The pitfalls encountered during the #交易策略误区 transactions are actually the "tuition fees" for cognitive upgrades. The three strategic mistakes that left the deepest impression on me still remind me to be cautious today:

1. Treating "beautiful backtesting" as "practically feasible"

When I first started writing strategies, I backtested a model of "moving average crossover + increased trading volume," which showed an annualized return of 40% over the past 5 years, along with a high Sharpe ratio. At that time, I thought I had struck gold and directly went heavy into live trading. The result was a continuous loss over 3 months, not only failing to make money but also losing 15% due to frequent stop losses.

Later, upon review, I discovered that during backtesting, I intentionally avoided extreme volatility periods like March 2020 and June 2022, and did not account for transaction fees and slippage—these "beautified" backtesting results did not reflect the real market's "friction costs" and "black swan probabilities."

Lesson: Backtesting must be a bit "dirty"—it should include all extreme market conditions, account for real transaction fees, and even intentionally add a random slippage of 1%-2%. A strategy that can truly be implemented must still hold up under "imperfect data."

2. Using a "single strategy" to cope with the "entire market cycle"

In 2021, I made a good profit with a trend-following strategy and thought that "trend is king," stubbornly sticking to this strategy regardless of whether the market was oscillating or trending. As a result, in the first half of 2022, the market entered a sideways phase, and the strategy triggered stop losses for 6 consecutive weeks, causing the account to drop nearly 30%, yet I was still unwilling to stop, always thinking "the trend is about to come."

It wasn't until I saw a saying: "A trend strategy in a sideways market is like insisting on driving a convertible on a rainy day—it's not that the car is bad, but that the scenario is wrong," that I realized no strategy can work in all market conditions.

Lesson: Define "territory" for the strategy—clarify what kind of market conditions it is suitable for (for example, using trend strategies only when volatility is above 20%) and pair it with a "counter-strategy" for hedging (such as switching to a range breakout model in a sideways market). Accepting that "strategies have rest periods" is more important than stubbornly holding on.