Ok, Im looking for some veteran backtesters and system developers here. I have backtested my system all the way back to January of 2004, over 2 1/2 years of data. Over this time, my system is outstanding. With some rescently acquired data, from January 2001, my system is quite different. I wouldn't say it's trash, but it sure doesn't perform the same (more drawdown).
My question is: to what extent do you rely on the past? Do you optimize a system to perform the best considering 2 years data, 5 years, 10 years? And by this, I dont mean optimize based on the past meaning curve fitting; I hope you know what I mean here. How far back is far enough?
My question is: to what extent do you rely on the past? Do you optimize a system to perform the best considering 2 years data, 5 years, 10 years? And by this, I dont mean optimize based on the past meaning curve fitting; I hope you know what I mean here. How far back is far enough?