How far to backtest intraday?

B

BrooksRimes

For an intraday system such as based on 5 minute bars that generates a few trades per day, how far should it be backtested?

This is for futures (ES, NQ, TF, YM ZB).

Brooks
 
For 5 minutes, I would use 3-5 years. For 1 minute, I would use 1-2 years.

You need to factor the frequency of trading. Less trades, require more back testing.
 
The point about the cockroaches, is that a system that keeps working through all kinds of market environments is going to be something simple. Something like a cockroach that eats crumbs and scuttles out of the way when larger animals are about. So it should be back testable over a long time.

Can you really trust a system that has only been back tested over six months? A long-only system would likely back test pretty well from March 9, 2009 through the present. It would probably suck during 2008.
 
intraday? like scalping?
backtest it for 1 busy week.
if you can't make money after a week, your system does not work. No amount of extended backtest will help.
If it makes money after a week, then extend the test to a month.
 
Somewhat depending on trading frequency, I see no reason not to test on 2007 through today. That includes a wide range of markets.
 
Quote from ET99:

intraday? like scalping?
backtest it for 1 busy week.
if you can't make money after a week, your system does not work. No amount of extended backtest will help.
More...

What platform are you using for the back testing? I have not found it to be that reliable. Actual trading varies significantly, and the shorter the time frame, the worse it gets. I can't imagine relying on a back test over just one week.

Back test a martingale over a week that was choppy with no clear trends developing. Now use that martingale during a week when a trend occurs and see what happens.

Edit: Maybe back testing isn't very useful, sort of like trying to back test a poker strategy.
 
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