BZB Trader has been posting test results for some simple mechanical trading systems. Some of these systems can produce fairly good results and might be a good starting point for designing your own system.
For example, take a look at the plot included above. This equity curve was produced by a variation of the 'Grand Slam Cross' system. While trading IWM, this system returned 0.5% per trade with a 72% win rate and a 0.9 win/loss ratio. The system is very interesting in that it has been produced good results on the short side. While the system has produced very steady results since 2005, it did not do well from mid-2003 through 2004.
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