191: Combining Algos using State-Based Market Design – Richard Metzger
Better System Trader
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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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