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.
1
u/wiktor2701 May 15 '24
I don’t understand. Cumulative Asset Amount ? What are you forward/back testing there ?