OK, but what time interval do you think should be used in selecting strategies? If it is one year, then I suggest a real-time experiment where once a month, the top N strategies over the last year are identified and traded for a month. It would be interesting to see how this did in real time.
Yes I agree, it will be interesting to do this. I have been personally running the BVA strat for the past year and I can say my PnL portfolio is around 93% since. https://bitcoinvsalts.com/strat/466
