Stock Selection - Strategy Development

I will be researching and developing a trading strategy over the coming months.  All of my test results and progress will be documented on this blog.  I will be sharing basic code and discussing various ideas to improve returns, while hopefully avoiding over-optimization.  Once this process is completed, I am expecting to have a structure for developing and evaluating trading strategies which I can use to research many other market anomalies.

First, I need to determine a period of time which to perform back tests and research trading ideas.  I have already posted my choice here.  The time frame will begin on September 15, 1998 and end on September 15, 2009 and include all US equities.  I will be using StockFinder 5.0 to back test trading ideas over this time period.

Second, I need to focus on a strategy that will fit my style of trading.  I am comfortable holding trades anywhere from 1 day to about a month, so this will not be a day trading strategy since I do not have the resources (time, equity) to successfully trade it.  I wouldn't mind placing 1-5 trades a day, but more than 5 trades would create a cumbersome portfolio over the span of a few weeks that would be difficult to maintain with my other commitments.

Third,  I need a strategy that produces reasonable returns that would likely overcome slippage and commissions.  Currently, I have no way of testing these ideas and including the effects of slippage and commissions.  I will try to develop a fixed percent reduction in the average trade results to account for such effects, but the returns should be significant enough for the average trade to overcome slippage and commissions.

Fourth, I want to adopt Michael Stokes' (MarketSci) philosophy of limiting the word count on his results posts.  This should help me avoid lengthy descriptions and unwanted analysis, while keeping the results posts clear and concise.

Any advice or comments are welcomed during the process, but keep in mind that I am a beginner.  At the very least, this should be a great learning experience that will help me improve me skill set.