Does Free Backtesting Education really exist? Is it any good? Do I need to spend hours sifting through uninsightful videos to find what to focus on?
In short, no. Today’s video gets straight to the point and highlights the most insightful content in the Backtesting and optimization playlist.
Like the previous video, which focused on algo trading for a living, today’s focus is on
Backtesting and optimization.
Episodes 1 & 2. This mini-series made up of 8 videos shines a light on how to extract the best parameters from your backtest to implement in your live trading. This is no easy task, hence the length and detail of information in this mini-series.
Episodes 3 – 6 consist of 11 videos and covers the critical topic of over-fitting. When looking at your backtest results, it’s important not to cherry-pick the one with the greatest return. Over-fitting your backtest to historical data is dangerous, as this part of the series covers this in great detail.
Episode 7 delves into the world of Walk Forward Optimisation. Walk Forward Optimization is a way of optimizing parameter selection without overfitting. This is thoroughly recommended viewing.
Episodes 8 & 9 expand on lessons learnt in episode 7 and build on this by getting to the heart of the optimization process. It does this by looking at, amongst other things, compelling optimization profiles. This is important because it highlights how to deal with unpredictable results and outliers.
Episode 10 covers performance metrics and how to use these metrics to increase your backtests robustness further and, as such, improve your live results.
Then, episode 11 analyses price data models used in backtesting processes. This episode helps select the most appropriate settings to use in Backtesting. These should closely resemble that of live trading.
If you were to use wildly different price data, your backtest would not be a fair representation of what you can expect to see in live trading.
The remaining 13 videos help tie all the above together. By the end of this video series, you will have a deep and powerful insight into some best practice techniques for handling price data, selecting parameters and optimizing your strategy ready for live trading.
Monitoring your live strategy
Additionally, you can monitor the performance of your trading strategy by using some of the Darwinex Investible attributes and performance metrics.
If you look at the Open Strategy (Os) & close Strategy (Cs) Investible attributes, these rate the performance of your strategies opening/closing trades compared to if it opened/closed earlier or later.
You could use this information to see if the market has changed and if the edge you researched previously still holds up, or if it has started to decay.
The Darwinex platform has a wealth of tools to help the trader and investor alike. Feel free to have a play, and if you need further clarification on anything on the Darwinex platform, don’t hesitate to get in touch.
Brought to you by Darwinex: UK FCA Regulated Broker, Asset Manager & Trader Exchange where Traders can legally attract Investor Capital and charge Performance Fees.
Content Disclaimer: The contents of this video (and all other videos by the presenter) are for educational purposes only, and are not to be construed as financial and/or investment advice.