Backtesting in premium – From what date??

• 11/02/2017 at 11:19 AM #51283
  jebus89

  Hi there fellow traders! I have finally gotten the PRT premium account and lo and behold, my systems where curve-fitted no doubt when tested on 200K bars… Lol …

  Now im wondering: now that i have much much data, what date should i start backtesting form?

  I’ve read on this forum several times that 2008-2009 did something to the market and things have never been the same ever since, so many people here like to START the backtest on 2009 -> todays date when trading indicies like DAX or WS or nikkei.

   

  I’ve mainly created systems for 10m, 30m ,  1 h. And i do see that a mean reversion algo i had made for AUD/USD are showing some interesting results: i created the system with data from september 2013 -> today, and when i checked it on data from 1998 -> 2017 its profitable from 2009 => today.

  Can anyone tell me more about this?

  when you create systems/ or backtest systems, do you go further back then 2008?

  Does it make sense to include 1998 -> 2008 on an hourly chart?

  

  jebus89

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  11/02/2017 at 2:00 PM #51311
  Despair

  Depends on the kind of strategy and timeframe. If you for example want to test a seasonal strategy on daily bars, I think 10 years of data are not enough and you should take all you can get.

  Usually it is always better to take more data. Maybe with frequent reoptimization -> WFA

  And since you mention intraday timeframes like 10m or 30m. Even with premium you have rarely 10 years of data. So my humble opinion is that even with premium extra data with have not much data on most assets so take whatever you have. It is not like that you have more than you need now more that you have less too little hahaha.

  

  Despair

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  11/02/2017 at 2:05 PM #51312
  jebus89

  Haha i guess so despair! 🙂

  I’ve just seen a couple posts saying that 2008-2009 changed the markets, but im not sure if thats just his/hers opinion or if thats something everyone “knows” on this forum 🙂

  But okay, more is better! That was my feeling as well, just wanted to make sure!

  

  jebus89

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  11/02/2017 at 2:43 PM #51321
  Despair

  Depends on which market you look at. The german Dax had a downswing in 2008-2009, it had the same 2000-2003. But this kind of market changes happen and this is why you (IMO) want to include them in your backtest.

  Maybe the next bear markets starts in 2018 and then you want to have tested how your strategy behaves in such a situation.

  

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