When I do stress testing and change the time period of either fast/slow time period by roughly 10 percent, I get poor results where the profit and sharpe ratio are significantly lower (50-75% lower).
Is this a typical of cross-over strategy behavior, or does this imply that I have curve fitted my period? (I did use in-sample and out of sample to optimize this strategy)
Any input on this is greatly appreciated.
Thank you!
Gary
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