Limits for historical analysis

My Goal is to identify stocks that will provide the largest possible percentage return in the shortest amount of time. Once these "Winning" stocks have been identified I will search for commonalities among them. The limitations for identifying winning stocks will be the following:

• I will only be trading in stocks
• I will invest in up to 5 stocks at a time but do not need to be fully invested at all times
• It's assumed I have $100,000 to invest, on margin $200,000 - up to $40,000/stock
• Minimum Liquidity Requirements
• Minimum Trading Flow/day - $800,000
• Price * Volume = Trading Flow
• Minimum Volume/day - 150,000
• Minimum Price - $1.00
• Price Entry/Exit
• Use rule based system to get into and out of stocks
• Assume 0.5% slippage on entry as stocks will likely be passing through buy/sell points at a high velocity
• Commissions
• Assume $5 per trade

For now that's it on limits! This should give me a sense of what the maximum possible returns are in a perfect world. Even this perfect world needs to be stemmed in reality which is why there are three important points I would like to make about the historical analysis I will be doing:

1. Avoid bias
• Focus on the entire world of stocks
• Utilize all time frames data is available
• Look for trend changes in "Winning" stocks qualities from older to newer periods in time
2. Ensure entry would have been possible
• I only have access to daily historical data which will limit entry/exit to open/closing prices
• The limits on liquidity, slippage and entry/exit are to ensure it would have been possible to enter at the position the historical data says to enter
3. Keep it realistic and find a pattern
• I'm not going buy a stock for $.01 and sell it at it's top of $2 without valid reasons for doing so. If I cannot find a connection between any of the stocks data and performance I will pass until I find that connection. Sticking to the data and avoiding emotional decision is my advantage vs. other traders.

Next time we discuss how I will find and organize the data!! The fun never ends :)