Topic: What's your steps for robustness/avoiding curve fitting?
I am very happy that I found FSB and this forum. Was way too long with mt4.... Hope that using FSB will make some significant changes in searching for working FX strategies
After using this great program for some time I am stuck with curve fitted systems, which do not pass simple OOS test. I know that this is probably the biggest systematic traders problem, how to find robust systems that works with unseen data. I honestly tried to find answer what steps to take to prevent curve fitting, but for now I have conflicting information.
Some authors use WFA (walk forward) for robustness, if it not pass it, leave strategy alone (why FSB still do not have this future?). I can remember recent pain doing it manually with mt4 for one week and was ready to pay big bucks for WFA software, but could not find it Some use ALL data and no out of sample, defending that using OOS or WFA is useless and it is creating data mining bias ... Other recommends to use no exits to see if there is an entry edge, and slight 1-3 variable optimization with much data as possible and for one variable at least 50 trades...
I am kinda lost here. Tried few approaches listed above but no success (did not found any WFA passing system). I am getting all the time PL curves like these:
Maybe someone who already have working real time system portfolio can share your experience and say what steps you use? How do you create robust EA, which works real time? What test you make? Do you optimize (full or only few parameters)? Do you use OOS test? WFA? How much systems you must analyse before you find something working witch pass multi market and OOS tests?
Thanks in advance!
PS. Is it possible to work with more than 50k bars? In M5 it only near a year. And if a system gets rarer signals it is not enough data for slight optimization. While reading in this forum I saw that people used like 700 000 bars...