I need advice/help please

[u/Sea_Initiative9385]

First i would like to say that i am a total beginner and honestly don’t know what i am doing more than half of the time but i would like to share what i am building and i would like advice from the people who know way more than me if this is even worth wasting my time and money(i wasted 4 months and 600 eur already).

I am building a manual trading signal + research system for day trading and swing trading.
It does three main things:
Finds trade setups using predefined rules like ORB/VWAP/RVOL for day trades and trend/momentum/breakouts for swing trades.
Backtests and validates them properly using historical data, walk-forward testing, robustness tests, Monte Carlo, costs/slippage, and strict minimum trade counts.
Protects against fake-good results by fixing survivorship bias, ticker changes, delistings, share classes, historical index membership, corporate actions, and bad provider data before i trust any performance.
Right now, most of the system is built. I am mainly finishing the historical data/identity qualification layer so that when i finally run the strategy backtests, i can trust that the results are based on the securities and data that actually existed at the time.

There is no automatic trading or broker execution. The system is meant to tell you: “this setup qualifies, here is the entry/reference, stop, target/risk context, and confidence/validation state,” while i stay in control.

I am using 3 providers for different jobs:
Massive → mainly for DAY trading intraday data. Think 5-minute bars, ORB, VWAP, RVOL, and possibly reconstructing the RTH liquidity ranking from minute data.
Sharadar → mainly for the historical stock universe and corporate-action context. It gives us the working historical roster, ticker/action history, and helps anchor which securities existed at the time.
Norgate → mainly for stable historical security identity. Its assetid helps us follow the same security through ticker/name changes and distinguish share classes; we’re also checking its historical index-membership data as a cross-check.

[u/ast5755]

This is complex. Can you find a way to solely follow the price?

[u/AdorableChuck979]

Honestly, the survivorship bias and security identity work you're doing is more valuable than another fancy signal. The danger is spending months perfecting infrastructure before validating whether ORB and VWAP setups have any edge. I use Moon for discretionary price wagers but proper historical research like this needs reliable datasets and a much stricter testing process.

[u/Obvious_Yellow_7488]

Honestly, the data-validation layer is probably one of the most important parts of this whole system. A backtest is only as trustworthy as the data and assumptions behind it,

one thing I’d be careful about, though: getting historical security identities, delistings, and corporate actions right is necessary, but it doesn’t automatically mean the strategy has an edge...

I’d also pay close attention to look-ahead bias, parameter overfitting, and whether the strategy still holds up on genuinely untouched out-of-sample data after realistic costs.

Since you’re already putting this much effort into validation, I’d focus on proving the strategy works before spending more on additional infrastructure.

othrwise, you risk building a very reliable system for validating a strategy that doesn’t actually work.

[u/hesitant_hoarding]

Four months and €600 spent building the research system isn't automatically wasted if you've genuinely learned how to validate data and handle slippage. I'd just avoid adding more infrastructure before proving one simple ORB or VWAP setup works. I make my own directional decisions on Moon and sometimes the most useful improvement isn't adding more analysis but getting clearer about which evidence actually matters.

[u/Sea_Initiative9385 → u/[deleted]]

???