Home Forums General Discussion Realistic expectations for the EAs Reply To: Realistic expectations for the EAs

User AvatarSamuel Jackson

One additional suggestion Mario, it sound like you put this together pretty quickly on what I am assuming is a recent end date of the sample?

I would suggest repeating what you did exactly but set the end date back six months or so. Then assuming you have a collection of say 50 strategies that you think look good add a sample of them (or all of them) to the portfolio and then recalculate for the most recent six months (Kind of running a second OOS manually).

That might give a quick indication on the likelihood of current your process resulting in curve fitting. Also you mention running the generator rather than the reactor which also adds to this concern.

Ordinarily I wouldn’t think spread or slippage would wreck things (provided a sensible approach is taken) but if you were trading every bar like this then I’d say spread, slippage and commission would be extremely likely to kill it.

As Petko said the major concern is the length of the trade and that you have traded every single bar of the entire set? I actually cant even comprehend how such a strategy would be created. Its really just opening a long or short trade at the start of EVERY single bar and then closing it at the end of the bar and immediately reopening another long or short position which seems pretty wild.

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