Hi BigDog,
I have done several tests on NG.
dataset 2007-2018
dataset 2010-2018
dataset 2012-2018 (low vola period)
with costs, slippage, stoploss
without costs, slippage, stoploss
The average trade is really low these last 2 years.
So I tried increasing the (theoretical) slippage to 20 USD per trade, to see if GSB could find a strategy that is profitable even in this low
volatility period.
So far no luck...
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