My Strategy Didn’t Fail. I Did.
For the last couple of years, one question has been sitting in the back of my mind.
Why doesn’t my live trading look like my backtest?
The strategy was exactly the same.
The rules were exactly the same.
So why was the outcome different?
For a long time, I blamed the strategy.
I tweaked things.
I questioned my entries.
I questioned my exits.
I even wondered if trend following simply didn’t work anymore.
Looking back now, I don’t think any of those were the real problem.
The bigger problem was me.
The Comparison
A few days ago, I compared my live trading with more than eleven years of backtested data.
The numbers looked like this.
| Metric | Live Trading | Backtested |
|---|---|---|
| First Trade | 16-Jul-2024 | 28-Jun-2010 |
| Last Trade | 03-Jul-2026 | 24-Feb-2022 |
| Trading Days | 717 | 4,259 |
| Total Trades | 277 | 996 |
| Winning Trades | 116 | 337 |
| Losing Trades | 161 | 659 |
| Win Rate | 41.88% | 33.84% |
| Profit Factor | 1.18 | 1.69 |
| Risk : Reward | 1.63 | 3.31 |
| Expectancy | 7.73 pts | 14.02 pts |
| Recovery Factor | 1.16 | 10.85 |
| CAGR | 23.55% | 11.94% |
| Calmar Ratio | 0.83 | 1.79 |
| Maximum Drawdown | 931 pts | 1,227 pts |
The first thing that surprised me was the win rate.
My live trading actually won more often than the backtest.
If someone had shown me only that number, I would have guessed the live performance should be better.
It wasn’t.
Almost every metric that actually matters was worse.
I stared at this table for quite a while.
Eventually, I stopped looking at the strategy and started looking at myself.
Position Sizing Was Never Really Fixed
When I began trading, I thought I had a position sizing plan.
The truth is, I didn’t.
After a few losses, I’d reduce my size.
After a few good trades, I’d become more confident and increase it.
Sometimes I’d skip trades because I wasn’t feeling comfortable.
Sometimes I’d convince myself that “this trade doesn’t look good.”
At the time, none of these decisions felt like mistakes.
They felt sensible.
Only when I looked back over two years did I realise how much they had changed the outcome.
The backtest wasn’t trading like I was.
I Also Lost Confidence in the System
There was another period that I don’t really enjoy talking about.
During drawdowns, I stopped trusting positional trading.
I switched to intraday for a while.
Then I came back.
Then I questioned everything again.
At the time, I thought I was adapting.
Now I think I was simply uncomfortable.
The funny thing is that trend-following systems don’t ask for constant adaptation.
They ask for patience.
That’s the part I struggled with.
The Last Six Months
Around six months ago, I decided to stop changing things.
No more adjusting position size because of how I felt.
No more jumping between systems.
Just follow the plan.
Six months isn’t enough to prove anything statistically.
But it has been enough for me to notice something.
Trading has become quieter.
I’m spending less time second-guessing myself.
And, so far, the numbers look healthier than they did before.
Maybe that’s a coincidence.
Maybe it isn’t.
Time will tell.
Why I’m Sharing This
I’m not writing this because I’ve figured trading out.
Far from it.
I’m writing it because, when I compare my live trading with my backtest, I can clearly see that the biggest difference wasn’t the market.
It was how I behaved inside the market.
Maybe, a few years from now, I’ll look back at this post and realise there were other mistakes I haven’t even noticed yet.
But today, this is the biggest one I can see.
If someone else is trying to understand why their live results don’t resemble their backtest, maybe my experience gives them another place to look.