I always look at what can be taken away to make a strategy less curve fitted rather than what I can add which will only ever make it more curve fitted.

I totally get what you say about not wanting to hold on too long to negative trades. Holding is fine if you start with a big bank but then if you have a big bank then just buy stocks and hold on to them through thick and thin – don’t spread bet! I would rather look for a lot of strategies that are very simple and have a slight edge and just buy today and sell tomorrow or buy today and sell in a weeks time. Trade a lot of these uncorrelated and you will make a profit – but the important thing is to keep it very simple – less is more when it comes to conditions in a strategy in my humble opinion.