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I am trying to figure out a way to properly backtest and perfect a
strategy. For instance the more exits or setup criteria the harder
it is to isolate a problem.
Currently I am taking an idea and a set time frame, let's say 10
days. First I optimize my initial stop by keeping my stop just wide
enough to allow for most of my stocks to hit my days in trade exit of
10.
The next step is optimizing my trailing stop. Basically I pick
parameters to optimize and pick the one with the highest annualized
profit and then I do the same thing with a stop that allows me to
keep profits.
This is only a small part of the process of backtesting and just
something I thought of. Does anybody know of a way to build a system
via backtesting in an efficient and robust way?
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