#交易策略误区 Pursuing the "Holy Grail" Strategy: **
* **Fallacy:** Believing there exists a perfect strategy that can accurately predict the market, be profitable in any market environment, and achieves high win rates + high reward-to-risk ratios + low drawdowns.
* **Reality:** The market is complex and ever-changing; no strategy can be effective forever. The “Holy Grail” does not exist. Successful traders rely on a **highly adaptive, clearly defined strategy system that incorporates effective risk management** and accept that losses are a part of trading.
* **Consequence:** Constantly changing strategies, falling into a “strategy hopping” cycle, and failing to establish a stable profit model.
2. **Over-reliance on Backtesting Results:**
* **Fallacy:** Believing that a beautiful historical backtest curve (high returns, low drawdown, high Sharpe ratio) guarantees future profitability.
* **Reality:** Backtesting has many pitfalls:
* **Overfitting:** Strategy parameters are overly optimized, perfectly matching specific patterns in historical data, but are ineffective for future data (“curve fitting”).
* **Lookahead Bias:** The strategy design unintentionally or intentionally uses future information (e.g., future highs, closing prices).
* **Ignoring Trading Costs:** Failing to adequately consider slippage, commissions, and impact costs, leading to real-world profits significantly lower than backtested results.
* **Sample Bias/Data Snooping:** Selecting only the best-performing strategies/parameters from a large pool, ignoring statistical significance.
* **Market Environment Changes:** Historical patterns may fail in the future (e.g., changes in volatility, correlation, market structure).
* **Consequence:** Real-world performance diverges significantly from backtesting, causing a huge psychological gap and actual losses.
3. **Confusing Luck with Skill:**
* **Fallacy:** Making profits in a bull market or catching a few big moves by luck is attributed to one’s “superior skills” or an unbeatable strategy.
* **Reality:** Short-term profits may completely stem from market beta (overall market movement), rather than the strategy’s alpha (excess returns). Distinguishing between skill and luck requires **long-term, statistically significant** samples and rigorous analysis.
* **Consequence:** Overconfidence leads to blindly increasing risk, resulting in devastating blows when market conditions reverse or luck runs out.
