#66509
richard
Participant

So if I read it correctly you are ultimately creating your portfolio of 10 from the 3 years of data.  Of course at the end of the day you have to practice and find your own system.  Which you are doing….  I prefer to create the strats leaving off  the last month.  Then run them on the last months data. And then select my top 5/10 based on the last months performance.  In my mind that means that the strats have proved themselves over 5 years to be profitable and they have also proved themselves to be profitable in the last month.  Because I use very stringent criteria they will be consistantly profitable over the whole of the month without any significant dips in the equity line…..

Example attached:  Here I feed in over 1000 strats created over 5 years of data.  Then run them over the last month.  You see only 146 pass the criteria for the month.  This is currently set to COT 8, Losses in a row 1.  When I was only feeding in around 50 – 100 strats before I had to use much lower criteria to get enough strats to pass. (COT 5, Losses in a row 2. ) As I get more and more strats to feed in the tighter I make the criteria.