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@sysdevel99 - Yeah, you may be right. But what I am doing is also an experiment. I actually do not have a lot of indicators and system is mainly based on pure price action alone (Roughly, if the price breaks a certain point everyday, I trade with a certain risk/reward). But then if trends do...

I am trying to build a strategy via walkfwd optimization. So roughly, I take last 6 months of data and will build a bucket of profitable strategies to play with the next 1 month and keep moving the sliding window. All looks good, only that the most profitable one from the bucket is really not...

I agree with you. That's another reason I am giving up on any kind of averaging and trying to understand pure price action. May be some MA could be used as a guide - but am thinking about purely price action based strategies. If you have any thoughts, I'd love to hear.

@Victory5: You are talking about the perils of curve fitting and I get it. But backtesting over a window and optimizing is anyways curve fitting. May be if the window is long enough over many years, we expect it will show similar pattern. But the other point I was making was, has anyone done an...

I don't have lot of indicators. It's a very simple system based on EMA20 and SMA20 and the current price. If I use ALL the data, wouldn't data snoop bias cause issues ?

I am trying to backtest my strategies and have been having difficulty design it in the right way. I am using 1 minute OHLC bar data (forex) for dates from 2009-05-01 to 2015-08-31 (It comes to 1666 days) and my system will attempt to make at best one trade a day. So I have some input indicators...