Topic · Systematic Strategies & Alpha
← All topicsStrategy Lifecycle
32 articles · 6 checkpoints · 19 deeper reads · 7 reference notes
A standalone topic: it is on no roadmap, so read it on its own terms.
Every article, in reading order
plant a flag as you finish eachRead these first
A trading strategy moves through the same recognisable stages whether it lives for six months or twenty years, idea, backtest, incubation, live capital, growth, decay, and retirement. Knowing which stage you're in changes which questions are worth asking.
Deciding in advance exactly what would make you shut a strategy down is one of the cheapest forms of risk management available, and one of the most commonly skipped, because it means confronting failure before there's any evidence you're going to fail.
A strategy that's fading looks, at first, exactly like a strategy having a normal bad stretch. Telling the two apart before too much capital has been lost is a matter of watching the right set of indicators, not just the P&L line.
A losing stretch in a live strategy can come from at least three different sources, the underlying edge fading, other traders crowding into the same trade, or execution costs quietly rising, and each one calls for a different response.
There's no universal answer to how long a strategy should paper trade before earning real capital, a high-frequency signal can prove itself in weeks, while a slow macro strategy may need years, and choosing wrong in either direction has real costs.
When a strategy or book suffers a sudden, severe, unexpected loss, the first day's actions matter more than any other day's, and the instinct to fix things quietly and quickly is usually the wrong one. A calm, pre-planned sequence beats improvisation every time.
Then the rest