> - Another idea not related to the above, and not even implying any change > to JBT, would be to compile a sort of 'feared events' data set, or black > swans if you like, including only days in which the market behaved weirdly, > to backtest a strategy before launching. This is done often in safety > systems engineering (which is more related to my background than futures > trading!). > > This can be done without any code modifications. Simply backtest your strategy using the data file which contains the "weird" events. For example, the infamous "flash crash" May 6, 2010 biased the optimization of my strategies so much (albeit in a good way), that I decided to exclude this day from my optimization data set. However, I backtest against this day when I consider new candidate strategies for trading.
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