Topic: Pruning Strategies (my 2 cents)

So have been pruning strategies that do not perform and not much impact on the overall performance of the portfolio. I tried a different approach. Instead of pruning I have started to optimize the non performing strategies and have had better results. I do this after a period of a month or so.

The reason why I did that was because if a strategy passed my criteria for a period of (12,000 bars H1) in the backtest then there must be something that is not letting it perform. I do analysis to see things like..did this strategy always incur losses in December...look at the market for December and see how the market has changed for example a pair hit a peak that it had not hit in the past 2 years...simple stuff like that.

The second reason was that a strategy that did bad in one month did amazing in another pruning would not have helped.

Taking the portfolio many strategies for each pair and then many pairs.