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What is a valid or reasonable number of backtest results to subject to
Optimization?
For general statistics a minimum of 30 or so is needed to start getting
valid StdDevs etc.
If I run a backtest on hourly currency data over three months I get
around 16 -20 tradeable signals per currency.
This give a nice smooth plateau on 3D optimization.
If I test over two months of data I get around 10 - 12 trades
If I test over only 1 month I get only 5 or 6 trades.
These shorter time periods still give visually acceptable 3D plateaus
but I am wondering if there is enough data to be statistically significant.
I am trying to get a handle on how close I can get to current
fluctuations in the market without hitting noise. The idea being to redo
the Optimization every x time frame and shift the entry and exit
parameters to stay in the middle of the plateau.
Of course I can backtest over longer time frames, say 6 months of data,
shifting the starting date forward by one month at a time, but this
would seem to introduce more "lag" into my selection of best parameters
to trade.
Does anyone have any thoughts/references on this?
--
Regards
ChrisB
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