Is There a Time Frame for Evaluating Strategies?

I think systematic strategies are imbued with a certain advantage here, which is that their behavior is ultimately codified. That means we can have a pretty good view of their conditional expectation in the sense that you know with a high degree of certainty how they are going to perform under a certain set of market conditions. I'd say probably an essential tool for assessing performance. You don't want to throw the baby out with the bathwater and find yourself in a situation where you're getting rid of a strategy that's done poorly when it always will do poorly in the future. If there were lots of trends to follow and trend following performed poorly, that is a very different scenario than if markets went sideways

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