Your big problem is that the future market doesn't look like the past market. There is a statistical error inherent in excessively curve fitting past data. You could develop a system which says you'll return 25% per year and then lose 100% in he he first six months. So don't fall into that trap of excessively back testing.
What you should be spending time is your money allocation algorithms - the very same set of trades can return high amounts or wipe you out depending on what % of your trading equity you allocate. This is something you can test - by simulating actual trading returns - both upside and downside.
I'm not sure if you're looking for trading advice or development advice, but I woudo recommend these books while you are doing system development:
- http://www.amazon.com/Trade-Your-Way-Financial-Freedom/dp/00... - trade your way to financial freedom by Van Tharp
- the entire 'market wizards' series (http://www.amazon.com/Market-Wizards-Jack-D-Schwager/dp/0887...) - there are three (or four?) books in the series, all are worth reading.
The final problem is designing a system which you truly understand, which you are sure gives you an edge. And which you are willing to stick with if there are periods of high drawdowns.
Also remember you are up against people with very deep pockets and huge computers and phd guys working on there same thing.
It's a great intellectual puzzle and a worthy challenge, but make sure you know what you are getting into.
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