When to turn off and turn back on a strategy?

[dwpeters]

Quote from mizhael:

How do you compare the realized performance of the strategy to your expectation, given the future may not be similar to the past at all?
How do you form your expectation in the first place?
And once you decide a strategy is not working, you turn it off, and then when do you turn it back on? Based on your view again?

I have years of backtests with thousands of trades for multiple strategies, so I have a pretty good idea how they perform in a variety of conditions. I do make adjustments and temporarily stop trading some strategies based on basic market timing, not to improve returns but to reduce risk. I am also aware that markets can change and strategies can stop working so I trade multiple strategies and I monitor them. I am always looking for better ideas so generally I stop trading a strategy because I have a better one to take it's place. In the summer of 2008 all my longer term (weeks) long strategies started breaking down early in the summer. My short term trading was holding up so I switched to this entirely. This was entirely subjective, but it was very uncharacteristic to see everything else breaking down. I was slow to get back in to the longer term strategies, but my shorter term strategies are better anyways, so I was in no hurry.

 

[Stoxtrader]

Quote from mizhael:

Lets take momentum strategy, when does it work, and when does it not?

Under what market conditions?

[/B]

Momentum strategy = growth stocks in a bull market. Rough measure of bull market = Dow 50DMA > 200DMA and only pulled back 25-30% below last peak (or 52-wk high). Of course this means you could suffer 25-30% loss while still thinking the trend is up.

IMHO always be both long and short, or similar, for example long and hedge. When your short/hedge outperforms your long, consider stopping trading or reversing the weighting.

Some strategies work better during choppy/nontrending markets. You can look at VIX (volatility index) and see if strategies fare well/poorly during high VIX periods.

 

[abattia]

Quote from mizhael:

... Is this Joe Krut training classes good? Anybody had experiences?...

I attended a free webinar, which is where I learned about the "JoeKrut diff" methodology (and see above post for my own experiences/verdict on using it). I don't have more information than that ...