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Please humor me - auto trading forex techniques with 100% monthly consistency

  #6 (permalink)

Posts: 14 since Jan 2013
Thanks: 0 given, 3 received

I do perform walk forwards, but I'm yet to see as much use in using out of sample data as with manually checking months with drawdowns, optimising for those, re-applying to the overall, etc. Perhaps I don't understand them well enough.

I run an exhaustive optimisation every fortnight (which takes forever) and I alter my overall 'market view' as a result of that. For example, entries are skewed to long on the EURJPY right now and have done nicely in January. I am however, unconvinced of the merits of doing this and I generally prefer having equal entry and exit parameters, especially since it can sometimes cause funky reversals in the package I use (Multicharts). I think a consolidation month will hit me regardless of how in tune with recent market movement the system is. Regular optimization MAY increase the profit in +ve months though, but I don't see how I could test this as again the markets haven't been in existence long enough for my satisfaction. I suppose I could start with 3 years data for equal entry and exit params, then walk through 24 months after those 3 years adjusting month by month and see if those 2 years had increased profits. My feeling is it would only make a small difference and there is some comfort in being as willing to long as short a market you feel is near enough random (as I have no interest or ability in fundamentals, macro interpretation of news etc).

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