, Lewis, from a while back I was fascinated by this concept in one of your posts. Since then I have built a system. It has taken a long time to iron out all the bugs and failures, but now it's working well. I introduced a strategy evaluation cycle, backtesting any new strategy that surfaced. My only problem is that now, I cannot find a strategy that will pass the test! It's not a high bar). I've coded, a trend _following, a momentum reversal, a bollinger squeeze etc etc, all dead in the water when you take into account trading costs (bid/offer spread) Any advice very welcome