I think your method only means that you split the historical data into two sets and perform backtest on each of them. You assume that if these two sets pass the backtests, it will perform well in the future.
I want to use the historical data to prove if it is true. My method is: (1) Set data horizon to 1/6/2023 to 30/9/2023 (4 months); (2) Generate the strategies using EA Studio; (3) Add the top 5 strategies to the portfolio; (4) Change the data horizon to 1/10/2023 to 31/10/2023 (next month); (5) Recalculate the portfolio; (6) Advance the data horizons by one month and repeat the process ten times.
Since all strategies generated in step (2) are profitable, I expect that the result from (5) (i.e. next month after the sample data) is also profitable on average. However, the result is very disappointing. The average is losing. It means that if I used the generated strategies in the past, I would be losing money.
May I know if my testing is meaningful? Why the result is negative? Has anybody tried to perform similar tests and got positive results?