Over-optimization and Roll Over Dates | Traders Hideout


futures.io - futures trading strategies, market news, trading charts and platforms


Traders Hideout


Discuss day trading practices and futures trading strategies on this forum for all markets. This forum is also for discussing and reviews for brokers, data feeds, and commercial or third party add-ons




 

Over-optimization and Roll Over Dates

  #1 (permalink)

Richmond, VA
 
Trading Experience: Intermediate
Platform: TradeStation, thinkorswim
Favorite Futures: Crude CL, Gold GC, Copper HG
 
Posts: 5 since Jun 2017
Thanks: 34 given, 2 received

Over-optimization and Roll Over Dates

I am developing a few algorithmic strategies across various indexes. Part of the development is in the optimization of key parameters with walk-forward testing.

I am developing on tradestation. I swing trade and hold my positions often from 7 to 20 days. I am relatively new to this, with about 10 strategies under development.

Part of the development process is the selection of what I am trading (my symbol - like @NGU17) and when I should automate the roll over for back testing (like @NGU17=102XC - roll over 2 days prior to contract expiration). Naturally, I chose the one that gives the optimal result. If it works the best, it must be according to a general pattern for that commodity, right?

This feels like over-optimization, but I am not that familiar with rollover date strategies for different commodities (Gold acts different than Hogs for example; the difference can be significant, even (rarely) the difference between a fairly strong system and a losing system).

For you algorithmic traders, how do you handle this? Do you walk forward test your rollover date also? Or just pick one and run with it?

Is there somewhere to learn about principles related to roll over date strategies?

Any insight to this would be appreciated. Thanks!

JamesW

Reply With Quote
The following user says Thank You to jamesw for this post: