"Just went live and my strategy drew down immediately. Help!"
By Dave Mabe
Simon T. emailed me with a question about his NQ trading system, which he just went live with. (Used with permission, lightly edited for clarity.)
Simon T.
I recently listened to your Chat With Traders podcast. I thought I'd contact you for some feedback on my intraday system. Here's the dashboard for the current status.
Years 2009-2024 are in-sample, 2025-2026 are out-of-sample. This year is particularly struggling. It's all intraday on NQ.
Dave:
The dashboard has more details that I'll summarize here.
There are several systems here (at least 8 that I can tell).
Look at the equity curve and the drawdown: Simon went live, and the portfolio immediately hit its biggest drawdown in almost two decades.
What a coincidence!
Without knowing any details beyond what you see, here's my guess about what's going on.
He probably used Claude Code to "help" create and optimize the strategies.
I suspect several rules apply to each strategy.
All carefully applied using the "expert" guidance from AI.
You're treating Claude like your CEO when you should treat it like your summer intern.
By doing that, you've likely accidentally overfit, even though Claude told you (very confidently!) its decisions were the right ones.
Here's what I would do at this point to address this.
Take the strategy that you have the most real-world trading experience with.
Then go back to the pre-optimized version of the strategy.
Optimize it again, but this time be way more discerning about applying rules.
Think more deeply about each rule - be skeptical!
Only add rules that logically align with the overall strategy.
Ask "am I fooling myself?" multiple times through this process.
From experience, this is much easier with equities than with futures.
45k trades might seem like a lot, but with multiple strategies and a window this large, each strategy has relatively few trades.
Go through the entire process with just one strategy, get it live, start reconciling live trades with the backtest, etc.
It can be overwhelming to try to go live with this many strategies at once.
Break it down into bite-sized pieces so you truly understand the "why" more deeply.
Thanks for sharing with the group, Simon!
-Dave
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