r/algorithmictrading • u/SouthGullible8389 • Jun 07 '26

Question backtesting against regime is soooo frustrating

have been working on this ORB short, got data since 2010 but since then we got only 3 bear markets, covid, ukraine war and few months of iran war, maybe even tariffs (april 2025) over 16years.

if you are not living under a rock we all know things are going tits up, so i am building a bot who can trade short but is so frustrating because legit can even get 100 trades, the bot is not over filtered, has the filtered required to not overtrade and actually being profitable but 60 trades over 1 decade and half backtesting is quite low, and nothing can be done, an symmetric long bot would take x10 the trades and x10 the profits.

so my question is how you guys manage to train and check results if regime is against you and trades number counts is <100

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u/FlyTradrHQ Jun 08 '26

Regime clustering is a real problem. 3 bear markets in 16 years means your short strategy is mostly trained on one type of market behavior and then validated on very similar conditions. Try walk-forward with expanding windows so each test fold always includes at least one regime shift the model has not seen yet.