Better System Trader 205: "Simple strategies, stable results." – David Stendahl
21 snips
Nov 11, 2021 AI Snips
Chapters
Transcript
Episode notes
Moon-Phase System Example
- David described a moon-phase system that buys on full moons and exits on new moons.
- The full-moon system worked on the S&P 500 historically but was driven by the bull market context.
Use Internal Adaptivity And External Overlays
- Build adaptivity inside code and use external environment overlays for sizing and aggression.
- Adjust position sizing outside the system using overlays like seasonals or VIX.
Test Adaptive Changes For Robustness
- Evaluate adaptivity by historical improvement, lower drawdowns, and stability metrics (Sharpe, MAR).
- Avoid adaptivity that removes nearly all trades or overfits parameters across regimes.