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Author: Subject: Robustness testing
Carl
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[*] posted on 6-6-2018 at 12:36 AM


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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