that one major issue is that different markets have different tendencies. Many teachers teach traders that they must watch one market to trade another (For instance, watching the SPY to trade a specific stock) and my research shows that this is a REALLY BAD IDEA (for an intra-day position style trader) and it's simply because the tendencies of the SPY are not the same as most stocks. While this may be a good idea for a scalper, for the longer-term intra-day trader, it's not. A simple example would be that a Market Based ETF like the SPY has a tendency to move a bit farther in one direction after the open before a reverse or turn in direction is made compared to most stocks.
In regards to the above statement - Last year while I was testing the platform and creating new strategies. The manager at the firm spoke with me on the phone after a month of being consistently profitable (while trading small share lots and the exact same rules everyday) and said - we are trying to figure out what it is that you are actually doing. I thought it was hilarious, especially considering that I was referred to as the Elite Trader Amateur. It actually made me laugh when he asked what I was actually doing. He said "Are you watching the SPY, and listed about 5-7 other rules, then just taking XYZ for a ride as long as you can?" In an attempt to increase his curiosity, I said "sort of, but not really. It's more based on statistics and price-action, than following any other symbol." He laughed and said "You know, what you are doing isn't all that complicated." I did not respond, but I was thinking to myself...this guy really is clueless. Not only does he think the SPY is the leader, he thinks that more rules are necessary.
This indicates that the SPY (and other market-based ETFs) will need to move a greater distance in one direction before it would be safe to take a trade in that direction. This is also a reason why many traders trade the SPY using RTM (Reversion to the Mean) methods. These same (RTM) methods are not as effective when trading momentum stocks.
The sad part is - I found out later that he attempted to do what I was doing, but was unsuccessful. The problem was, he had NO CLUE as to what I was doing. I am certain he was very confused when there was a long position in one stock and a short in another. (And this was not a pair trading strategy). WHY was he unsuccessful? He most likely keyed his entry off of the SPY - BAD IDEA. He did not have a 100% automated system. There is no way a manual trader can enter an order as fast as an automated system. Not to mention, the program has no emotion. He did not have the information that he needed. - In terms of Research and a data-mining application to find out what would / would not work. He did not understand that what I was doing was all calculated and automated. I tried to explain this to him many times, but he would not listen. I attempted to tell him that the program took less than 3 minutes to setup, but it would do everything on it's own and I would not enter a single trade manually. Just a few months ago, I was contacted by someone who has been in the industry for a very long time and the question was - If you had a profitable system, whey did you not size up? I proceeded to explain that my goal was to become more like Toby Crabel and CCM in my approach to risk management. My goal was to take smaller trades, risking less capital on each while diversifying my strategies as well as my risk. This approach simply cannot be achieved manually, there is just too much going and too many calculations to make.