AI Snips
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Detect A Broken System By Stat Trends
- Monitor strategy stats over time and treat persistent downward trends as red flags.
- Prefer incremental tweaks and conservatism rather than abrupt binary declarations of 'broken.'
Regimes Make Backtests Contradictory
- Historical backtests can show a strategy both failing and later shining as regimes shift.
- Shorting mean reversion is especially fragile and requires small position sizing.
Switch Strategies Using Equity Moving Average
- Use a strategy's equity curve moving average as an on/off switch to reduce drawdowns.
- Marsten used a 300-day moving average to pause mean reversion and avoided big losses in early 2020.