Hi footon,

really great stuff. Thanks for sharing it.

About the consecutive win policy; I’ve told you so. ;-)
I’ve also played around for a year with it, I think it makes no real sense to use it.

First of all, as you already mentioned, profitable trades will be left out but you’ll most likely would have needed them to cover future losses. Therefore, your strategy would need a really high w/l ratio trying to cover this.
Additionally, you’d need a proper risk/reward ratio to limit the impact of losing trades.
All this combined is a really tough weight to carry and in the end it just isn’t worth it.

What you may also consider when you set a new strategy live, in general the best performance is achieved when it starts trading right after your sample size (for creation/optimization). If time goes by the performance usually drops, so you’d might lose the most profitable time of your strategy on top.

The only thing it might work here is for a strategy which is not really working on its own, then you might get lucky and achieve better result than then original strategy.
But I don’t know if that’s really a proper way to go.

The w/l ratio policy might be better, maybe you’d able to cut losses when the strategy performance starts to decline.
But I assume similar to the consecutive win example, this approach might work with poorly performing strategies better than which carefully selected ones.