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Backtesting - Single Market vs Portfolio


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  #1 (permalink)
 bluefightingcat 
Espoo Finland
 
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When doing your backtesting do you create and test a strategy for each market one by one or do you backtest on a portfolio/basket of several markets?


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 grausch 
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bluefightingcat View Post
When doing your backtesting do you create and test a strategy for each market one by one or do you backtest on a portfolio/basket of several markets?

When I was still doing loads of backtesting, I tested strategies at portfolio level. I did not try to create strategies for certain markets as I felt that would lead to curve-fitting strategies to a certain market too much. Also, I was not that interested in how a certain market performed, rather I wanted to increase total return or reduce total drawdowns at portfolio level.

However, you can review this thread - - and ask some questions there as well. From what I have seen Kevin develops systems for individual markets and then incorporates them into his portfolio and his live results are very, very good.


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 bluefightingcat 
Espoo Finland
 
Experience: Intermediate
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Thanks for the reply. This is interesting stuff. Kevin's thread is huge. Will take a while to get through.


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