Regular strategy optimalization in live AO, review - how often?

To add comments, please log in or register


  I have develop several interesting strategies. I'm still at back-testing stage, but I am quite concerned
regarding their long-term usability. Also, I am wondering, how often should I re-optimize in live environment
to result it best performance.

   For example:

In one strategy running on 1H timeframe, I am getting 4.31 (income) Factor with 5.61% relative drawdown.
But this results is from time period 1.1.2017 - 30.6.2017 - half year.

When I run the same strategy on longer period 1 year and half, thus from 1.1.2016 - 30.6.2017, then the
results are no big deal. Suddenly, factor is only 2.5 and drawdown around 10%.

  Now I have two options. Optimalize my strategy for long-term period ( backtest on several years back ) and
use it. Or - and this is my idea - re-optimalize every month the strategy with previous 6-months.

  What is your approach, how do you handle this issues? Is there some rule-of-thumb?



To add comments, please log in or register