Přejít k obsahu | Přejít k hlavnímu menu | Přejít k vyhledávání

Recommended Initial Data period for Building

14 replies

3 years ago #268108

Hello, I am new here. I am building strategies for EURUSD on H1 using default Breakout config.

The data I use for the building is 2011 – 2018 (Eight years) and I set Data range parts with 10 OOS (the last option). I on purpose leave 2019-202 as out of sample for the final OOS test.

I manage to generate promising strategies using the robustness tests as instructed in the training videos.

All final strategies are great when I backtest using long term data such as 2003-Today (17 years) or 2011 – Today (10 years).
However if I run the strategies on 2018-2020 (now) meaning the last 3 years I can see the strategies are struggling. The equity curves are bad. With that fact, seems these strategies are failing to make stable profit for the past 3 years market data.

It seems cuvefitting is still happening even after the strategies have been tested rigorously.

Am I already in the right track? Or am I choosing the data period wrong in the building process?
Should I focus SQX to train on the most recent years (for example 2015-2020)?

Thank you,

Andre

Risk Disclosure:
Futures and forex trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones’ financial security or life style. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

Hypothetical Performance Disclosure:
Hypothetical performance results have many inherent limitations, some of which are described below. no representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.

Testimonial Disclosure:
Testimonials appearing on www.strategyquant.com may not be representative of the experience of other clients or customers and is not a guarantee of future performance or success.