Would also say i agree with nicolas, every rule u add = curve fitting. You have a set of data, youre trying to extract profit from that data. What you need to do is extract as much as you can, from simple rules that curvefit as little as possible. For example, excluding a whole day is a very bad rule in my book. But saying “daily close > 200SMA” for S&P minis is probably not such a bad rule, as trading below the 200 day (or whatever variable u choose) seems to add more loosers as price chopps even more when its below than above.