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191: Combining Algos using State-Based Market Design – Richard Metzger
Better System Trader
How Do You Trade Your Algos in Live Trading?
Once you've designed your algos and combine them using this process, then how do you trade it? Yeah. So for me, I like to look once I have about 10% of out of sample trades compared to the back test. And that might take three months, it might take six months. Then I'll usually go in and do a really deep analysis and say, okay, how did this algo hold up? That's what we're talking about here is just in the design process - identifying where the strategies work best.
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