How to adapt an optimized strategy over time

• 05/19/2017 at 10:05 AM #36077
  Francesco78

  Suppose you are running a 1hr strategy.

  3yr Backtest.

  WF 70/30 test passed

  5 variables optimized.

  first approach:  reoptimizing over the last 6 monhts every 3 month.

  second approach:  reoptimizing over the max period available every month.

  Which one would you choose ideally?

  Many thanks.

  Francesco

  

  Francesco78

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  05/19/2017 at 2:29 PM #36105
  Maz

  It really depends on the system and what the variables actually control. Anything that includes moving averages is highly subject to curve fitting and so you should be aware of what the typical effective cycles are.

  We optimize H1 systems at least every week for the last 3 -6 months. (Systems that run in seconds we optimize every day!) We also check the previous week’s 3-month optimization backtest against the previous week’s actual performance. If they are not too different, we can keep things the same. If they become more and more different over a few weeks then we need to update the live system.

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  Francesco78

  

  Maz

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