Forums ProRealTime English forum General trading discussions What do you look for in a backtest result? Reply To: What do you look for in a backtest result?

#26242

Hello Cusack,

the looback period is too short, in my opinion.

You could increase the number of bars to 100.000 or 200.000 and use it as a huge out of sample test. Nicolas has provided some insight into this technique: https://www.prorealcode.com/blog/avoid-equity-curve-fitting-with-probacktest-trading-strategy-optimisation/.

I would expect that a flat year will be a killer for your system. You can try to avoid this with Walk-Forward testing. https://www.prorealcode.com/blog/learning/strategy-optimisation-walk-analysis/

But a huge sample size with a reasonable out-of-sample period is the gold-standard for evaluating a system.

 

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