Scalping: Optimized backtesting, a successful strategy?

[u/turtlemaster1993]

I have optimized roughly 15 scalping strategies on the past 20 days worth of data for a stock, The backtesting is on those same days and I have selected the best performer. Obviously I can’t expect it to perform the same as the backtesting on the next week but should I expect it to fail altogether? Would a better approach be to save the last 5 days for backtesting and optimize on the 20 days prior to those? How do you guys separate your data for optimization and testing? What other approaches are there?

Edit: using 1-min data

[u/Aurelionelx]

While people say 20 days isn’t enough - what is actually more important is the trade frequency. The larger your sample size of trades the more confident you can be that your strategy is statistically significant.

If I have a daily trading strategy that trades once a week, 20 days will definitely not be enough. If I have a high-frequency algorithm trading 40k times per day then 20 days is plenty.

Another thing to consider is that the market has been incredibly volatile due to Trump and if you are specifically testing a strategy related to this, there wouldn’t necessarily be any reason to test on data from 2014 for example.

Just some things to consider.

[u/turtlemaster1993 → u/Aurelionelx]

Good info here thanks