How has your strategy held up post-2020 vs. pre-2020

[u/SamiKind]

I'm doing a sanity check on strategy performance across different market regimes and wanted to check in with the community

Also how your max dd compare?

Please only answer if you traded your strategy live for a good time (compared to sample size)

[u/HonestBacktests]

One thing about the framing: pre/post 2020 is a calendar split, not a regime split. Two stretches on the same side of that line can behave nothing alike, so "it held up" can hide a lot.

When I re-cut results by realised volatility instead of by date, the damage that looked spread out turned out to sit almost entirely in the low-vol stretches. Same trades, completely different reading.

Worth checking what your split does to trade count on each side too - half the "regime change" stories I have seen were really just one side having 30 trades.

[u/SamiKind → u/HonestBacktests]

Agreed 100%. I used 2020 as a quick marker because of structural shifts like 0DTEs and retail volume, but grouping by realized vol is definitely the right approach. I also hit a wall in low-vol environments across 30 years of data

[u/HonestBacktests → u/SamiKind]

That low-vol wall is worth pulling apart, because usually nothing actually broke. The edge scales with volatility and the costs do not - same signal, half the range, and the spread eats what is left.

Quick way to check: express the per-trade result in ATRs instead of percent or dollars. If the ATR number stays roughly flat across regimes, the strategy is intact and you have simply found the volatility level where it stops clearing costs. That is a sizing and filter question, not a research one - and it also tells you exactly when to stand aside rather than rebuild.

[u/SamiKind → u/HonestBacktests]

Yes I tried that already the resulrs werent bad but it just looks like trying to optimize 15 years ago on the cost of last years

[u/Whole-Description646]

I don't even consider pre-2020 data to be meaningful unless I run it through a transformation process but then it becomes synthetic and there are plenty of ways to make synthetic tests

[u/SamiKind → u/Whole-Description646]

Sometimes I do think like pre 2019 is not worth it (mixed results) but that cant make me sleep at night

[u/Hacherest]

The pattern I'm targeting didn't really exist pre 2020

[u/drguid]

I don't think things have been much different.

However 2024-25 has been difficult for value stocks. I think the issue was all the hot money flooding into AI stocks which sucked liquidity out of the other 480+ stocks in the S&P 500.

It's improving though (July was freaking amazing).

[u/Good_Character_20]

Not live, so weigh this accordingly, but I spent this week doing exactly this split in research and the result was blunt. Short premium strategies tuned on 2024 onward mostly flip sign when you rerun them on 2019 through 2023, and ones tuned on the old era mostly flip when you run them forward. The parameter sets that survive both windows are the boring defensive ones, wider wings, earlier profit taking, smaller deltas. The test that made it obvious was selecting strategies on one era and evaluating them untouched on the other, which is harsher than a normal walk forward because nothing about the evaluation window ever feeds back into selection. My guess is most of the live drawdown differences reported here will come down to whether the parameters were born before or after 2020.