Back testing and curve fitting

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zenguru 2015.01.16 05:02

Hi, I've been back-testing my EA over longer periods (1-4 years) in order to find a 'good' set of parameters.

I'm trying to avoid curve fitting by doing so, with the assumption that curve fitting can be minimized over longer time frames (I'm using a 15 min chart).

Curve fitting has been a problem in my back-testing and walk-forward analysis over shorter time frames.

I'm currently trying to develop an EA that is profitable whatever the market conditions/month/currency pair etc. used.

I hoping that someone reading this has tried longer term back-testing and used the optimized parameters live and can give me some advice.

Also what are your opinions/experiences using walk-forward analysis (four month back-test - 1 month forward)?



gooly 2015.01.16 09:47 #

You must not forget the markets changes and therefore the optim. parameters!

2007/2008 was the USA bank crash, 2011 (I as far as I remember) was ths EUR-trouble when even smaller majors could move the EUR-price for some hours, now the EUR is very week and USD very strong => stronger trend then before.If you optimize under such conditions you might get into troubles if e.g. EUR turn into a sideways range.

deysmacro 2015.01.16 10:08 #
Yes curve fitting and then by the time is done, the market movement changes.
WHRoeder 2015.03.30 14:55 #

There is another way to optimize parameters. Not curve fitted.

From the book "Trading Systems that Work" - Stridsman 2001 (pdf available in torrent 651DBAE1C71CC37B6274F6EADF5D95862BEBB595) [the book has no useful systems IMO]

Create list of trades: profit and all parameters (including symbol/TF) at the end of each optimization pass. See OnTester. Optimize on multiple symbols.

At the end, load into a spread sheet, and for each parameter: sort by parameter value, use value with highest ave(profit)/stdev(profit).

The result is each parameter is set independently of the others (not curve fitted) to generate the highest, consistent profits.

I'm going to try this approach next. FWIW

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