Good points. One more. Bear in mind, you're testing on a basket of *highly* correlated pairs. The effect? Compounded returns when the market is churning $$$. But drawdowns will be just as spectacular when the market stalls. Test the system on two correlated pairs -- max. Anything more and you're courting disaster. For example, I only trade the pound and euro (correlated), or pound and yen (uncorrelated). Best of luck.
When dealing with timeframes of less than even 300 minute bars (you are at 90 minutes), I have found that simply subtracting a few pips for 'slippage' is not sufficient. My shorter term strategies all use limit and stop orders. These get filled with at times only a few pips to spare... if the market moved only a couple of pips less, I would not get a fill. Or, if my TradeStation data indicates a fill - many I bet would not have been filled in a real market environment. Playing with real money answers many of these questions. Good luck, Granville
ditto... I have built a few winning systems using neoticker as well... the biggest thing for me was...the amount of data...like was mentioned 3 months is nothing...especially on 90 min bars...you will probably be disappointed when you run it on 3 yrs...they say you should have a system that can last through 30 trades of backtesting...I think that is a joke...get a system that runs clean for about 300 trades (on a long time frame) and you'll have something...but still...your system is built on past data...and all indicator built systems tend to enter markets late...in other words...90 min bars is a intra-day timeframe and more than likely your system does not do value comparisons from day to day
My systems (they are end-of-week) are backtested to the 1950s. You need to have hundreds of trades and many market cycles included in your data to have any confidence.
You may have configured your system to find the same profitable trades, over and over and over again. Perhaps these conditions will never occur again. I've just recently begain to study price action (equities), I built a database and continually fine tuned my queries to maximize profits. Man, I envisioned my jet parked on the runaway, after I optimized to the point of "astronimical returns". Then it hit me, ...
Achilles 28 You will need to forward test your system as your next step. Providing it confirms your backtesting results then you can open an account and began trading with YOUR money. When your account balance reaches zero you should have some idea of the factors that are applied to Fx trading that your system failed to take into account and you will be both poorer and hopefully wiser for the experience. Goodluck
uh.... what makes you think you know anything about me, my system or testing? I think you've got me confused with the original poster. take care.