How much backtesting?

P

prox

How many backtest trades might be considered adequate for a 1 minute scalp system? I am just eyeballing it over past charts and just wondering what others think is enough to validate results.
 
At least a few dozen trades are necessary to get enough statistics to validate a system. And note that these are objective, non-optimized trades with transaction costs applied

With just eyeballing charts your brain is going to have a preference for picking out the profitable trades. Try to backtest your system mechanically.

Also, if you keep varying your parameters or setup pattern until you get a system that looks good historically, be sure to test it on out of sample data to avoid curve fitting.
 
At least 100.

Also check out the streaks, i mean the winner/losers in a row. Personally, a trading system with 25 losers in a row would scare me.
 
For a short term scalping system, 100 may be enough,
but not if they all occur within a single week :D

I would trade several hundred, but takes samples from
several years and different seasons, etc.

peace

axeman
 
What if 25 in a row was "normal" for the system and it
had a 500% return a year? :D

peace

axeman


Quote from spreadem:

At least 100.

Also check out the streaks, i mean the winner/losers in a row. Personally, a trading system with 25 losers in a row would scare me.
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Quote from axeman:

What if 25 in a row was "normal" for the system and it
had a 500% return a year? :D

peace

axeman
More...

Then you'd have all the money in the market soon enough..

or until your method gets shared and exploited where your edge gets neutralized.
 
Yes yes yes.... but my point is, systems come in all kinds
of flavors, and a system with a 25 in a row losing streak
should not automatically be disqualified. Money management
can sometimes solve issues like this.

I currently am working on a system with ONE big draw down
dip which im trying real hard to get rid of. Although not
acceptable in its current form, its totally acceptable if
I only risked 1/4 of my capital.

peace

axeman


Quote from prox:



Then you'd have all the money in the market soon enough..

or until your method gets shared and exploited where your edge gets neutralized.
More...
 
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