Robert Carver on How To Build Successful Trading Strategies
Macro Hive Conversations With Bilal Hafeez
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Is Your Back Test Period 20 Years?
It's a great point about if your back test period is 20 years to not use that in one shot. But you'll actually find that that what you've described there does very badly because one year of performance is not enough to tell you whether A or B is going to be better next year. What you'd see over time is it's an hour, got two years of data. A still better. I'm going to increase that weight from 52% to 55%. So the amount of A you had in the model increased, the amount of B reduced and then you'd end up with something was pretty much all A.
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