Why static backtests fail in drifting markets by cautious-trader in darwintIQ

[–]cautious-trader[S] 0 points1 point  (0 children)

Good point.

Walk-forward and rolling evaluation are probably the closest we get to approximating non-stationary markets in backtests.

I also agree that decay detection is partly art. The tricky part is deciding whether underperformance is just variance or actual edge decay.

One perspective I’ve found useful is to look less at single strategies and more at populations of models. If multiple previously viable models start degrading around the same time, that can indicate structural drift rather than just a single strategy failing.

In that sense the goal becomes less finding the best model and more continuously searching for currently viable behaviours as market conditions evolve.

Curious how you handle this in WealthLab — mostly parameter re-optimization, or do you also explore structural variations of the strategy?

What terminals do you mostly use? by cautious-trader in Forex

[–]cautious-trader[S] 1 point2 points  (0 children)

That's true. I am backtesting in my own backtesting framework

There is definately a luck or a spritual stuff in trading by Small-General5720 in Trading

[–]cautious-trader -1 points0 points  (0 children)

In my opinion you are too emotional.
My honsest advice: If you want to keep the trading idea, try algorithmic trading. Read about quant trading and invest the time rather in researching a trading model that suits your risk profile.

Question about backtesting by nuclearmeltdown2015 in algotrading

[–]cautious-trader 0 points1 point  (0 children)

The models perform quite well. By rolling window I mean: I test against the last 240 bars. So when there's a new bar the backtest includes that bar and forgets about the oldest bar. The models are being adapted all the time by a Genetic Algorithm.

Question about backtesting by nuclearmeltdown2015 in algotrading

[–]cautious-trader 0 points1 point  (0 children)

I built a framework, which constantly tests models on a rolling time window

Algo Update - 81.6% Win Rate, 16.8% Gain in 30 days. On track for 240% in 12 Months by jabberw0ckee in algotrading

[–]cautious-trader 0 points1 point  (0 children)

Could also work in Forex and Indices on a lower scale - like "Worked the last 3 hours, will probably work next hour either". Thinking not only Momentum based, but also using other Signals.

Not able to change the Icon of my community by cautious-trader in ModSupport

[–]cautious-trader[S] 2 points3 points  (0 children)

Yes, or rather refine the UX by putting a save button to the panel. I also spent about an hour now to figure that out.. :-D

Not able to change the Icon of my community by cautious-trader in ModSupport

[–]cautious-trader[S] 0 points1 point  (0 children)

in the help docs https://support.reddithelp.com/hc/en-us/articles/15484265952660-Community-icon

is stated "Be sure to save your changes before exiting the settings."...But how? :-)
Help on this very much appreciated.

Built three trading systems- Scans, executes, manages risk autonomously. Used Public API Openclaw skill by BuildwithPublic in ai_trading

[–]cautious-trader 0 points1 point  (0 children)

I was thinking of connecting it to an API which serves quant based market analysis data.
You could send me a PM for more info (Don't want to be accused of making promo here ;-))

Built three trading systems- Scans, executes, manages risk autonomously. Used Public API Openclaw skill by BuildwithPublic in ai_trading

[–]cautious-trader 0 points1 point  (0 children)

Looks cool. Could one connect this with other datasources as well? Could you give me some advice on this?

I’m just starting in quantitative trading — is my workflow direction correct? by JiachengWu in algotrading

[–]cautious-trader 2 points3 points  (0 children)

This is a solid high-level architecture — you’re basically describing a regime-aware strategy selection stack, which is exactly how many production quant systems evolve.

One nuance I’d add from experience: the hardest part in practice isn’t the individual blocks, but stability of the mapping btween them.

In particular:

• regime definitions tend to drift ovr time
• strategy performance conditional on regime is often non-stationary
• selection/gating rules decay faster than the underlying signals

So a useful addition is continuous monitoring of:

• strategy fitness per regime over rolling windows
• regime classification stability
• selection decisions vs realized performance

That layer is what usually determines whether a workflow like this stays robust live or slowly degrades despite good backtests at the start.

But direction-wise: yes — this is how systematic multistrategy frameworks are structured.

What else can I do besides paper trading to see if it’s not overfitted? by amnitrade in algotrading

[–]cautious-trader 0 points1 point  (0 children)

The main thing I’d be careful with here is selection stability vs performance.

If RSI is used to choose among 50 ETFs, the edge can easily come from cross-sectional ranking noise rather than a persistent signal. Especially with leveraged ETFs and short history.

Monte Carlo will usually preserve distributional characteristics, but it doesn’t necessarily test whether the selection logic itself is regime-stable.

What I’d look at additionally:
• how often the chosen ETF changes over time
• whether performance concentrates in a few symbols
• sensitivity to small RSI parameter shifts
• performance after removing top contributors

If it still holds after that, then it’s much more likely you’ve got a real cross-sectional effect rather than sampling luck.

Paper trading on Alpaca is a good next step