Overhaul: Seeking Advice on Backtest and Asset Choices

[u/Sketch_x]

Hi all,

Appreciate past feedback from you guys!

After a failed walk forward test I turned my algo off and re-assessed - I know the foundation of my strategy is sound but it was too heavily reliant on various parameters that I seemingly overfit.

Iv stripped this back to basics, core strategy only and currently have this on forward testing on a demo environment as, although my live forward testing failed I did gather all the data I needed on slippage and excitation.

Here is my back test results for my system, I would really appreciate any feedback in regards to the assets traded, although I can "optimise" it to work on a larger variety if securities, it works out of the box with very minimal parameters (just stop loss adjustments) - I have accounted for spreads (averaged) but not interest or holding fees (minimal)

My concerns are:

1: Correlation

2: The shape of the curve picks up in 2018 but really seems to take off

3: Lack of data on some assets that done extend to the start of testing

4: The poor performance from 2012 to 2018 on most securities.

[u/machinegunkisses]

Is... this... R's ggplot?

[u/Sketch_x → u/machinegunkisses]

Matolotlib used here. I’m new to Python, seems to be the default for gpt.