Thanks Again for your reply, Samuel.
I’m very interested in Petko’s response as well.
1. I have chosen to generate using the complete sample of 1.2 because I want good quality strategies to start with. The 30% OOS normalization allows me to optimize the strategy.
2. the 1.2 in sample filter and out of sample filter ensures that I have only strategies that are performing similarly during the optimization period and after the optimization period. I have chosen to do this to prevent over-optimized strategies and to hopefully get consistent future profits. (no success yet sadly. However, I’m not giving up.)
I have tried this method of holding back a month of data and filtering PF>1.2 Minimum count of trades >10. Then tested those bots and found that when they are all combined that they were not profitable as well.
I’d really like to try your suggested method to forward test strategies for a week and then pick only those for the remainder of the month of data.
I had thought of this but was limited due to my strategies are all generated based on the H1 time frame. I’m having an issue doing this as the Minimum data bars are floored at 300 under the data horizon tab. 300 / 24 = 12.5 trading days. NASDAQ only trades on Monday through Friday, so I have to use 2 weeks and 3 days in a forward test. BTCUSD is always open, I only have to wait 13 calendar days. In both cases that is longer than the 1 week.
Is there a way that I don’t know about to lower the floor in data horizon on minimum data bars to 120(5 days x 24 bars) for NASDAQ and 168(7 days x 24 bars) for BTCUSD?