Backtest Depth - Long-term Robustness (10 years) vs. Recent Adaptation (5 years)?

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Hello community. I'm evaluating the reliability of my EAs and a question has come up regarding the optimal historical depth for backtesting.

My dilemma is this: a 10-year backtest theoretically proves that the EA can survive multiple market regimes. However, the current market doesn't behave the same way it did a decade ago (different volatility, institutional algorithms, etc.). Do you prefer to optimize over the last 3-5 years to adapt to current market conditions, or do you require your systems to be profitable over 10+ year periods?

I'd appreciate hearing about your experiences.

 
Isaac Uriel Arenas Caldera:

Hello community. I'm evaluating the reliability of my EAs and a question has come up regarding the optimal historical depth for backtesting.

My dilemma is this: a 10-year backtest theoretically proves that the EA can survive multiple market regimes. However, the current market doesn't behave the same way it did a decade ago (different volatility, institutional algorithms, etc.). Do you prefer to optimize over the last 3-5 years to adapt to current market conditions, or do you require your systems to be profitable over 10+ year periods?

I'd appreciate hearing about your experiences.

Personally, I don't adapt didley squat. If I get any extended ugly periods of time in my testing, I go back to the drawing board. 10 years is my self-imposed minimum for say, a swing strategy that trades 2 or 3 times per week. Basically, the length of my backtest is determined by the trading frequency of my given strategy. For a scalping strategy that trades over a hundred times per month, I find that several months of testing will suffice.

I should note that I've only recently come around to scalping. Interestingly, changing market conditions seem to affect swing trading more than scalping. The market always seems to be moving just a little bit which is enough for scalping in almost any regime.

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