EA Forex Academy – Algorithmic & Manual Trading Courses › Forums › Forex Trading Forum › Use of Historical data & Data Horizon › Reply To: Use of Historical data & Data Horizon
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.