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?

  #13 (permalink)

Trieste Italy
 
 
Posts: 146 since Feb 2018
Thanks: 128 given, 18 received

First of all I wanto to thank you all for your replies ans suggestion. Any critics will help me to improve my validation process.



amoeba View Post
Hi David,

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



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.

Hi Amoeba,

Yes I completely understand this point of view and I also thought that I should be carefull to do not overfit with the system but I also don't want to be scared to do some kind of optimization because sometimes it can lead you to new ideas and values that otherwise you woulnd't ever think about.
Anyway your point about the Out of the Sample data is true because I started to develope it using the last year. BUT when I started to use data from 2013 the backtest shown me cases and patterns ----> entry/exit cases that I wasn't able to see in a market movement during the last year.
My purpose is to develope a system at least using 3/5 years... doing it on only on 1 year can lead you to too optimistic and maybe unrealistic results and the only reason I started with just one year was to set up a raw system of rules and just see if it can have a chance and then I moved to 5 years development.

Talking abount out of the sample data:
please note that when I completed the 2013-2018 system (with a slight optimization just over the STOP LOSS VALUE) then I just switched the start date WITHOUT TOUCH ANYTHING to 2008 and as you can see in the backtest the 5 years 2008/2013 are performing good without any optimizazion over that !
I know it's not a classic Walk Forward Optimization that uses the last 6 month as OTS data but 5 year of past out of the sample should be taken in consideration as a good UNTOUCHED DATA isn't it ?

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