Its been rough for many trading systems in C2 because of the amount of volatility in the markets this year. But it also goes to show backtested systems that the market always changes and no amount of backtesting will prepare you for what can come in the future.
In the year 2017 we had a very nice runup and a steady uphill move to newer and newer highs and most trading systems during that period just rode the wave. This year has been extremely volatile starting with the mini crash in Feb 2018 which caught all the systems by surprise.
The systems that over leveraged the most were then destroyed the quickest.
Now we are currently in another volatile period with the Trump tariffs and earnings periods coming so that is primarily the reason systems that trade stock index futures and other related products are having a tough time right now.