This Zorro Trader Results picture shows clearly that our simple systematic trading strategy stops working in June 2019. All the trades we entered during or after that month ended up loosing money. However, a closer look reveals that the potential for profit was there. If we examine the moving averages crossover signals, it is very easy to see that the signals do capture the trends really well. The culprit jumps to the eye immediately: it is the stop loss.
by Algo Mike
Experienced algorithmic and quantitative trading professional.