Hi everyone I'm developing the strategies to trade futures. becuse it's about future trading, I'm not able to hold these futures for long period. so I set the constriants in my system. but it causes the problem. the constraints improve the winning rate, sharpe ratios; reducing the holding period, but they also reduce my total profits. After simulating out-of-sample walk forward test for 20 years, the total compound return is reduced half after adding those constraints. is there anyway that i can reduce the holding period without damging the total return? many thanks,