I have this automated day trading strategy that was extremely profitable and took a dive. The strategy really lost its edge in mid september, but had you traded it for say a year back on 800 stocks and done fairly decent size you could have easily made over a million dollars. It took me a while to put this together and I did take advantage of the strategy for a couple of months, but as I was beginning and making sure the program was running correctly I didn't pack on size, but made some good money. Then in mid september the trades didn't go as planned and especially with the volatility I really got hammered, October passed, November passed, and december passed, and the trades continued the opposite way. I've spent zillions of hours analyzing the system and it doesn't matter if you tweak the parameters or not, across the board it's not profitable. But there is something to note. The strategy is based when condition A is present. The key that really makes this profitable is to put a filter where you only take trades when condition B is present. What's interesting is that through this down period, this relationship still holds up where trades when condition B is present are much better than when it is not. So what do I do w/ this strategy? I'm still running it, but honestly I've only been doing 100 shares, and I still find it very hard to watch as trades continue to go against me. I've recently found something else that makes money and I'm glad for that, but I'm sickened when my gains are erased by this losing strategy? * This strategy produced around 75 trades / day.