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Forums>StrategyQuant>General Discussion>robustness testing working?

  • #257554 |
    Customer
    38 Posts

    Hello, what filters/tests do you perform to determine whether there will continue to be a profitable strategy in the future?

    is a simple backtest IS/OOS sufficient?

    what do you think about the MC or can they tell you which strategy will go to?

    are you going to the SPP, WFO, WFM?

    According to my multi-year tests, no robustness test shows the future (expected)

    What do you think and what tests do you carry out while leaving profitable strategies?

    #257568
    tomas262
    Administrator
    1826 Posts

    Hello,

    no test will tell you whether a strategy will continue working or not or how. Once the strategy passes all the tests we implemented into SQ odds are simply in your favor in regard to future performance fluctuations etc. The monte carlo testing shows you week points of your strategy whether it is the spread size, indicators parameter, input price data changes so you know better what to watch carefully with the strategy.

    It is even hard to determine a point at which the strategy stops working. It can make money 5 years straight then 1 year quite the opposite and next 5 years the initial money making trend continues. Good or bad? Always up to you to decide

    Don’t be too hard on your strategies. There is no perfect strategy but a perfect trader that use them and manage them effectively from the portfolio risk management perspective

     

    #257570
    Customer
    793 Posts

    totally agree…

    only test which make sense to me is profitability of the strategy on more markets (as much as possible) – to test if the strategy has real edge on the market.

    and dont want to achieve superb backtest – because backtest is only the past

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