What kinds of trades is it putting on when it losses trade after trade? With your algo that won every day, it was easy to understand that on some days, the contracts would pile up with all the add-ons and reversals, so it was only a matter of time until there was a loss on a big position.
But looking at the equity curve you show here, it seems like it takes weeks to hit the huge drawdown, so this means trade after trade doesn't work. Are you able to look at all of these trades on a chart to see what is happening? You seem to have fairly equal amount of longs and shorts, so its not like you're just shorting in a bull market or going long in a bear market, and the market changed.
Right now the guys on the ES thread are killing it, and all they are doing is waiting for a dip and going long. Seems super easy. But at some point, every dip that they buy will probably not recover. So is your algo doing something similar in that it can work for 3 months and then all of a sudden completely fail?
Maybe the ES traders will learn to short every rally and continue the winning streak, but it will likely take a while before they switch tactics, and this change will probably not happen until there are at least 5 or 10 days where dip buying doesn't work. So it can take a while for the dip buying euphoria to subside.
