You could check out the following sites:

The Most Advanced Tool for Analyzing [AUTOLINK]Price Action[/AUTOLINK] and Discovering Trading Systems

Trading System Lab

They will let you find patterns within predefined risk parameters, and that might be a good starting point for building a system.
Good Luck!

Thanks everyone for the great suggestions. The Odds Maker looks close to what I"m looking for, although it also doesn't seem to be as robust as I'd like in terms of entry and exit conditions.

The suggestions with NinjaTrader sound like a great idea. One downside with MultiCharts is that their backtesting module is limited to 100 symbols at the present (they're promising to expand that soon...), so I can't do a scan of a broad portfolio with hundreds or thousands of symbols. If NinjaTrader can do that, then that might be the ticket. I'll give it a try.

Very interesting programs! Thanks. Do you use them or do you know anyone who does? Any commnets on the robustness of the systems they generate?

Do a search on ET and you'll find some PAL users. I haven't tried TSL. Last time I checked, the initial license was $60k (for 2 years) and a little out of my price range.

I would like to emphasize that I used PAL as a research tool, and did not trade any of the auto-generated systems in their original condition. It is a nice way to get ideas, and if used correctly, it is well worth the price (IMO).

Many thanks. I ordered the demo and I already installed it. It looks like a very interesting program. I ran a search already on ES data and I got a few profitable patterns. I will search for more information as you suggested.

Hello Timot,

what is your impression of PAL? it does not come cheap thou.

best regards.

-zhao