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figuring out average life of a strategy for quant analytics ….

(Last Updated On: November 18, 2011)

figuring out average life of a strategy for quant analytics ….

any one seen any research on this? i have been unable to come up with any good number on this – and please, anyone who is going to say “till it stops working” – i am trying to figure out a method to shut down a model/strategy before it starts bleeding money… hit a wall on this question so decided to post here.

 

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I’ve already posted on this topic. Briefly, if your strategy has real alpha, it should have an equity curve with obvious auto correlation. High auto correlation charts and moving averages are two very good friends.

 

 

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