The most common question I get is how do you determine that a strategy is no longer working. It is also the question that I don’t have a good answer for. I have written several posts about this: Trading the Equity Curve, How to turn off a strategy using historical volatility, Broken Strategy or Market Change. During his How to detect a failing trading strategy presentation, Kevin Davey discusses how he uses probability cones to determine when to stop trading a strategy. I had not investigated this concept and was very intrigued.
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Good Quant Trading,
Cesar
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