is this curve fitting? have a look at these stats...

TheMeerkat

Newbie
2 0
hi,

i have a simple system which uses 3 variables: the period of a simple moving average and the size and direction of the previous bar. it yields the following results over 18 FX pairs aggregated over 10 years (after spreads are accounted for):

number of trades: 45,273
profit factor: 1.07
sharpe ratio: 3.0

i have modified the period of the moving average as well as the size variable and the results don't differ drastically between tests (lowest PF was 1.04, highest PF was 1.09, lowest SR was 2.5, highest SR was 3.1). what is worrying me is that a low profit factor coupled with a high sharpe ratio is usually associated with curve-fitted results. however, the shape of the equity curve is too tempting...

can anyone offer advice?

meerkat
 
 
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