This is covered here in very high level.

Put the dates back from start date to 200706. (for gold example)

Select families.

Evaluate the top member of each family to see if its trade-able.

You need to walk forward the system, and make sure the brown out of sample curve holds up to the other curves.

Big picture however is you want the setup with the best session time, entry mode, secondary filter etc with good out of sample statistics before you go looking for a system to trade.


In this example, since the out of sample period, the brown curve was parallel to the other curves. This is good.

The curve however is too flat for my liking, especially when you factor in there is no slippage and commission.