Best Optimization History Range

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    Richard Thomas

    What is the current thinking of the optimum lookback period when optimizing a new strategy? 1 year seems too short, but is 10 years too long? Are there any factors that should be used to determine this? For example to make sure that the period covers at least one bull and one bear market?


    I was think of the same, the result change substantially depending on the look back period especially on aggressive strategies. Is there any guidelines on what to pick for lookback period? maybe short period for aggressive and more for a conservative approach? Also do you recommend reoptimize after some time? do you reoptimize the model strategies?

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