Im struggling with creating alphas a lot recently... Im sticking together components that should work and generate a decent amount of profit but they fail miserable everytime... and i have no clue what im doing wrong...

For example the following case... im mostly trading forex, the big major pairs... using price action and the macd. And the strategy is working fine, i backtested it sucessfully in "TradingView" a trading platform where you can develop and backtest python bots.

Heres what i tried with the alpha streams.


Alpha : MACD

Universe : G10 ( forex )

Portfolio : Equal Weighting ( Loss minimization )

Execution : Standard Derivation ( Only execute if trend from MACD is confirmed )

Risk : Trailing Stop Drawdown ( Cut losses once trend ended )


Letting the MACD & the Standard Derivation working on daily charts...

The result ? Well... years of losses and one "small" profit of 12% in the end... The winning/losing rate is also pretty bad... its more like gambling ;) 

What do i miss by designing alphas ? Any good tipps and tricks from the community ? What are indicators that tell you what part of the alpha can get improved ?