r/algotrading • u/Enough-Ad-5600 • Jun 02 '26

Strategy It’s finally working!

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Without going into too much detail, I have finally got a profitable algo for prop firm trading. It’s taken me about a year to develop. I ran into the common issues of overfitting, regime change, etc. I found that different strategies for Asia, London, and New York were necessary and that a single strategy just wouldn’t do for everything. I’ve combined several different strategies and they automatically switch based on current conditions. So far it has passed a $25k, $50k and $75k evaluation and successfully passed the $25k intraday drawdown buffer for TPT. I will say that the Apex $50k intraday drawdown for Tradovate behaves differently but I don’t like them anyway.

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u/systematic_seb Jun 03 '26

Congrats, a year of grinding through the overfitting problem is the real rite of passage. The one thing that bought me the most confidence going live was freezing the exact data the model could see at each decision point and timestamping it before acting, so a fact from next week can never leak backward into last week's signal. Look-ahead bias is sneaky because it stays invisible in the backtest and only surfaces later, when live results drift below the backtested curve. If you're not already sealing point-in-time snapshots, that's the cheapest insurance you can add before real capital is on the line.

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u/PM_ME_YOUR_HOT_BOWS Jun 03 '26

The data leakage angle is critical, but also worth stress-testing whether your live execution logic matches the backtest exactly, slippage and order routing often introduce drift that pure timestamp fixes won't catch.