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Using the Laws of Trading to find our edge with Agustin Lebron

The Derivative

CHAPTER

Is the Edge Going or Just Resting?

If you have a strategy that's trading thousands of times a day and it starts to do bad for, you know, like a couple of weeks, then probably something about the world has changed. Whereas if it's more episodic, you're only doing a few trades a day, it's going to take you more time to figure out that maybe it's not doing well. We've seen a little bit of that in the volatility machine learning space over the past couple years as things are happening that these models have never seen. There's a lot of alpha and just making good decisions about that, I think.

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