backtesting vs real trades

I'd use 5 years minimum and across all equities. You can filter for liquidity (price x volume for example).

 

Either 1 or 2 year periods, use 3 of them last 3 or 6 years.

Setup your system for the middle period, when profitable check its profitable once on the other 2 being before and most recent.

Its all curve fitting, just got to hope the curve fit is still valid and suck it and see.

 

There is no way to claim backtest results are statistically significant. Nobody said you made claims of profitability but you made basic statistics mistakes. Your test was about testing whether a coin is fair (or unfair). This is not a proper tests as I already demonstrated to you. Win rate is irrelevant and your test is about that only, i.e., it is the wrong test. You have been misguiding yourself all along and you also tried to pass these misunderstanding on others. It's better to ask people who know these subjects than to present yourself as an expert. Some may believe you and end up paying the price for that. You have to take a course in statistics and hypothesis testing. Google these subjects and you can find many online courses. All the tests you talked about are not applicable to trading systems.

 

The test was to determine if the results are produced by random chance. It's completely relevant.

 

It's amazing to me to see anyone attempt algo trading without a really solid background in statistics.

 

So the use of simple statistical tests for a simple problem implies a lack of solid statistical foundation? Interesting the conclusions that people can come to..

 

So this response pretty much indicates you ARE a wise-ass (my impressions all along).
If these are such simple problems, why isn't everyone making money algo trading ? I mean it would be like taking candy from a baby, right ?

 

Noone said anything about algo trading being simple... The question was how much data is needed to produce a reliable backtest...and it appears I'm the only one who used any math (simple or otherwise) to produce a number. It's astonishing that my response receives more criticism than those that are along the lines of "oh, about 3 years should do the trick"

 

I know, this stuff is just so......I see now why Simons hired PhD's.

 

I'm not sure why this is relevant? We are talking sample size determination, not Bayesian Inference or statistical model building.