This is my summary of algo trading and what has brought me to this point that I feel works for me. (I could be wrong???)
Put a large amount of time / filters / robustness tests into creating a smaller number of EAs that are tuned to run for a longer period of time and ride out the drawdowns with confidence that your EA will work in the longterm.
Create a larger number of EAs with less robustness filters etc… Allow them to run forward and filter them on the fly….. Replacing them on a more frequent basis to keep them aligned with the market.
I am just more comfortable with the second.
If you watch enough of Petko’s videos ( And I recommend that you do) you will see there are 2 main filtering systems that he utilises.
1.) Create your strats, run them forward on demo, filter the top performers ( with PF, WL etc) and transfer them to live account.
2.) Create your strats. Leave them for a week / month. Load them into validator and pick the top performers and transfer them straight to live. Or hold back a week / month run them through the validator and transfer to live.
So for me I chose to use both filtering systems as this gave me better results….. I create my M1 strats over 8 weeks of data, not using the previous week. Then run them forward on the validator for one week, giving me the top 100 / 200 or whatever. (Pre-filter). Then to demo. After they meet my criteria on demo they go to live for the rest of that 4 hour session.
I hope that makes sense….. I have probably gone on too much…….