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I am currently going through one of this books and quite impressed with his knowledge and expertise. How come he isn't talked about more often in the algorithmic trading space, and how come he hasn't become rich off such knowledge?

Thanks for the link, I can conclude from that post that position parity can be considered another parameter in the strategy and hence reversing positions isn't exactly fading the strategy.

I agree with you, a strategy with concrete risk management rules is what everyone should aim for. The system was backtested on 3800 days worth of data, and on 90% of those days, the market behaved the opposite of what the strategy expected. Wouldn't you call this a strong enough signal.

I admire your investigative skills. But no, this isn't for bitcoin, it's for futures.

I've already mentioned that this is purely from a positioning perspective - fees and slippage are ignored.

Yes, I have a strategy whose premise is prices converge, but it consistently loses money. If i reverse the positions by rewriting it so that it expects divergence instead, the strategy consistently makes money. Your point about mean-reversion is good, maybe where I am expecting mean-reversion...

My questions disregards fees and slippage. I am talking purely from a positioning perspective. An example I've given is if a strategy expects the price to converge to a certain value x. If such a strategy enters the wrong positions, why not use the same strategy, reverse the positions but...

I agree with your statement that this could potentially constitute over-fitting. But for example, wouldn't you say that a losing model that expects convergence could also be seen as a winning model that expects divergence?

Say you've written a strategy. During back-testing, you find out that the strategy is losing money on most of the positions it enters into. Is it viable to use the strategy but instead do the exact opposite of what the strategy tells you in terms of positioning? I understand that such a...