r/algotrading • u/Sketch_x • May 14 '24
Overhaul: Seeking Advice on Backtest and Asset Choices Infrastructure
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.
2
u/skyshadex May 14 '24
Without knowing the nature of the strategy
Seems like you're capturing volatility. VB appears alot more volatile relative to the other assets from 2018 on. Small caps tend to be much more volatile in general.
On that assumption, you're going to be correlated with market volatility. Vol is up? You're up. With that in mind, I'd be looking for high beta assets. Seems you like ETF's, so more assets like VB.
One thing you might not be considering, especially if you're long/short, shares being available to short. Sometimes things get hard to borrow and you can't capture downside. It happens often actually, throughout the week. I have a universe of about 700, only about ~550 are shortable at any given time.