Strategy Testing

[calamitychris 10]

Relative newbie here; coming back to trading after taking a long hiatus and I'm committed to testing my strategies now before going live. Anyways, I was hoping to get some input on some trader's experience with strategy testing. I have been back-testing a couple using TS's strategy tester and so far the results have been positive. Anyway I would appreciate some thoughts from seasoned traders, specifically:

 

1. How far back should one test a given strategy in order to trade it with confidence?

 

2. In your experience, has strategy implementation been on par with back-tested results and to what extent?

 

3. In your experience, how long is a given strategy valid before re-calibration is necessary?

 

I should also add that I am testing my own strategies. I'm convinced that the ones for sale are crap, otherwise people wouldnt be selling them

 

appreciate anyone's thoughts on the matter

Edited July 17, 2010 by calamitychris

[RM686 10]

All my strategies that tested out great fell off a cliff at the end of the testing period. You have to really get into walk forward testing and I have heard reevaluate every 3 months to have a strategy to work.

I gave up. The really walk forward testing software was too complicated for me.

Just my opinion.

[LS_Chad 10]

I began a video series on backtesting, optimizing, and implementing a specific system a few weeks ago. It's an ongoing project but may provide you some insight: Investor/RT - Fading the VWAP Bands