macrocephalopod

Obviously you should do some parameter averaging, e.g. you could compute the signal using various speeds from 5-15 days and average the positions over each parameter choice, to make the strategy robust.

With some additional robustness checks and careful implementation of a simulator for fill prices, commissions etc you are well on your way to launching your first quant strategy.

Only problem is that the price series is one I generated using 100% random noise, it is completely unpredictable by any signal. Congratulations, you now know how to overfit a backtest. Welcome to quant research.

This is awesome, I like the idea of plotting sharpe as a function of parameter setting to find the sweet spot... good to bet on multiple settings tho for robustness. Since this series randomm,Any xtra steps u do to scrutinize whether it works bc of luck? Or is that always a risk

1. Don’t do any of these steps

Are you saying, dont try to find simple tendencies like this? I think maybe it's worth exploring, bc if the asset remains stable you can make money in theory

1. Don’t look for the thing you’re testing 2. Don’t overfit parameters based on the thing you’re targeting 3. Don’t simply select the best parameter value from one historical test 4. Understand max theoretical sharpe ratio for a given strategy (# indie bets)