You have developed a strategy. The backtest results are not bad, around a 60% win rate, and the TP/SL ratios look good on paper. Everything is going well... but only in one market.

And then the mistake comes: "This system works, so I will apply the same in other markets." It is exactly at this point that a trader's mind behaves like a memorization machine, not a simulation. Because unknowingly it performs a domain shift: It changes the data (i.e., the market) but keeps the model (i.e., the strategy) constant. When someone dealing with machine learning (it could be me) sees this, they just laugh. But the trader calls this a "systematic approach."

Market structure is a fractal; it exhibits different resolutions and different geometric behaviors in each market.

In crypto, you can see a 1% spike in 3 minutes, while in stocks, this movement can last all day. The value of volatility is not important, but its frequency is. Because the system's signal is sensitive to the rhythm of the price, not its speed.

Liquidity is also not the same everywhere. The space you can move with a $10M order in BTC, $100M is not enough in the S&P500. This leads to the following: The same formation yields different results in different order book structures. That is, your system gives the same signal, but the market in front of it says, "I will not react to this."

There is also an entropy aspect to the job. In a market like crypto, which operates in high entropy and information chaos, systems that work with low entropy (clear signals, fixed ratio TP/SL, etc.) will drown. In low entropy, orderly markets like the S&P, overly flexible systems produce excessive signals and make mistakes. So the issue here is not, "Is the system working?" but rather, "At what noise level is it working?" And yes, the regulatory difference is an additional factor. In crypto, order conflicts, sudden spread explosions, slippage events are ordinary; in the stock market, some are regulated against.

Your assumption that your stop loss explosion is a "system error" may actually be your blindness to the market structure.