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6min chapter
185: How to avoid creating trading strategies that degrade quickly - Timothy Masters
Better System Trader
How to Calculate the Return of a System That Is Long, Short and Neutral
Timothy Stanley: It's very easy to compute how much of your return is due to your positions being in favor with the trend. He says counter-trend systems can be worthwhile over short-terms, like maybe the market suddenly gets tremendously overbought and it's due for a correction. But if you ever at some point do a T-test or bootstrap and do a permutation test and get dramatically different results in those two tests, chances are that you were working in a trending market and you were unbalanced in your positions.
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