Readers might be interested in an article that A. Duran and I have coming out in Quantitative Finance this year entitled A Profitable Trading and Risk Management Strategy Despite Transaction Cost.  In the article, a number of the tools I've presented on the blog here have been used in the development of strategy which outperforms the S&P500 in rigorous out-of-sample testing.   We've made sure to check the robustness of the results, and have performed Monte Carlo simulations while varying the sets of stocks and time periods used in the calculation. 

While you're waiting for its publication in Quantitative Finance, you might check out the abstract over at SSRN.