Thanks for your prompt reply, Alan. I think I need to use an example to show my idea. Let me set up a reactor with the data horizon of 1/6/2023 – 31/10/2023, OOS = 40%, min. profit factor = 1.2. After execution, 23 strategies are collected.
Then I add the top 5 strategies to the portfolio and check the result. The net profit is 1233.18 which is normal.
To check how the strategies perform in the next month, I changed the data horizon to 1/11/2023 – 30/11/2023 and click the “Calculate” button in the portfolio page. The net profit became -39.82. It means that the generated strategies is losing in the next month.
I checked many symbols, time frames and data horizon, the negative profit is more common than the positive. So it means that I cannot rely on the strategies generated from previous months. Is this conclusion correct or I am doing something wrong?