Support Board
Date/Time: Mon, 25 Nov 2024 20:46:03 +0000
Post From: Renko Chart Bar Based Backtesting Flattening Issue
| [2024-02-18 05:37:23] |
| User61168 - Posts: 403 |
|
I think my strategy is over fitted - if I may..... this is a real problem in strategy development. How do you backtest and build entry/exit criteria and avoid overfitting or curvefilling or parameter optimization (whatever you want to call it)? Here are some techniques/methodology I follow but before you read further, I want to caution you, backtesting will frustrate the life out of you :-)1) Never EVER manually scroll charts back in the history more than 2-5 days if you are an intraday trader! Starring at charts forms all sorts of biases. 2) Never ever watch charts while backtesting during market replays. Only watch to troubleshoot and/or confirm the innerworking of strategy is working as intended. Just blank out the bars or zoom in to show only one bar on the chart. 3) Use simple alerts to check the trade frequency/volume of entry signals 4) After running backtests and if the results show merit with some losing days, do a date-exclude of all winning days and show only losing days in the chart. Hide all the order fills. This becomes your new BLANK canvas to build a completely new/different entry/exit signal. Wipe your brain from the previous trade signal or results. 5) Design a completely new strategy/entry setup. Test this new setup on the filtered losing days to see if it has any merit. If not, scrap the entry signal and go back to the drawing board. 6) once #5 shows some good results, remove the date-exclude filter and run entry from #5 on all days 7) if #6 shows some good merit in overall results, repeat 5 and 6 steps. if not, run the combined signals from 3 and 5 to see if there is any edge in both entry signals together. 8) rinse and repeat until the overall results show merit. 9) if 8 is a success, now the fun begins. Randomize the start and end dates to run atleast 5-10 backtest results to check how strong is the foundation of your edge. CAUTION: 99% of strategies will fail in this step forcing you to either 1) go back to #3 to start all over 2) just f*ck backtesting and go live to see what happens lol Edit: if this approach is too much painful, you could just pick any random strategy, go to trade activity log, apply day of week or time of day filters, go live and take trades only on the profitable weekdays or hours and see what happens. You might get lucky lol... this way it would take minutes to curvefit any strategy of choice :-) Date Time Of Last Edit: 2024-02-18 05:44:46
|