Backtests don't give much useful information. I talk about results from walk-forward tests and real trading. Admittedly I real trade the filter strategy only since last October, which is not enough time for a reliable result. The walk forward test covers the last 4 years.
jcl, can you tell me more about how to do walk forward tests? Does that mean you are actually trading your strategy with real money? Or are you papertrading your strategy? Or maybe something else? I'm still in the stage of backtesting a strategy but when I'm finished with that I want to start with forward tests. So I hope you can give me some more information about that. Thanks! Tim
A walk forward test moves a frame over the price data and uses part of this frame for optimizing and part for testing the strategy. You can find a tutorial here: http://zorro-trader.com/en/tutorial_fisher.htm