Backtested vs. forward performance

A

andrewbee

Hi,

Who here has run an automated system that performed as well going forward as it did in backtesting? Over at least a few months anyway. If you did, how long a period did you backtest over?

I have had a lot that failed (call them seminars), some that broke even, and some that made money (albeit less than the backtested performance).

Thanks
 
Quote from andrewbee:

Hi,

Who here has run an automated system that performed as well going forward as it did in backtesting? Over at least a few months anyway. If you did, how long a period did you backtest over?

I have had a lot that failed (call them seminars), some that broke even, and some that made money (albeit less than the backtested performance).

Thanks
More...

I have systems that I developed 10 years ago and they are still profitable. I backtested them for 8 - 12 years before that. The problem is that they do not generate many trades and I hesitate risking a big position. They are all EOD position trading systems. I have found out that as I moved towards intraday timeframes the forward performance deteriorated faster. Apparently and surprising, the same happened to EOD trend-following systems. Maybe it is me, not a general ruel.
 
It takes a long time to tweak your backtest engine and understand your backtest data vs. your live data and execution system. My backtest data is fairly accurate to what real world results I get.

I don't really use simulation/walk forward, just turn the strategy on if backtest numbers are decent and tweak a bit after real live testing.
 
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