Anchak; One super big thank you! You are a gold mine of information. I have run a GAM (Generalized Additive Model) which is supposedly an extension of GLM on a couple of different universes which came up with good results. However your Elastic Net Regularization suggestion was new to me. Looking through some docs and “is a logical pairing with GLMs — it removes unimportant and highly correlated features, which can hurt both accuracy and inference”. Thanks again this is exactly what I was looking for.

Said; “I tried MI first with statistical means (failed), from 89-94 then with NN ("Brainmaker" for the NN, writing C code for the rest), failed again”.
Seems we were running in the same universe. I was also a Brainmaker user . I was never able to use it with individual stocks nor with the market timing I tried. What kept me going was a very successful proprietary application that worked for a while, crashed but could quickly relearn and run again.

Mullelmant; Criteria for examination? Not sure what you mean but for small caps I tried both the SP600 and even smaller listed companies > $500K aveddvol. Model returns go us as the market cap goes down.
But I did not consider the friction or turnover , friction and volatility is obviously much higher in the small caps. I believe the sweet spot for most of us small timers is anything not in the SP500 with average daily dollar vol much greater than you plan to invest.