I’m wondering how long should be the period to test a new strategy IS+OOS.
Of course to have statistical relevance the testing period should be long enough.
But on the other side, having historical data on Forex since 2003 I don’t think it’s too smart using such an old data because the market probably will have suffered several changes. I mean; who cares to find an excelent strategy in 2006, probably this strategy will rejected in 2016. So why should I look for a tradeable strategy using 2006 historical data?
Finding a strategy that has done all throughout the years (10 years+) is best IMHO. My view on this is if it has done well for 10 years, why would it fail when I start it?
Once I find one that has a good 10 year equity curve, I then run it thru the gauntlet of tests. Usually it fails so it will take some time to find a good one.
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