I have develop several interesting strategies. I'm still at back-testing stage, but I am quite concernedregarding their long-term usability. Also, I am wondering, how often should I re-optimize in live environmentto result it best performance.
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 theresults 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 ) anduse 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?