Hi
How far we should go back with historical intraday data for back testing a intraday 5 minute timeframe strategy? Whether is it enough to back test with 6 months to 1year of 5 minute bars or we should look back for more than a year of historical bars to test for any intraday systems?
Thanks
In my opinion, the longer the period of backtesting, the better will be the result. However having said that, there will be some caveats:
1) Most algo trading systems performance will fluctuate over longer periods, so no algo gives consistent result across all periods
2) A potential approach is to have a meta model selection algorithm, that decides which of your designed algo strategies to run in a given period