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I can just about guarantee you have overfit your model to the limited data you tested with. VERY common - most people do this, especially starting out.
Of course, there is a possibility that your strategy will continue to perform well in real time, especially a long only strat in a bull market like we have now, but I would not count on it.
Most algo traders think making a better backtest is the goal, and that is what they try to do. That is a big mistake.
Broker: NT Brokerage, Kinetick, IQFeed, Interactive Brokers
Trading: ES
Posts: 159 since Dec 2014
Thanks Given: 40
Thanks Received: 166
Another plug for @kevinkdog's book. I didn't even realize all the things I was doing wrong until I read it. It's still something I reference to make sure I'm not suffering from wishful thinking when I design a strategy.
Thanks guys, I will continue my research and read the article (after my regular day job), I'll also keep this thread updated with progress.
For now, here are the back-testing results from 1/1/2006 until today. It's still appears to be profitable, although results vary.
i.imgur.com/HWT8urU.png
i.imgur.com/5LZZhwl.png
i.imgur.com/cWOouaX.png
I was able to watch a few of @kevinkdog YouTube videos, good stuff. While I continue to analyze some of the data. Today I started two distinct strategies.
The goal is to let them run for a few months on live paper and analyze the results. In addition, on a weekly/daily basis (when time permits) I review the trades and just making sure that they are inline with the orders I wrote.
I'll keep this thread updated if anyone is interested. I'll continue watching/reading Kevin's data