Is going from hot to cold bad for my health?

I like dressing up absurdly bundled (think Randy from the Christmas Story) and get like raging hot, sweating, like, feeling like I'm going to pass out. Then when I can't take it, strip it all off and jump in the cold pool.

I can't desribe it but it feels sooooooo good.

Is this bad for my health?
Is going from hot to cold bad for my health?
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