Our general approach to the problem of forex trading system back-testing has been outlined before. This post gives a more detailed picture of the parameters subject to the optimization -- a useful reference point for the optimization reports that may follow. The only caveat is: since the nature of the forecasting algorithm will not be disclosed, discussion of the nature of the parameter(s) related to it will be similarly avoided. Therefore, the scope of the optimization problem is reduced, essentially, to the problem of money and risk management in the presence of a more or less successful forecasting engine. It need not be quite the same as the problem of money and risk management in the hypothetical efficient market.
Setting up an algo trading system test bench. Description of parameters.
Source: www.forexautomaton.com
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