I decided to start this because I've been mostly keeping to myself, and it's getting annoying to be alone. Naturally people are very quiet about their own strategies, and we are skeptical of those that are not since they often appear to be selling something. But I think I'm missing out on a lot by only getting my information passively through the Internet and books. So I was hoping I'd start chronicling all my backtest mishaps in hopes of getting some interesting conversation going. This thread is going to be a journal for all my strategy development mishaps first, and potentially it may stay that way until I fade away again. If I have the fortune of figuring out something, then I will chronicle it's ultimate demise trying to bring it into execution, before that completely fails and I fade away again. If I have even more fortune, perhaps I will start noting the trials and tribulations of executing. Until then, it's going to be a lot of Monopoly money, and boy have I burned through a lot of choo-choo-train dollars in the backtester. For background, I'm a programmer. If we're talking about people putting in their 10,000 hours, that would be me with the programming. I've now spent more than half my life programming. It brings me pleasure. Shut up. Okay, you can laugh a little bit. When I was 10 or so, my folks bought me a bargain bin all-in-one PC game package for our old IBM. To date this accordingly, the software came on 5.25" floppy disks. On there were two games that were birds of a feather: http://www.squakenet.com/download/inside-trader/4091/ http://www.squakenet.com/download/corporate-raider/3944/ This started a damaged relationship with the stock market. Throughout my schooling I had pondered an automated trading system, partially to be filthy rich, but to also prove a point that I could do it. I'm getting on to middle age now, and am reaching a point where I can open an account, make a mess, and not be totally ruined. There have been plenty of misadventures before these, so let me have a little preamble. I backtest the crap out of things, and I am wary of some of the perils of curvefitting. Most of my misadventures involve them. As you see, I haven't blown away money on them (yet). Towards this end I have found "Mechanical Trading Systems" and "Evidence Based Technical Analysis" to show some good methodologies for designing systems. I try to keep to that. These days, I've been playing in AmiBroker, with experiments outside of that using C++ and Python. Traditionally, I have looked at equities but I think my next misadventure shall be currencies.