A strategy you have been trading for years has just had a terrible month. Looking at the market environment, you think these trades should not have been taken. You make some “small” changes to your strategy and now the backtest shows that the terrible month is OK and the overall strategy statistics improve. Should you keep that change in your strategy?
For the longest time, I would keep that change. But it felt like overfitting. Then I thought, this is making the strategy better so I should keep it. This issue came up recently from a strategy that just had its worst drawdown. How do I handle this situation now?
Continue reading
My private trading group will be discussing these results. Join for a
free 1-week trial and attend live or watch the recording. For more
information on The Crew, click here. |
|
Good Quant Trading,
Cesar
Join my private trading club, The Crew.
Gain access to strategies, trading education and more. Free 1 week trial.
|
|
|
