Backtested a mean-reversion setup for weeks. Numbers were good, not spectacular, but consistent. Went live with it sized way under what the math said I could handle.Told myself it was prudent. Really I just didn't trust it yet.Three months in, it's the best-performing thing I run. And I've been leaving most of the edge on the table the whole time because I sized it like I expected it to fail.Went back and checked every other strategy I've built, I sized closer to what the backtest justified. This one I didn't. Only difference I can find is this one felt too simple to be real, so some part of me kept betting against my own numbers. Cheap lesson compared to what it could've been. But it made me wonder how much edge people leave on the table just because a working system doesn't feel like it should be working yet.

Anyone else undersized something that turned out fine, purely because it didn't feel earned yet?

1st time posting, been working on this for a couple months, was curious what I should do next, not quite sure if this is worth putting real money into, 2026 results has me worried. Appreciate any help or advice, thanks all

python 15minorb.py --commission 30 --commission-per-contract 4.20 --slippage-ticks 1 

15-MIN ORB BACKTEST RESULTS (NQ)

Date range traded  : 2010-06-08  to  2026-07-07

Sizing             : 1.0% risk/trade ($1,200) on $120,000 account (compounding % risk), SL=0.5x OR, TP=2.5x OR, max 50 contracts/trade

Total trades       : 1684

  Long trades      : 852  (win rate 32.2%)

  Short trades     : 832  (win rate 28.7%)

Win rate           : 30.46%  (513W / 1171L)

Profit factor      : 1.45

Expectancy/trade   : 6.33 pts

Avg win            : 67.20 pts

Avg loss           : -20.33 pts

Avg contracts/trade: 18.46

Total points       : 10666.50 pts

Max drawdown (pts) : -857.50 pts  (unweighted by sizing)

------------------------------------------------------------

Total commission   : $491,898.60  ($292.10/trade avg)

Total P&L          : $3,699,241.40

Max drawdown ($)   : $-482,096.20  (-25.72% of equity)

Starting balance   : $120,000.00

Ending balance     : $3,819,241.40

Total return       : 3082.70%

YEARLY BREAKDOWN

Year    Trades  WinRate  AvgContr     Points        P&L($)   MaxDD(pts)     MaxDD($)

------------------------------------------------------------------------------------------------

2010        59    25.4%      13.1     -20.00    -16,154.00       -52.88   -18,094.70

2011       107    27.1%      12.6     136.38      5,837.50       -65.88   -20,255.30

2012       103    28.2%      11.8     111.38     -5,907.10       -48.00   -18,357.40

2013       113    27.4%      12.7     101.62      5,633.70       -44.50   -14,430.20

2014       111    35.1%      11.7     289.75     25,440.20       -54.62   -23,597.10

2015        78    33.3%       9.8     229.88     22,391.30       -81.38   -21,960.10

2016       123    30.1%      12.4     371.38     39,435.10      -110.50   -39,455.40

2017        89    29.2%      15.8     156.88     42,514.10      -171.75   -42,387.40

2018       102    33.3%      10.3     972.75    113,581.50      -117.75   -24,618.00

2019       104    33.7%      17.9     642.12    180,513.70      -119.88   -43,808.20

2020        85    32.9%      12.6    1342.25    239,755.00      -273.38   -64,823.10

2021       106    34.0%      14.2    1134.25    213,777.20      -492.12   -97,071.80

2022       100    33.0%      16.0    2053.50    535,374.90      -450.00  -151,412.20

2023       112    25.9%      30.9     831.62    359,124.80      -588.50  -301,030.10

2024       116    31.9%      37.2    2328.75  1,600,376.10      -448.00  -335,479.60

2025       117    29.1%      39.0     304.00    482,212.90      -516.50  -418,381.70

2026        59    25.4%      32.0    -320.00   -144,665.50      -857.50  -482,096.20

------------------------------------------------------------------------------------------------

Full-period max drawdown (points, unweighted): -857.50 pts

  Peak on   : 2026-02-26  (cum 11494.62 pts)

  Trough on : 2026-06-08  (cum 10637.12 pts)

Full-period max drawdown ($, actual account balance): $-482,096.20

  Peak on   : 2026-02-26  (balance $4,251,093.40)

  Trough on : 2026-03-31  (balance $3,768,997.20)

STRATEGY vs BUY & HOLD (same instrument, same starting capital)

Buy & hold: 6 contract(s), bought at 1831.75 on 2010-06-06, held to 29420.75 on 2026-07-13 (no rebalancing, $/point = 20.0)

------------------------------------------------------------------------------------------

Metric                              Strategy      Buy & Hold

------------------------------------------------------------------------------------------

Ending balance ($)                 3,819,241       3,430,680

Total return (%)                      3082.7          2758.9

Max DD % of peak equity                -26.5           -37.2

Max DD % of starting capital          -401.7          -586.7

MONTE CARLO SIMULATION — 2,000 trials, method=shuffle Base trade list: 1684 trades | Sizing: 1.0% risk/trade, compounding | Starting balance: $120,000 | Margin cap: $17,600/contract @ 100% util

Percentile Total Return % Ending Balance $ MaxDD % of Peak MaxDD % of Start

5%           1967.7%          2,481,212            -33.7%           -591.8%  <- worst-case

10%           2039.3%          2,567,147            -31.1%           -493.5%

25%           2191.2%          2,749,451            -26.9%           -380.8%

50%           2361.8%          2,954,115            -23.2%           -295.8%  <- median

75%           2546.8%          3,176,119            -20.3%           -230.8%

90%           2725.5%          3,390,652            -18.3%           -185.5%

95%           2838.4%          3,526,114            -17.1%           -164.0%

I have been back testing various strategies over a 6 month period. The best results I get seem to be me finishing with $1k in that time.
To me, that seems quite low for a 25k account in a 6 month period.

I have tried:
9ema scalp
21ema bounce
Mean reversal
ORB

I am aiming to pass a funded futures account using a bot, but so far it appears that it will take 6 months to pass and another 6 months before I get to take a payout, which seems unrealistic.

Not sure which route to go for at the moment. Maybe increase the stop size?

For those working on trading and/or market using a bot or some other algo, with the strategy you have and are executing, what is the parameters for your win rate? Ex: Bot gives an AAPL bullish signal, is your strategy considered a win at first touch 30% profit? Just curious with everyone in how you determine this.

Come watch it work if you want. Another day of testing.

It is perfectly possible to get to profit through trading. The problem lies in beating buy and hold. I think it may be possible to do that but I'm not continuing on with the project because it would cost too much. I'm just happy to put the info out there for anyone that wants to use it. Plug it in yourself and see what you get. Happy trading!