The most important thing when automating a strategy(reddit.com)

I have built several strategies - and one thing that never fails to be the centerpiece; the regime watcher. You can have the best strategy in the world. But if it activates at the wrong times it turns into the worst. I have found that sometimes the most basic regime catches the edge, for other strategies you need a complex regime gate. Currently I have a momentum trading algorithm and the best result was; most complex. I have set up a HMM model to define when it is actually risk on. On the flip side to catch a short trade I found simple MA regimes had the highest hit rate. Make them MECE and it’s a great combo. Besides these two you also have universe regimes, HMM models, volatility, the fantastic fear/greed, sentiments. Every gate with its own benefit. Just wondering. What do you see as the most important area? submitted by /u/qqAzo [link] [Kommentare]