One question I have is, when do you know to abandon a trading strategy that used to be profitable, but has not been profitable over the past N number of days. At what point do you throw in the towel and move onto another strategy?
Let's say the fill % stays the same though. Has volatility in your market dropped off a cliff the past few weeks? Perhaps your strategy is highly dependent on volatility. It'd be good to keep this one running, as it's likely volatility will return at some point. You want to diversify though and have other strategies that perform well in such a low vol regime, so you're not dependent on high vol.