Sunday, April 22, 2018

Backtesting Failed

I backtested the model for 2017 and some periods in 2006-8 and it either makes no money (2017) or matches the market. So, this needs a fundamental rethink to get a more robust model. For the moment I will step away from live trading and observe what happens and when I have more time have a look again and developing a robust framework. I also saw that some of what I put in spreadsheets from 2006-08 is not realistic regarding how stops work, and so exaggerates the performance of the model. The current model was stopped out very very often in that period as the index was often both up and down more than 1% in a day. It could only work with hedges rather than hard stops.

No comments: