To better explain my reasoning(im a begginer so pls correct me at any point): There are bilion different systems, traders, aproaches indicators etc. and every one of them can more or less be easily defined as enter position IF(some condition, which descibes some situation market is in), exit position IF(some condition) - even if the trader thinks about his trading as some sort of art, he must have this atleast unconsciously defined (if not, he is not very consistent with his trading). I find the aproach of picking one spend 1000hrs trying it, maybe slightly modifiing it based on gut feeling statistics and then maybe switching to different one not very reasonable.
So I want to go through milions of these, and let the program tell me which one does the best. I've started with sma, (one of the reason is simplicity for programing) the other is that if I look at any indicator or any trading aproach, it somehow look at the previous trend/market state, which I think could be descibed with some state of MAs, price(which is basically MA 1 period), or some combination of that (not necessary a crosover, was just an example).
If I define the different possible market situations (I was thinking I can do it with MAs somehow, like descibed above, like in example MA crossover descibes certain situation ), I can try entering market on those states, same for exits.
For now I've started with SMAs combinations for entry and simple stoploss /profit target for exit, around 120 mil combinations of entries/exits. To reduce curve fitting, I do backtest on some time period, pick the best and try walk forwarding it to some forward period (Here I also try different combinations). I don't pick the one with best result - the most curve fitted one, but I check also surrounding "systems". For example to pick system with exit PT of 100, I am doing average of results from PT 90 100 110, so I won't get the most curve fitted. Same for SLs and entries, so currently it does average of 243 "surrounding systems" when choosing "the best".
So I want to do backtest of a lot of systems - market situations where to enter/exit position (this is my main question, how to define the range of those systems, my first thought was I can do it by some sort of MA states and combinations), pick "the best" (this is also a question how to pick the best, currently I am doing that average of 243 surrounding systems), then trade it for some time (I am simulating this with walk forward), hoping that if it (and surrounding 243 systems), did good in a X backtest period, It will do half as good in Y forward period/live trading.
If the MAs are not enought to define an entry pattern, I am open to suggestions.
"give more consideration to what the ideal position should look like AFTER you've entered. Say 10 bars after you've entered...This will then indicate to you the right sort of entry signal to look for " - Isn't it basically the same? I defined that ideal position after I entered should be profit of some sorts:P, and I am looking which sort of entry signal will provide that.
I know exits are as important as entries, for now it's sl/pt but open here as well, but must be defined same way as entries, some range of conditions where I can test which produces best result.
"Do you have your own custom charting too ? (C++, Java, what do you got) ? just curious" - I have no cahrting, it's just my home freetime project to learn to code with a hope I can do some real stuff with it afterwards. I use c++ and CUDA (nvidia programing language for GPUs - small massivelly parallel supercomputers:P)
"No disrespect, but you seem either not to be listening to what people are telling you, or you don't quite understand it." - What I ment on top was that walk forward and picking surrounding systems as well, not necessary adding another indicator to curvefit it more.
Please take all my thoughts just as a current thoughts of a begginer and I'll gladly listen to any suggestions.