why strategy fails?

Discussion in 'Strategy Development' started by robinxing, Mar 3, 2008.

  1. some reasons are the strategy could not filter the volatility of the price action efficiently

    ATR stops are common volatile stops

    I have applied these techniques in my strategy but it is not very efficient

    I hope I could find some more efficient entry or exit ways

    I hope some experts could recommend some good articles on this theme

    thank you
  2. That's the reason for 99% of system failures. What else is new?

  3. What would be an example, as you understand it, of not filtering volatility properly?

    I ask, because I do a lot with volatility.
  4. for example simple moving average system
  5. kut2k2


  6. joesan


    Maybe you did not backtested the strategy long enough before putting them into action. If your strategy can fit the market environment of 2004,2005,2006, they have a much stronger chance of doing well now. The nature of the market your are trading (HSI ) has not changed from the day it was launched, but it does get some pills of vigra sporadically, like what we saw in 2007.
  7. Quote from the first site:

    "Almost Zero Lag Moving Average

    To smooth it out further, one may apply it twice with smaller period for the second. But again, you cannot make the lag zero! "

    There is no such animal as a zero-lag moving average.

  8. kut2k2


    True, but anything better than the (A)ZLMA is likely to cost some dough. :p
  9. joesan


    Moving average ? umm, maybe I should study them.
  10. the strategy fails becoz there r too many fasle break out

    and whipsaw
    #10     Mar 6, 2008