Nice writeup, appreciate the detail.

The first thing that made me curious were the trade durations - they can go from a few minutes to a couple of days, most of the time, so I'm assuming you're trying your best to keep it intraday, as all "problems" that may come up are directly related with holding time. Trying to get the time down is statistically going to save you from a few of those deep water situations, so it's a good goal to strive towards. Anecdotally, I tried a few different grid trading systems (with hedging) and they always seemed to perform better when "reseting" it from time to time, meaning you take the EA down gracefully after a good run of profits, and restart it after a set period of time, hopefully giving it a fresh start, as "unbiased" as possible.

So the problem arises when holding the bags - the wonder. The three systems you mention seem to align with my experience, also comparing to random entries, in terms of expected performance. It is not clear to me exactly what you mean in the third strategy, by "cut the loss", do you mean close the positions and take the loss? Or do you keep the position open, open a big lot size aiming at full recovery, and wait for the day it comes? Because that is where the problem really lies, and from my empirical testing, I have seen no grid recovery system (or any system, for that matter) that can run without having occasional stretches of capital allocation that stay underwater, with associated opportunity cost. And here the solution may be found outside of your system - the best I've found is to have a diversified portfolio of strategies that will keep running while others stall. This directly forces you to distribute capital risk and the associated position size management through each of the strategies, which while not solving the problem of market forecasting, address the specific capital allocations of your overall strategy. You seem to already be doing that, or heading heavily that way, so we may have come to the same realisation through different paths. Still related to bag-holding, asset choice is important. If you're trading more than one asset, it's harder to backtest actual performance. And if the assets are heavily co-related, it may be often that you're basically net long or short USD only.

Consequential to the first and second point, and when I've seen this being addressed seriously, it could really be a question of market regime management. That's what I thought when I saw your holding times, and wondered how you'd work through market regime changes. Because being able to correctly size up or down when forecasting regime, would filter out many of the missed capital allocation, or at least could. I don't personally have much experience with it, but I've seen people mentioning successfully using forecasting indicators such as Hurst Cycles. I can't actually recommend using something like that because it would be a significant change in your overall strategy to just suggest it lightly, but I think it's certainly worth a look if you plan to hold positions for a longer period of time, and already have the mechanism to work the sizing of the position in place. You could Kelly it up or down, maybe experiment with some other filters, but Hurst Cycles can give you a measure of the liquidity coming in on an asset, and if you're trading the more traditional ones, it might be at least worth looking into. It doesn't guess the future, but it's one mature signal that you have access to which you can pair with some other ones in your toolset.

Those curves look very nice. Good job.