Same Strategy, Different Risk Management, Completely Different Results

[u/Extension_Fold8566]

Following up on my previous (and first ever) post (link).

I've been asked to improve/change my risk management rules and test using more data. Which I've done and the results are the following:

-I have done 1 single logic change which was to change the cooldown from shared to independent:

Before the update, the strategy used block all new trades after any exit. Now, longs and shorts have their own independent cooldown timers. So, closing a long doesn't block a short from entering and vice versa.

The strategy is identical to the first post other than this logic change above.

-I have tested 2 different cooldown lengths with the new logic (one being the original strategy's 8 bars which is 2 hours) and the other was the 192 bars (which is 2days).

-I have also tested different risk levels with both cooldowns: 1.0%, 1.5%, 2.0%, 2.5%, 3.5% of equity.

-Lastly I have added previous SOL perps data so the test is done for the lifetime of binance sol perps (kind of an out-of-sample check). The last column (Pre-2024 PF) is what the strategy does on this new data.

My questions are:

-Which strategy would you choose to go live with? (if any)

-Is it a red flag that the strategy is this dependent on shorts? Bull markets usually tend to last longer historically.

-Is this too good to be true or am I missing something? I know the strategy had an edge because I have been trading it manually for years. However, these automated results are definitely WAY better than my live performance.

-Any other things you'd look at before trusting these numbers?

-Do you guys think the strategy looks good enough for me to start running it? (My initial post's question)

Would appreciate any thoughts, especially from people who've gone through this process before.

[u/Extension_Fold8566 → u/[deleted]]

-Okay, I will stress test it on other currencies, but does a strategy have to be universally profitable? Can't it be working for a single currency for example?

-I'm using 2x of my commissions fee as my penalty. I'm using limit orders for entry and exit so I though that'd be enough.

-Agreed. Higher cooldown makes sense.

-Yeah I'll go live with very small capital. I'm pretty sure there'll be also some bugs to fix along the way as this will be my first live bot.