Data mining to find trading strategies maybe a good idea, but I am scared of it. It sounds like over optimizing the past data.

There is a system called "fun with numbers" on the wealthlab site. Check it out. An able programmer named Giorgio coded it. It just looks in the past and tries to come up with winning combinations. However, he warns that it is curve fitting and maybe hazardous to your financial health.

Just thought I will take the contrarian approach here when everyone is looking for these successful systems.

Maji