This post is aimed at those who have succesfully developed mechanical trading systems. I have just started, about two weeks ago, spending my days using relatively sophisticated proprietary software to develop a mechanical system. I'm having fun and learning a lot about what doesn't work as well as realizing the extent to which markets are random - I know they're random with islands of inefficiency/exploitable fractals, but all I'm seeing is the noise. I'm not interested in nor would I expect anyone to share their system with me. Even if you did, it wouldn't do me good because when it dies I would be dependent on it and unwilling to cut it off; I also would have no way of finding a new system. I want to learn this the hard way, and if that means spending six hours per day for two years banging my head against the wall trying to get a system, I'll do it. I'm interested in hearing someone succesfull describe their development methodology - what goes on in your mind, where do your ideas originate (from watching markets? Do you just think of things that should work?) and how much time do you dedicate to one idea? Do you keep building a system that doesn't work to see if you can get something out of it, or do you scrap ideas quickly and focus on simple systems? Is simple more effective, or are all basic ideas discounted by the markets and is the only chance at exploiting a consistent edge to be found through a complex, unique algorithm? Is there anything systematic about your system development, or do you just try things until you find something that works? How do you avoid wasting your time on bad ideas, and how do you know you're spending too much time exploring the wrong path? Answers to any of those questions would be highly appreciated (or being told that I'm asking the wrong questions and approaching this problem from the wrong angle). There's a huge amount of vagueness to this, so I guess what I'm asking is: if you were a newcomer and starting your process all over again, what non-system-specific information would you want to know to expedite your journey to success?