Backtest Depth - Long-term Robustness (10 years) vs. Recent Adaptation (5 years)? - page 6
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This topic became something different, is thera a possibility to change the name?
If you don't get the gist of the conversation @Enrique Dangeroux and I had, well, you'll probably be stuck here for a few more years. Someday it will all make sense to you.
If you don't get the gist of the conversation @Enrique Dangeroux and I had, well, you'll probably be stuck here for a few more years. Someday it will all make sense to you.
I mean, as I saw your conversation was about reducing the testing time with Enrique's method.
Let me know if I missed something, pls!
Didn't mean to be rude, my bad.
It's fine, don't worry, I'm not offended, I'm just pointing out that...
Ok!
I'll read it deeply. :)
If I have questions, could I ask?
Drawdown Control
Fixed Risk
Survival First
Ok!
I'll read it deeply. :)
If I have questions, could I ask?
I guess so, that's what forums are for. But as for the technique used, I don't know the first thing about it yet, I haven't had time to check it out; you'll have better luck with Enrique.
Drawdown Control
Fixed Risk
Survival First
A practical way to compare 10y vs 5y is to treat the older window as a stress test and the recent window as the live candidate. If performance only survives when spread, commission, and slippage are held unrealistically low, the edge is probably fragile.
I’d run walk-forward on the last 2–3 folds, then compare trade distribution, drawdown shape, and average adverse excursion between the two windows. If the recent 5y behaves materially differently, that usually points to regime dependence rather than better robustness.
Do you see the same direction of drift across all symbols/timeframes, or only around certain session hours?
On XAUUSD specifically the drift is not uniform across sessions, it concentrates around the London open and US data release windows. Volatility per bar has crept up over the last couple years compared to five years ago, so an EA optimized purely on a calmer older sample tends to size positions too aggressively relative to current stop distances, while one optimized only on the recent regime can look great in backtest but has barely seen a real low volatility grind period.
What has worked for me is testing the same parameter set across a few chunks of history that each contain a distinct regime, one calmer period, one high volatility news heavy period, and the most recent year, rather than treating 10 years as one continuous sample or picking 5 years and calling it done. If the equity curve stays reasonably smooth across all three chunks without re optimizing between them, that tells you a lot more than a single long backtest number does. Asian session tends to drift less for gold in my testing, most of the regime change shows up London through early NY.