Optimizing a trading strategy

#1
I am trying to optimize my trading strategy based on moving averages. Trying to develop an algo out of it. Struggling a bit as the same parameters dont work as effectively for all scrips.

Also the optimized parameters on the backtest don't necessarily work on the forward live markets or even on walk forward optimization.

Would like to connect with those who have optimized their strategies effectively for some insight on this topic.
 

bunti_k23

Well-Known Member
#2
curve fitting on historical charts won t assure you same results.....you are developing an algo means you defined every outcome of a trade ( a fixed outcome ). without any manual intervention. every trading system will have worst days( max drawdown ), you just need to design appropriate money management to survive these days...thats it
 
#3
Thanks for your reply. Really appreciate it.

Yes, Im ok on the money management part. I keep enough funds to manage the drawdown. What Im concerned about is that how do I know the optimized parameters will also work for the future? Also how many months of data do you suggest optimizing a strategy on?

Also do we need to run the optimization every say month and adjust the parameters? Im trying this on nifty and banknifty futures only currently.
 
#5
A trading strategy is created by considering various trading concepts, observations, ideas about the behavior of the historical market and appropriately implementing the same into a trading system. As a trader, it is of immense importance to have a good and effective trading strategy in place. An ideal strategy is that which has been backtested with the help of historical data. All traders should keep in mind that no trading system is a hundred percent perfect but optimizing the same in the right way will make sure that it closes in towards perfection.
 

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