I guess I should be asking, why does nobody do this and share their results online?
I have been doing this actually, it just takes a long time to do one system. It's about a weeks worth of solid work to complete back testing by hand. Now, to be clear, im not talking about having a computer test the system. What I've been doing for the system I've been testing, is bring up the 15 minute chart for the day in question, and scroll through candle by candle until I see what looks like an entry. This allows me to take into account factors that you would need some very sophisticated programming to consider. It basically lets me say "If I were trading this system on March 2, 2006, knowing what I know as of march 2, 2006, I would have taken the following trades as dictated by systemX, and they would have performed as such. Backtesting systems with a computer in this way is simply not possible (well, not profitable I should say).
I would not want to only trade this way. As SIUYA pointed out, mechanical trading puts limitations on you which make it extremely hard to account for and quantify all variables (such as news and S/R). I just feel like if you traded these mechanical systems in addition to how you trade normally, it would just increase your overall profit (if systems were profitable of course). You might, for example, make say 10% a month trading normally, and 1% from a system.
"Some have been very genereous and freely shared their methods, backtesting results and fewer are currently maintaining online trade journals."
@wrbtrader - if you could link me to a thread where someone has done this, that would be much appreciated. I have never found a system where someone has actually provided the results of trading it everyday. Lots of people log their trades, and post charts of the trades they took, but I'm looking for numbers.
It's obviously a lot of work to go through and test a few systems like that, but if we had a group of say 10 people, with two people testing each system, it would be practical. Once the historical testing is done, maintaining it would be no more difficult than keeping a trade log, or more simply, just entering your trades onto a spreadsheet. I'll try and post up an example of one I've been working on when I'm finished.
Thanks for all the interesting responses.