Would you run this strategy? 10 year DAX backtest results attached.What do you think? | Traders Hideout


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Would you run this strategy? 10 year DAX backtest results attached.What do you think?

  #3 (permalink)

Sydney, NSW, Australia
 
Trading Experience: Intermediate
Platform: Sierra Chart, Python, C#
Broker/Data: Interactive Brokers
Favorite Futures: MJNK, ASX, SPI
 
amoeba's Avatar
 
Posts: 167 since Jan 2014
Thanks: 75 given, 194 received


Hi David,

These comments lead me to think it is possible you have accidentally fallen into curve fitting your strategy;


Dvdkite View Post
.....
I was satisfied because the test from half 2017 to today was very promising so when the first rough version of the system was ready I tested it over the last5 years and I sadly discovered that is was losing and then barely staying alive from 2013 since the end of 2016. Basically I discoved that it was really profitable only in the last 1 year.
We all know that 1 year of good backtest is NOTHING so I went back to the entry logic and spent some hours modifying and testing all the entry rules, checking the entry levels and testing new patterns and FINALLY I came up with a logic that made the system profitable as I hope in the last 5 years.
After that I spent some time with the optimization.
........

For system research and testing, I know some traders who will develop on a small historic sample, then test on a out of sample walkforward. If that out of sample walkforward test not produce good results they abandon the original concept and move on to a new idea.

But if you go back to the development data sample and make changes to test again on the forward data, you no longer have out of sample data, and have fitted your results to the whole data set.

There are some really good webinars on this site by fellow autotraders that explore many of these issues, do a search for Kevin Davey, he outlines a very good methodology for developing and testing trading systems, you can also find him on this site @kevinkdog

Don't be discouraged though, I believe Kevin also say's he might get a couple profitable strategies out of 100 ideas. So it is a case of having a solid methodology and continuing the efforts.

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