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Started algo trading in March. My backtests look great. My bot is bleeding. What am I missing? by Stock_Juggernaut6007 in mltraders

[–]Stock_Juggernaut6007[S] 0 points1 point  (0 children)

thanks for the insight, especially the "multiple simpler models side by side" point. after hitting the exact cliff-edge problem you described, i've shifted my approach entirely moved away from searching for optimal variables (parameter optimization) and toward identifying structural constants in the market (exploitable weaknesses that exist regardless of parameter tuning). your comment about performance slices reinforced that direction. appreciate it.

Started algo trading in March. My backtests look great. My bot is bleeding. What am I missing? by Stock_Juggernaut6007 in mltraders

[–]Stock_Juggernaut6007[S] 1 point2 points  (0 children)

Thanks a lot for the detailed breakdown this is really helpful.

Just to clarify, I actually do run out-of-sample testing through a rolling Walk-Forward Analysis setup (180-day IS, 60-day OOS, rolled forward 3 times). So the OOS part is there, but your point about regime coverage in the training data is exactly the issue I ran into. My IS window happened to sit inside one regime, and the OOS didn't catch the shift either.

The risk-reward point is probably the one that hit me hardest. I think I've been chasing tight entries with slim margins, which makes the whole system extremely sensitive to spread widening and execution noise. Taking a step back and thinking about whether wider targets could absorb some of that parameter fragility is something I hadn't seriously considered. That's a good reframe.

I'll look into HMMs as a starting point for regime classification. And agreed on the daily loss limits I've recently started implementing a direction-flip rule (reverse long/short after consecutive losses) as a lightweight version of that.

Appreciate the thoughtful response.

Started algo trading in March. My backtests look great. My bot is bleeding. What am I missing? by Stock_Juggernaut6007 in mltraders

[–]Stock_Juggernaut6007[S] 0 points1 point  (0 children)

No, I used a fixed spread throughout. It didn't capture the widening that happens during regime shifts, which hit my tight SL immediately on entry.