IN regards to optimization you really need a large enough sample size to be significant. Unless I missed the other posts I just see 3 months. How many trades would this have produced / what time frames are we talking about here? BTW, profit factor really doesn't mean shit. I can have a .34 Profit Factor and still have an excellent program
Read about "Walk forward testing" 1 month of in sample is way to short. At least for my systems, I need at least 6 months to a year of data before optimiztion results have a positive corrolation with out of sample results. At very short in sample periods, the corrolation is actually negitive.
To answer some questions... This is an intraday strategy that uses 1min bars. It produces an average of 1 trade a day on ES. I also run a slightly modified version on TF. Will probably adapt for others as well. Algo Kid, I don't doubt that a lower PF can still do very well. I'm still relatively new to automating strategies, so I wasn't sure what information to put in my original post. Come to think of it, I guess I didn't need to provide any result info. (I'm new to this forum, so I'm not sure of what to do or not to do). Thanks.
dloyer, While I didn't do any walk forward testing. Those are not back test results. But live results over the last few months. Thanks
Don't worry - What software are you using? And more importantly what are you optimizing for? I have many 1 min strats for ES. After optimization for 1 full year you should expect over 500- 1000++ trades at least. For 5 minutes over 100-200. Anything lower for each one IMO is too much optimization, or I should say too small of a sample.
I've recently started using Ninja Trader. If you optimize a 1-min strategy over a year.. Do you wonder if that is too much of a sample? I mean, things change so much over a years time. Should you really sample for that long of a period (be easy on me, I'm a self admitted automated newbie ). My initial thought was, you should really be focusing on the not so distant past. Like the last 3-6 months for a 1-min strategy. Perhaps I was incorrect assuming such. For an example. I've been trading for several years now. Strategies (while not automated, but in my head) came and went. I wouldn't back test them. I just used them until I noted they stopped working and I moved on. Thanks