EA Validation: From Backtesting to Real Trading
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For me, EA validation should be a multi-stage process rather than relying on a single backtest.
I would normally look at:
Backtesting over different market conditions, not only the period where the strategy performs best.
Out-of-sample and forward testing to check whether the logic remains stable outside the optimization period.
Sensitivity testing. Small changes in parameters should not completely destroy the strategy. If they do, overfitting may be a problem.
Drawdown and exposure analysis. I consider equity drawdown, maximum exposure and position sizing at least as important as total profit.
Execution testing. Spread, slippage and broker conditions can make real results different from backtests.
Real-account validation with conservative risk. Ultimately, I think a real track record is one of the most valuable stages because it tests the strategy under conditions that cannot be perfectly reproduced in the Strategy Tester.
I also prefer evaluating robustness over a sufficiently large sample rather than focusing on win rate alone.
A strategy with excellent historical statistics but poor robustness is much less interesting to me than a system with controlled risk and stable behavior across different conditions.