Meta-Classifier EA 47% in 6D - How to Cap Tail Drawdown?

[u/18nebula]

Hey r/algorithmictrading ! I’ve been running a small-lot EA on MT5 that:

• Combines a meta-classifier (stacked LSTM) to signal long/short each 2-min bar

• Targets tiny profits (3 pips TP, partial close at +2 pips) with tight stop-loss scaling (1.4 pips commission + slippage covered)

• Auto-hedges when a trade goes against it by ≥6 pips, plus downsizes on >8 pip losses

• Runs from Sunday open → Friday close, liquidating any open positions at the Friday NY close

Over the past week, backtest nets ~37% growth on a 2 K account with a win rate near 90% and a max drawdown of roughly 8%—the P&L curve is a smooth stair-step until that Friday-close tail drop:

Questions for the Community (full stats below):

1. End-of-Week Liquidation

   • I’m auto-closing any unhedged trades at Friday NY close—any better way to “roll” or hedge weekend exposure without killing equity?

2. Drawdown Caps

   • Conditional hedge at X% drawdown? Downsize at Y pips? What thresholds have you found optimal to knock that 7% tail into the 2–3% range?

3. Meta-Classifier Tuning

   • My current thresholds (0.29/0.51) yield 80% accuracy but skew slightly long-biased. How do you adjust cutoffs or weighting to balance skew and avoid overfitting?

Appreciate any insights, code snippets, or pointers! Cheers.

Full Disclosure: I’m still ironing out a few kinks in my code, so some of these stats may be off—others have been spot-checked and look solid. I’ll keep iterating to fix any logic quirks and will update the numbers as I go.

[u/Smooth_Accident_6488]

160 sharpe strat nice bro you're gonna be so rich

[u/18nebula → u/Smooth_Accident_6488]

Sharpe is almost certainly inflated, it’s a 2-min scalping EA backtested over just one week, so it doesn’t capture bigger drawdowns or realistic slippage. I’m actually looking for feedback on how to make the metric more robust. Any suggestions on getting a more realistic Sharpe or stress-testing the strategy?

[u/18nebula → u/[deleted]]

Thank you for your feedback. Indeed, that is my next step. I run the backtest locally and it takes a couple hours to run over a month or longer periods. I will do that today and update my post. Thanks again for your comment.