I don't know what your strategies and workflow look like but "tinkering" here sounds a lot like overfitting, doesn't it?
If you're adjusting parameters or adding new mechanisms that increase the AR in the backtest, you can introduce all sorts of biases into it even with OOS testing.
Yes and no.
I mean - I would gladly have PF0 algo that somehow magically is vastly profitable.
Question is - how do you know?
How do you determine this mythical boundary at which improvements suddenly becomes overfitting?
5 successes out of 10 are much less meaningful than 500 out of 1000.
One of my rules is to strive for relatively high trade count (>2000).
I have removed couple weird rules despite losing %.
I still have some of them.
Trade and see. Adapt. Think deeply about every rule you adjust.
It's not random.
You can enter a long, see a dip and think - it's over.
Or you can see it as a temporary sweep, wait a bit longer and be in profits.
You have to be confident that your strategy wins this black swan event not by chance though. I've also played around with the MATIC coin some time and the backtests were often defined by that burst of volatility in may. But if there are 2-3 trades happening that capture these insane price jumps, I just don't know how I can know if that is random luck or if the script can actually be on the right side of these reliably. And since I'm pessimistic, I rather exclude those times from the backtest personally. Though I also don't include any mechanism in the scripts so far that specifically react to these moments.
![[Linked Image]](https://i.imgur.com/UXmJbE4.png)
I am reasonably confident. It's not just 2-3 trades. There's like hundred in May.
Would say - it's actually algo's strong suit to handle such times.
Marked other bursts of volatility.
Either it rides it or gets stopped out and stays relatively flat.
I rather exclude those times from the backtest personally
Mentally - I do that.
Practically - I would rather have them just to keep some sort of assurance whole thing won't go bankrupt in seconds.
Keeping such ability seemingly hinders algo, removes a lot of room during "normal times".
But on grand scale of things - I think it actually rises the bar and increases adaptivity.
It's important to think about synergy.
I try to build it from "you don't want to flip here" standpoint instead of "this is the time you trade".
Instead of SMA 50-200 cross or perhaps valley/peak like rule - I favor rise & fall.
It's careful filtering instead of catching glaringly obvious tells (in fact - I might include such layer in future).
When you build it such way - rules seem to indicate same thing yet do that differently.
Once you get to combinations of rules - they start to cover up each others weaknesses.
If we take that same SMA 50-200 cross and combine it with (imo shitty) UO - there's a good chance you can change it to 49-199 cross.
