Not sure if this thread is still active but in case someone wanders in. I have done quite a bit of data mining with easylanguage. Developing mechanical systems based on EOD data. From my experiences I found a few tendencies that can be turned into decent mechanical systems (that meet my own criteria anyway!). The key I found was keeping it as simple as possible. For example the best I found was not using any indicators and just looking at the HLOC relative to each other over 2 to 5 days (eg. Gaps). Other interesting tendencies come from volatility analysis (range expansion or contraction). IMO you need results that give you >50-60 occurrences per year and that work without too much variance for 10 years + or even 20 years (Gaps).
I also agree there are many traps but a little bit of research can overcome this (check the link below!).
There are some successul traders using this approach at
http://www.thechartist.com.au/forum/ubbthreads.php and a wealth of info.
Cam