It seems to me that all discussions around mechanical systems tend to strictly revolve around technical systems. Not only are they strictly technical, but often the parameters used exist only for the shortest of time periods before being invalidated by the next set. I sometimes wonder if this is due to the software currently available for strategy developers -- certainly getting price and volume information (allowing you to calculate endless technical indicators) is much easier than getting historic fundamental information. I spent my summer developing a strategy system that invests based on fundamental information. One of the largest issues I faced was that fundamental information is always inherently lagging -- if news breaks between quarters, your system may not recognize the fundamental change until the next 10Q. So I also rolled in a primitive trend system that helps identify when price and fundamentals are disjointed -- normally indicating that the next quarters fundamentals would not be as good. In back testing, this system did extremely well -- from 1990 to 2007, it returned 1300% on extremely low volatility -- taking very few (<20) trades a year and having over 85% trades successful. However, the majority of these 'trades' were actually held for a year or more, making my system a strategy investment vehicle, instead of a mechanical trader. Before you quack 'curve fitting', I only 'taught' the system on the years 1990-1995. So I know that mechanical investment systems can be written -- and they can be simple. My system has a total of six indicators ... and it does a pretty good job of weeding out the winners and losers. But as I said ... this is an investment system, not a trading system. I am very interested in the application of fundamentals -- and specifically the divergence of fundamentals and price -- to trading systems. So I was wondering if anyone had effectively developed a mechanical trading system based on fundamentals ... or even if anyone else had developed a mechanical investment system and wanted to talk about the issues of finding data for back testing and results. Thanks, and happy developing! -C EDIT: I wanted to clarify that my results did NOT include slippage or tax. Slippage was not of much concern due to the fact that the system was for investment, not trading. As for tax -- well, it all depends on who is using the system But there are always tricks for minimizing tax, and I didn't want to try to roll those rules in -- so I just assumed the system was trading in a tax-free account, like an IRA.