- 07/05/2019 at 1:27 pm #67339
In a recent blog post https://logical-invest.com/walk-forward-testing-avoid-curve-fitting-backtesting/ you wrote:
“For us at Logical-Invest this means, that we have to constantly check the validity of an investment approach and if needed, we must do small changes without changing the original character of the strategy. ”
How do you decide when changes are needed? What does constantly “checking the validity” involve exactly?
It would be interesting to go back to your original strategy for something like UIS and see if any of the changes added much to the overall results. I would hope the results of trading the original version of the strategy with no changes would be similar to the backtest of the newest version, thus demonstrating that the “original character” of the strategy is sound. If on the other hand, any of the original versions were “broken” it would be concerning.
If you could provide some data to alleviate this concern I would appreciate it. It is important you demonstrate that your changes have never been implemented in order to fix a broken strategy. Thank you!
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