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191: Combining Algos using State-Based Market Design – Richard Metzger
Better System Trader
The Main Causes of Inconsistencies in Algo Performance?
In my experience, the main reason why an Algo would fail is due to some kind of curve fitting. So for example, an Algo might fail because maybe in the code, you realize that it didn't do well in a fair market. And so you might add something in the code that sort of filters out the fair market and that might be a moving average. But as soon as you start adding multiple technical indicators or multiple things, then that's where you can get into trouble.
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