Hi Pier, thanks a lot for sharing this strategy with the community. I appreciate a lot.
I made a test over 200k bars and the first part of the history (OOS period) shows that the strategy is overfit over the last part (the one you develop and optimize the strategy on = screenshot attached).
It doesn’t mean the strategy is bad, perhaps it could become more “robust” with new optimization made every X bars, the Walk Forward tool will help you find how and when to do it. Thank you again 🙂