Bad religions in historical forex data

To add comments, please log in or register
Roledene JKS
34
Roledene JKS  

Hi,

I would like to know what and how are the impact of bad religions of historical data set in back-testing an algorithm or a strategy.  

as an example, suppose a historical data set has a sudden movements due to news impact. when we use this data set for back-testing an algorithm, definitely algorithm cannot be properly tested because of these kind of bad religion.

I would like to know your ideas on this, how to overcome this kind of issue when back-testing a strategy developed.

if I create a full set of data, annotation these kind of all bad religions, which can easily skip or thoroughly consider depending on the situation when back-testing, I would like to know the effect I am going to put for this project will valuable or not.

Thanks

Marco vd Heijden
Moderator
8160
Marco vd Heijden  

To overcome this is simple.

Don't backtest.

Or if you insist you could add a filter for abnormal moves, but i don't recommend it.

Roledene JKS
34
Roledene JKS  
Marco vd Heijden:

To overcome this is simple.

Don't backtest.

Or if you insist you could add a filter for abnormal moves, but i don't recommend it.

I see you developed a product called <>, as per my understanding, it also uses the strategy tester for back-test the EA. My question is, what is your point for not to back-test an EA ?
Marco vd Heijden
Moderator
8160
Marco vd Heijden  

No it's to manually test strategy's so you can practice your idea's and develop your trading skills.

What would your point be to do a back test ?
Meng Yin Teoh
2152
Meng Yin Teoh  
Roledene JKS:

Hi,

I would like to know what and how are the impact of bad religions of historical data set in back-testing an algorithm or a strategy.  

as an example, suppose a historical data set has a sudden movements due to news impact. when we use this data set for back-testing an algorithm, definitely algorithm cannot be properly tested because of these kind of bad religion.

I would like to know your ideas on this, how to overcome this kind of issue when back-testing a strategy developed.

if I create a full set of data, annotation these kind of all bad religions, which can easily skip or thoroughly consider depending on the situation when back-testing, I would like to know the effect I am going to put for this project will valuable or not.

Thanks


No you cant do that because you will fall into look ahead bias trap which lead to a flaw backtest result.
To add comments, please log in or register