I wanted to open up a real discussion around strategy development, regime changes, and what people look for before trusting a futures strategy live.
This was my first strategy that actually felt like it had real potential. It was up around $5k+ within the first 2 to 3 months, then the market changed hard, especially around the war/news-driven volatility. Before that, the max drawdown was usually around $3.5k to $4k, but once it pushed closer to $7k, I knew something was different. At that point I pulled the plug and started re-evaluating everything.
I am not saying the strategy is useless now. I may keep it on the shelf in case that type of market regime comes back, but it was still a very important building block for me. It taught me that a strategy can work, then suddenly stop working when conditions change. It also made me realize that backtest profit alone means very little if the drawdown behavior is unstable.
Over the last 4 months, I have been rebuilding and collecting more data. I have been focusing more on live data instead of only historical backtests, and I am also collecting microstructure-style information to better understand what is happening around entries. Each new version has helped me understand what actually matters in building a strategy. Once I got a better structural understanding of what I was trying to build, the process started getting a lot easier.
My current goal is not to find some perfect strategy. I am trying to build something realistic with controlled risk. Since I am working with limited starting capital, I am trying to keep drawdown controlled and focus on strategies that show enough trades, stable profit factor, reasonable recovery time, and consistency across multiple months, quarters, and years. I care a lot more about long-term consistency than one strong period.
The second screenshot is my current live project. It is only about 1 month in, but so far it is slightly positive and behaving close to what I expected. While it runs live and collects data, I am also building other models to diversify in case another regime shift happens.
I am not sharing exact logic, parameters, indicators, timeframe, or entry rules because I am not trying to promote anything. I am more interested in the development process itself.
For people who have been through this stage, what metrics do you trust most before going live? How much weight do you put on drawdown compared to profit factor? How many trades do you personally want to see before trusting a strategy? Do you shut a strategy off after a regime shift, reduce size, or keep it inactive until conditions return? At what point do you consider a strategy strong enough to start scaling?
Any honest feedback from people who have gone through this would be appreciated.