With some additional robustness checks and careful implementation of a simulator for fill prices, commissions etc you are well on your way to launching your first quant strategy.
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So this is what not to do, instead do we need to start from an economic thesis and try to linearly model some future excess returns based on particular input variables? Is there truly no pt in testing the consistency of certain simple/naive tendencies/patterns 1/2
You have two options -- 1. Only look at signals that have some fundamental rationale, design them with the fewest # of parameters possible (ideally 0), test them over as many different time periods, assets and asset classes as you can.
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2. Build an incredibly robust machine learning pipeline for testing non-economic signals, suitably regularized, training/test/validation sets, being careful to avoid information leakage from training set into test sets (easy to do if using forward returns e.g.)
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If you aren't absolutely certain of your ability to do 2. properly, then only do 1.
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