challenges of developing forex trading system vs. equity and other EAs

Most of my experience for the past 8 years has been in learning about equities and bonds, and I've developed successful systems for both. I had to learn and experiment for years to even get to the point of profitability. But eventually, things started clicking: I figured out how to exploit some well-known and persistent anomalies that are specific to the equity and bond markets.

So here I am, a total n00b in forex, exploring the possibility of designing a profitable forex strategy. Why? Diversification, in a word: adding another uncorrelated return stream to my portfolio.

I was wondering if there are any experienced members around who've done this already (profitable strategies in forex as well as other markets like stocks). And who can compare the challenges in each domain.

I'm also trying to learn whether there are any documented anomalies in forex, perhaps even some equity anomalies that apply to forex (e.g., the momentum effect, serial correlation, market behavior around price shocks like gaps between sessions, other human behavior effects, etc)?

As I mentioned, one successful research path for me in the past has been to start with observations gained from reading and exposure to markets, mine some stats, and craft a strategy around that. But perhaps that's not the best way to go about it in forex?

I don't know if I can help that much but I had some profitable forex stuff which I'm now transferring to equities for the very same reason you mention, which is diversification. One of the problems with forex is the limited number of markets which one can trade (if automated), everything tends to be correlated with the USD to some extent making it hard to really diversify. I guess one of the positives of forex is never really having to worry about liquidity. In terms of anomalies, forex markets are quite efficient for the most part, I was under the impression there was more dumb money in equities.

Well, I do not know about the equities, but there is no such thing as price in Forex. What I mean, is that beyond a few organized auction hubs like EBS, Reuters Dealing ir IMM forex futures, everything else is a dubious representation of a real possibility to trade. This problem is the more relevant the shorter your time frame is. Forget the quote services altogether for analysis, and forget all the bucket shops for execution. So, either you stick to trading IMM futures, or you will waste a lot of time for nothing.

That's not true. It doesn't happen often but anytime I look at 4 different brokes I see maximum 2 pips difference in the current price and this difference doesn't persist long. Even though, if you can't make money losing 1-2 pips more from time to time it simpy means that you don't have a solid strategy, you're a scalper or you trade only news without understanding what really happens during them.

I think announcments(see calendar) can cause price to temporarlity be out of synch with it real value, you get the greed, fear thing happening. To automate trading the news would require a feed though.