Why do strategies work some days and not others?

I think it's just that your configurations fit better some days than others. If a stock is moving up and down by 1% intraday for a month it's going to trigger your indicators a lot differently than on a month when it's moving .5% intraday. I suspect the key is volatility, I've been attempting to link VIX data to my indicators but haven't had much luck yet.

What are the dates/periods you're talking about?

@Levi I feel you frustration. I have had the same experiences. A valued colleague of mine says that you need to know exactly WHY your works or does not work before you put any money into it. There are a couple of things I have done: * Get some logs. While log space is limited in QC back test, that is not the case when running Lean on your machine. So I added a CustomLogHandler class to my local Lean. I have attached a project to demonstrate this technique. Read the top of Main.cs for instructions. An alternative is to add a List to your algorithm and write it to disk in the OnEndOfAlgorithm event handler. Once again you cannot use this technique on the back test or live platform. This technique will give you a csv file which you can chart to see the action between your * Get some back test data you can run on your local machine. I wrote a GoogleFinance downloader that gets Resolution.Minute data on about 6000 stocks, ETFs and the like. S&P 500, Russell 2000, NYSE and AMEX lists. There is also one in the QuantConnect.Toolbox project. * Walk forward. After I made sure that I have a good profitable back test, I walked it forward with a paper trading or demo account. Then I ran a low risk trial live trading and started to work out the kinks in execution. I found that with my algorithm, which is trend following 1 minute algorithm, it works better on volatile days when there are good 1 minute trends. So my next challenge is to find a way to make it work in a mean reversion environment and what the good signals are there. If I can help drop me an email. nicholasstein@cox.net Nick

---

@Levitikon As said before you need to know the EXACT intuition behind your strategy. Once you know that, you can try to construct a second indicator which will make sure that your first indicator only trades when the conditions are best. Of course, this is much easier said than done. Example of such a 'second' indicator is the Empirical Mode Decomposition that I shared earlier. But I'm not a big fan of that one as it doesn't work that well. In any case, it gives an idea of how a secondary indicator works. A more popular secondary indicator is the VIX index. I wrote a comment explaining a little bit about this indicator in this post (wait for the page to load and it will scroll to the comment automatically). VIX is a very popular one because it is based on general risk-aversion in the market. As such, it is often thought to be predictive of next day's volatility and direction (although the directional forecasting power is still up for debate). Good luck! :)