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That looks indeed like a nice equity curve
Have you done any Walk Forward testing?
How have you approached the testing process?
Did you optimize on the total data set or just a small portion (in vs out of sample)?
I didnt optimize the strategy per se, because the indicator values are the same. I only adjusted the risk management.
At the moment I just compare the trades made by the strategy with realtime data and so far it looks quite good. So far >90% of the trades are like the trades from the backtest with ca. 3,5K profit for the last 2 weeks.
Just a couple of thoughts:
- The more trades, the more important it is to have tickdata/intrabar info for the backtest. With 1000 trades per month, especially in the FDAX a tick here or there can make or break any system. FDAX often times is not liquid or gaps a few ticks in between.
- You don't necessarily need to trade the FDAX contract itself. The cfd liquidity pools have improved the past years to the point where you get really good executions with some brokers (sometimes even better than FDAX) with Micro-Contracts.
- Some brokers offer free CFD tickdata for the past years (e.g. with the cTrader Software)
I totally understand your point and Iam with you regarding the amount of trades, but the problem I see here is with the CFD Brokers. You are right they provide free Tickdata, but most of the time it doesnt match with the "real" Future data. I think I just need to continue with the real life test and see how it goes