I have many strategies that passed all the tests of my plan but I have to select some of these to put in the real market.
What criterias can I look to select the strategies to create my portfolio?
I know it’s not easy but I would like to select the best ones for the future, not for the past.
no matter what technique you use to evaluate your strategies there are no guarantees for future. Generally I would look for strategies that
- performed well over a longer time period and over data not used to build the strategy (unseen data)
- performed well across many parameter sets
- performed well during Monte Carlo testing
- performed well across at least one or two additional timeframes
- have low correlation when related to other strategies in my portfolio
There can be other important criteria but rules above are the most important for me
Run the strategies on your chosen trading platform (Mt4, MT5 etc) and compare the results and equity curves to the SQX back test. Some will be different so you can discard those.
Then run the remaining ones on demo for an incubation period. Once you’re happy they are behaving as planned then slap them into a real account.
Monitor your real portfolio and when any of the component algos start breaking down replace them with new ones from your ongoing development process.
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