Hello,
I have been searching for edges (intra day trading strategies) in the market and studying the chart day to day. I also programmed a few strategies, but I have not back test yet. The strategies I build usually seek 1 trade per day if setup signal is true.
My plan is to define an in sample period for backtesting/optimizing/curve fitting, out of sample period to test the strategies.
Few Questions please:
1. What in sample period would you recommend? I was thinking 2006-2011, but should I be using more recent market conditions to test the edge? I believe I will get about 800 trades during 2006-2011. Or a more recent market condition in sample period is 2014-2016 ?
2. What out of sample period would you recommend? I was thinking 2011 - 2017. Or a more recent market condition out sample period is 2016-2017?
Thank you
I have been searching for edges (intra day trading strategies) in the market and studying the chart day to day. I also programmed a few strategies, but I have not back test yet. The strategies I build usually seek 1 trade per day if setup signal is true.
My plan is to define an in sample period for backtesting/optimizing/curve fitting, out of sample period to test the strategies.
Few Questions please:
1. What in sample period would you recommend? I was thinking 2006-2011, but should I be using more recent market conditions to test the edge? I believe I will get about 800 trades during 2006-2011. Or a more recent market condition in sample period is 2014-2016 ?
2. What out of sample period would you recommend? I was thinking 2011 - 2017. Or a more recent market condition out sample period is 2016-2017?
Thank you