Performed a WFA optimization on a strategy. It is much more consistent long term, but yields more than 2x less since 2019. How do I deal with that?

[MikeBrant]

I should start by saying that this is a BTC strategy on a higher TF (6H).
I performed a 4 steps WFA optimization starting with data from 2015.

Let’s start with some basic data :

Backtesting old strategy from 2015-01-01 to present :

3529% profit - 1000 Trades - 57% profitable - 1.28 Profit factor - 55% Max Drawdown

From 2021-01-01 to present:
265% profit - 233 trades - 58% profitable - 1.36 Profit Factor - 24% Max Drawdown


And now new results :


New WFA optimized strategy from 2015-01-01 to present:

5509% profit - 913 Trades - 59% profitable - 1.4 Profit Factor - 26% Max Drawdown

From 2021-01-01 to present:
217% profit - 200 trades - 61% profitable - 1.35 Profit factor - 21% Max Drawdown



But what triggers me is that if I backtest from 2019 to now, I will get 844% profit (28% drawdown) on my old strategy and 377% (26% drawdown) on the new one.
See why I am frustrated?

What is your opinion on this?



Thanks!