Something that I believe all traders should do is keep a detailed record of their trading activity, and more importantly, study it on a regular basis. This is regardless of their trading method. This can be done on your own spreadsheet (as I do), or there are some that are available for purchase on the internet.
If you have backtested your system, then a comparison to your actual results achieved can be enlightening - is there a problem with slippage? Do you have issues with gaps through your stops?
A thorough review may also highlight some more basic fundamental issues - are you ignoring your preset risk parameters? Are you entries and exits reconcilable to your system rules? For day traders, this type of analysis can be even more revealing. Do you get better results at certain times of day? Do you trade around major economic news releases? What about options expiry days?
You may have some pre-conceived ideas about your answers to these questions, but having the actual results in front of you in black and white can sometimes give you a harsh dose of reality.
As your trading history develops, if you have changed any system parameters you can also see how these changes have affected your results.
Nobody trades perfectly all the time. I have today conducted my own latest review, and it highlighted why my own performance has not been as good as hoped for in the early part of this year. As a trend follower, you tend to get periods of losing performance, mainly casued by a lack of a trend in the market and/or high volatility. Due to the combination of these two factors predominant in 2011, this has created a recency bias whereby I did not react as I should when the markets broke out at the start of this year, and I have been too hesitant in placing new trades. Even now I am very lightly exposed to the markets - well below my preset portfolio heat levels. As a result I have not participated in the current market rally as fully as I should have done - it seems like a number of other traders I know who use my system have performed much better than me!
But that's the beauty of trading, and recording your performance. No matter how you have done, you can always find something to improve. I should stress that, if you have an existing system with an edge in the markets, this will predominantly fall either into a) better adherence to risk management parameters, b) failing to act on entry signals or c) failing to act on exit signals. If you are faithfully following your rules, using good risk management controls, and are STILL not achieving the results you should have got, then you maybe need to look at the actual system rules, OR consider whether the current market conditions (in terms of is the market trending or range bound, and the general level of volatility) are compatible with your preferred style of trading.
A thorough periodic review is highly recommended, and can help to improve performance going forward.