I am currently working on some automated strategy testing, and am experimenting with outputting 'results' in pairs (ie, profit for the trade, and volatility level of overall market) and attempting to analyze correlation with some statistics software. I am throwing these #s thru regression analysis.. Now, for you guys who've done this sort of stuff, any suggestions to prevent me wasting time in the wrong areas? should I somehow normalize my data (ie give high profit trades and high loss trades more weight than lower loss trades), etc. etc ?? Anyone barked up this tree before? this speaks nothing of causation, but i figure correlation is a place to start.