What should be the form of a trading strategy?
SEC regulation ensures that mutual funds are all relatively low-risk, so we can invest 100% in just one.
Transaction costs do not depend on transaction size, so we can make 100% switches. The default action should be to keep the current investment, to minimize transaction costs.
Most predictors should have a monotonic influence, so we can use thresholds. For example, the S&P500/foreign correlation might be exploited by the condition/action rule if S&P500 change > 0.5% then buy VGTSX
Combinations of indicators would enlarge the search space, so make search slower while increasing the risk of overfitting.