I am working on an intraday strategy using 5/10 minute bars. I am getting a decent return and sharpe on the strategy. But on close examination I see that I am making about 1 cent per trade (I haven't taken transaction cost into account).
How do you guys go about choosing a good intraday strategy ? I have always used sharpes and CGAR for long-hold time strategy but seems like evaluating intraday strategies is a different beast.
I also notice that my strategy makes money for symbols in certain sector, and not for other ( this is my backtesting dataset). Do you normally throw out symbols with negative returns when doing a forward test as part of your portfolio ?
EDITED: This strategy is based on US equities and yes I am using a combination of midprice and previously traded price. Question is quite simple I think, how do you guys evaluate intraday strategies ? How big of a factor is slippage intraday ( on a 10 minute scales for example). ?