" It produces profitable simulated results on historical data" I understand this is an intellectual exercise, but for those considering going into algorithmic

" It produces profitable simulated results on historical data" I understand this is an intellectual exercise, but for those considering going into algorithmic trading, those words are dangerous: - what transaction fee model is being used? Almost all profitable day trading strategies trade too often that the profits and adverse selection reserve are decimated by commissions and taxes. - have you tried to approximate the presence of your own trade? For example, if you sell a boatload of google shares, the price will start falling. Even with more liquid issues like AA it doesn't take much (5K shares) to rock the boat. - Have you considered the spread? It's unprofitable to quote a penny spread on google or other high-dollar names (the SEC tax alone, roughly $25 per $1M sold, doesn't allow for really profitable market making without at least 3 cent spreads. There are many more questions, and for each question there are hedge funds and prop shops that have lost significant amounts of money, or were driven out of business, due to an oversight.