I have been testing a strategy that gives decent results in backtest with WFO. I'm confident that it is not curve-fitted as my trade-to-parameter ratio is high and parameters are robust across a range of values. In my backtest, my maximum drawdown is about 15%.

I'm trading it on a demo account, and to me the strategy seems to be taking positions out of proportion to the account size. The account balance is $10k and the strategy is risking almost 10% of this on some trades. For others, it risks as little as 1.5%. The strategy's win ratio is less than 50%, so risking as much as 10% per trade would surely not give a maximum drawdown of only 15%!

I'm actually using a fraction of optimal F, and reinvesting as per the square root rule. I've also tried setting the Risk parameter to a small percentage of the balance to limit the position sizes, but this only has a small effect on the backtest results - I would expect something more significant.

My questions:

1. jcl, could there be another bug in the MT4 bridge that causes excessive position sizing, like the bug that didn't honour the exitLong() and exitShort() functions?

2. Do these trade sizes seem excessive to anyone else? Should I just trust the optimal F factors? Anyone run across anything similar?