Ger Regular  Posts: 62 Joined: 10/11/2012 Location: Austin, TX  User Profile | Here's my dilemma, any thoughts would be appreciated. 1) I have stitched together strategies in OV that over a 12 year backtest perform really well, for example : MDD<10, TPM<100, CAR>30. 2) I then backtest this portfolio for year to date performance, and results are somewhat dimenished. 3) Now I backtest for the last 60 days and results look really bad. So now I optimize for the last 60 days (using only "both" direction strategies and results are outstanding, BUT...when I backtest this strategy over one year and 12 years, the results are terrible. My question to anybody who would care to chime in is: 1) Is it best to pick a strategy(s) that are very robust over a 12 year backtest and just let it run, even in obvious downturns like now where it losses money? Or 2) Try to adjust the strategies to fit the market conditions? Yes, I know this is very hard to do. regards, Gerry | |
