Even if the backtest is done perfectly with good optimization and walk forward results, it’s all about the past and the future is unknown.
After you have been trading with the same system for a while and the performance decline suddenly or gradually in an unexpected fashion, and you start to wonder if it still works. Are there any criteria or certain rules that determine the system is no longer working and you either need to re-optimize it or retire it?
Thank you for the suggestion of Howard Bandy's book, but the links to the books seem to be outdated, could please send the updated link to the book you mentioned?
@beppe@Tomasz I actually checked Amazon, there are a few books by Howard Bandy, just want to know exactly which one provides the information and knowledge I sought in the original post.
@riverculture the "Modeling Trading System Performance: Monte Carlo Simulation, Position Sizing, Risk Management, and Statistics" book has a 50-page chapter titled "Is It Broken?".
I suggest reading the Amazon reviews to understand better what to expect.
@riverculture, keep in mind that this book, compared to previous ones by the same author, is not specific to Amibroker, dealing with probability and statistics, and most of the analysis is done with Excel (the author explains the necessary formulas in an appendix).