How to identify why a strategy starts and stops working

[cunparis]

In testing various ideas for strategies, I often find that the strategy will not work for a period of time and then start working. I look at the charts and I cannot find any reason why it would work during one timeframe and not work in another. I know trend direction and volatility are the main factors but from what I've seen it goes from not working to working even though the trend and volatility did not change (at least that I can measure).

I'm wondering if anyone else has seen this type of thing and if you were able to find out what caused it? My concern is one of my strategies that is doing well now may stop working. And I'd like to understand why it started working when it did.

[NinjaTrader_Bertrand]

Hi cunparis, this for sure an interesting topic and I hope our commnunity chimes in...sometimes it's just the strategies and approaches itself have certain cycles. This can depend for example on time / weekday patterns, as well as certain large traders no being present at their 'normal' levels. You want to track all market generated variables and see if you find correlations to your strategies. An easier approach maybe to create a portfolio approach to balance out strength and weaknesses of individual systems.