Robustness measures

Robustness is the ability of a given strategy to perform correctly in many different and uncertain future market conditions. RobinVOL is traded on all our real money accounts since 2011. It wasn't until mid-2012 that we decided to release it as a commercial product. So a lot of care has been put regarding robustness for RobinVOL. Default settings of RobinVOL are optimized only from 2000 to 2008. And the rest of the available data (2009 to 2012/May currently) was used to test the settings on unknown data (this is called the out-of-sample period).

The result is that default settings have been performing brilliantly during the out of sample period, so we can be sure that those settings are not curve-fitted and, most important, it is highly probable that they will keep generating money in the future.

It is very easy to optimize a strategy with all the available data and make impressive equity curves. The result is always that in real trading these strategies lose a lot of money. The reason is called “curve-fitting”. Unscrupulous vendors focused only on selling their Expert Advisors and running with the money always uses this trick (amongst others). Only when the strategy is sound and the optimization is done properly an Expert Advisor can make money in the markets. We have worked hard to implement both in RobinVOL. On the development roadmap we have planed to include Walk Forward Analysis, so that our out-of-sample period will include all the data available.