• Home
  • Forums
  • Trades
  • News
  • Calendar
  • Market
  • Brokers
  • Login
  • Join
  • 4:53pm
Menu
  • Forums
  • Trades
  • News
  • Calendar
  • Market
  • Brokers
  • Login
  • Join
  • 4:53pm
Sister Sites
  • Metals Mine
  • Energy EXCH
  • Crypto Craft

Options

Bookmark Thread

First Page First Unread Last Page Last Post

Print Thread

Similar Threads

Optimization, statistics, and avoidance of curve fitting 21 replies

Curve Fitting: The Ultimate Conundrum 17 replies

(curve)-fitting and overfitting, good examples wanted 0 replies

why curve fitting doesn't work? 23 replies

"curve fitting" or just improving?? 5 replies

  • Platform Tech
  • /
  • Reply to Thread
  • Subscribe
Tags: EA Backtesting and Curve Fitting Concern
Cancel

EA Backtesting and Curve Fitting Concern

  • Post #1
  • Quote
  • First Post: Jan 15, 2007 7:22pm Jan 15, 2007 7:22pm
  •  Matthew
  • | Joined Jul 2006 | Status: Somewhere between beginning and end | 117 Posts
I'm currently in the state of backtesting an EA and I'm using the optimize feature over three different variables. (Giving me a couple thousand combinations).

What I plan to do is run the optimization over 2003-2004 and then selecting those combinations I see working and running them again over each year 2005 and 2006. I'm looking for a somewhat consistant return over the 4 years, with acceptable drawdowns.

Is there a better way to do this? I considered having the optimizer run over the entire 4 year period, and then analyze those parameters which looked favorable to see if they gave the kind of returns and drawdowns I find acceptable for each year, however I wondered if I would be cureve fitting the data too much by doing that.

Any comments or suggestions?
  • Post #2
  • Quote
  • Jan 17, 2007 1:55am Jan 17, 2007 1:55am
  •  tesla
  • | Joined Oct 2006 | Status: Friendly Neighborhood Programmer | 533 Posts
I think it's important to have an 'out of sample' period to use after the EA has been optimized. I doubt that 2 years is required, but it's more a matter of preference.

I would optimize against 2 years worth of data leading up to August, then see how the EA performs after that based on the optimized settings. This is just my preference, I'm not a statistician.
 
 
  • Post #3
  • Quote
  • Last Post: Feb 23, 2011 12:21am Feb 23, 2011 12:21am
  •  CandleForex
  • | Commercial Member | Joined Feb 2011 | 41 Posts
Personally I only backtest the last 6 months, and then opimize for the last 6 months, and a final optimization geared towards the last month.

I dont believe in backtesting more than a years worth of data because in my humble opinion it would be too curve fitted.
 
 
  • Platform Tech
  • /
  • EA Backtesting and Curve Fitting Concern
  • Reply to Thread
0 traders viewing now
Top of Page
  • Facebook
  • Twitter
About FF
  • Mission
  • Products
  • User Guide
  • Media Kit
  • Blog
  • Contact
FF Products
  • Forums
  • Trades
  • Calendar
  • News
  • Market
  • Brokers
  • Trade Explorer
FF Website
  • Homepage
  • Search
  • Members
  • Report a Bug
Follow FF
  • Facebook
  • Twitter

FF Sister Sites:

  • Metals Mine
  • Energy EXCH
  • Crypto Craft

Forex Factory® is a brand of Fair Economy, Inc.

Terms of Service / ©2023