Programmatic trading strategies have now become the main tool of most traders, but in programmatic trading, there are always times when there is a reversal of losses, whether such a situation is caused by a failure of the strategy or the result of market effects. So today we will explore how to judge whether a strategy is a failure. In financial markets, which aspects of the investor's behavior affect the price of the asset? The answer is: the investor's emotions and their expectations for the future. Since everyone has subjective emotions, and these emotions can change at any time, which leads to changes in the characteristics of the market operation, the failure of the model is also the inevitable result.
1.模型思路的普遍性
Traders, when judging the truth of the market, usually take certain laws of historical trends as the truth of the present market, but as time passes, the characteristics of the market also change, the laws of the market also change, and the strategic model naturally fails. Simple: you start out wearing clothes that you have designed yourself, it is unique. But after you go out, everyone acts as if they made it, he loses its uniqueness. This is the well-known problem of the strategy carrying capacity, the more people used, the lower its effectiveness.
2.市场有效性的问题
In fact, most of the trading models are limited in time and not effective in the long term. The rapid development of programmatic trading in the country shows that there will be more and more strategic models being developed, so the failure of the model is only a matter of time. The market is constantly changing, and our trading model must follow the market to adapt to market developments, no matter how well your strategy model performs, it must change with the changes in the market.
3.反程序化交易策略
Domestically, the volume of funds for programmatic trading is increasing, and I believe that in the near future, programmatic trading will become the mainstream of the market. Then there will be the emergence of specialized anti-programmatic trading strategies, using operating strategies that are opposite to most programmatic traders, to profit from the position of the programmatic trader. From the current domestic practice of programmatic trading, anti-programmatic trading strategies are still the same as traditional strategies, with strong trends, but as the market develops, anti-programmatic trading strategies will become a major obstacle to the strategy model in the future, reducing the effective time of the strategy model.
1.观察模型是不是还在有效地执行交易策略，体现出来的交易逻辑是不是和之前设计的初衷是一样的。以下的情况出现，大家就要提高警惕了：对行情的敏感度降低，开仓时机滞后现象频繁，胜率或盈亏比连续出现很大的变化等，当然这是从交易结果上看，被动发现失效的方法。一般情况下，周月线级别上的连续亏损和最大回辙是我们主要关注的地方。但是有一个问题大家要注意：策略连续回撤的原因到底是什么？是策略失效造成的，还是行情导致的，应用程序化交易的都知道，在震荡行情中，策略回撤是不可避免的。假如模型出现问题表现在当前阶段，模型所表征的行情特点又一次呈现时，它还是有效的。
2.观察市场的运营特点是不是发生了变化，假如变化了，则证明模型可能失效了。举个例子：一部分非常依赖特定交易指令的模型，会因为交易规则的调整而失去效果，或者在市场中套利交易有效性大幅度改善时，盈利能力大幅度降低都是属于一个类型的。
So in real-time trading, what we have to do is to determine when the model fails, because the market is constantly changing, so it's difficult to know if the model actually fails, but it's more about our experience.
In general, the model can easily become rigid after a period of time, which is reflected in the following points: the time to open a trading position is relatively late and the model's profitability has decreased significantly, at which time we need to adjust our model strategy according to market changes.
Programmatic trading is just a tool that helps us to trade, and there are many forms of this tool. Choose the tool that suits your trading personality to get a stable return.
Translated from Programmatic Trader