I've ran into something and was wondering if anyone else has seen something like this and or knows whats going on.
on almost any strategy i test (if its a working one) they seem to do well after june 2016 but anything thats before june 2016 is a lost cause. you could test the same strategy from july 2016 to current date and have a positive net profit but test before june 2016 to anytime and its is always a negative profit.
so i dont know whats up... please keep in mind that this specific issue happens more often on strategies that are using bid and ask prices for order entries so buys are submitted to ask sells are submitted to bid.
because of that i thought that it might be the spread that was causing the diff. sure enough the spread saw a decrease from the time dates i mentioned above. but i dont believe 1 pip decease is the main factor to this.
anyone have any insight on this matter?
best,
Mo
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