The cold approach is an art in itself and will always be the quiting point for a lot of new and just starting guys, since this is where the highest percentage of of rejections, flakes, and over-all lackluster meetings take place. Personally i think the CP is the most complex of anything you can do because there are so many factors to consider, whether it be the girls mood to the time of day. I have found that is not very successful in the day time because of the busy nature of people as well many other variables that spoil the potential for connection in the day time as opposed to the night approach in a night club (the mindset of the girl is most important) . The cold approach is really a double edged sword if you go into it by yourself without any friends around you or a trusty wing to back you up.
The first edge and the helpful one is that it shows that you have enough confidence and zeal to approach a young lady and show her everything you have to offer (or if you like to lie in your game, then show her everything that would impress her). By doing this you really catch her off guard and turn off all the logic she would normally she would use when talking to a guy in a typical scenario. Good, you've left the girl on one train of thought (if you do everything correct), how awesome you are; sadly though this effect doesnt last too long, like a very weak sedative the positives that were gained will soon fade and only reveal the main problem again.
And that main problem is that you are alone, zero social proof in this situation is what it really amounts to. It may not strike the girl right away but in time she will see that you no support from the outside environment of the pick-up, whether it is after your initial opener or after she has given you her number and you begin to walk away. The female needs to be constantly convinced that she has made a right choice and not just fallen for some pathetic loner who by chance drummed up some confidence and learned a few canned openers. Of course this is not to say that you cannot have a successful pick-up with zero SP but the chances that the girl will flake on you are highly multiplied. Despite all the interest you generate, if you cannot generate some support from the outside you will eventually be dead in the water. Feel free to disagree, but this is what i have found through my own personal game and analyzing others.