Robustness

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dsilva743

Customer, bbp_participant, sq-ultimate, 6 replies.

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3 weeks ago #278754

I know there isn’t a one-way method to determine if your strategy is robust enough to deploy on a demo/live account. Still, I am struggling to decide how many robustness tests I should include into my workflow to determine quality straetgies.

I’d imagine you can apply all of the robustness tests SQX offers at once, but it could take months or years to find a solid strategy that passes every test.

 

To help me guide my way, what are some of the robustness tests you deploy and why?

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tomas262

Administrator, sq-ultimate, 1 replies.

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2 weeks ago #278791

Hi,
there isn’t a single best approach for this. Each test checks different things. Generally speaking you should probably always do walk-forwarding testing to check how parameters change affects strategy performance. Also Monte Carlo simulations are very important especially for trade randomization and spread / slippage / swap simulations. Cost of trading often impacts strategy performance significantly. I mean there are many strategies often generated that look great until you check for possible high cost then many fail quickly …

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