Been thinking about this. You can find a strategy that worked perfectly over the last 2 years. Great equity curve. Low drawdowns. High win rate.
Then you trade it live and it falls apart. 🤦♂️
Is overfitting the main issue? Or is it:
1. Execution differences (slippage, fills)?
2. Market conditions changing?
3. Psychology under real money?
4. Something else?
For those who've had a backtest fail live, what was the actual reason?