My trading system has a 73.5% win rate and loses money. Here is the diagnostic that found it.

A trading system with a 73.5% win rate was found to lose money due to incorrect simulation of costs. The system was tested with historical data and found to have a 2-5 percentage point difference in win rate compared to live trading. This is because the simulation applies costs as a post-hoc adjustment rather than modelling the mechanism that generates them. To avoid this issue, it's recommended to model the costs in the simulation. Additionally, the system's parameter surface was found to be unlearnable, indicating that no selection rule can help improve the system's performance.