As strategy developers we often add rules to improve some metric, for example CAR or Sharpe Ratio. But just as important are rules that will help you keep trading the strategy even if the rule worsens your metrics. That is the case of what I did with my short strategy. I added two new rules that made the results worse, but I believe will make it easier for me to trade in the future.
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Good Quant Trading,
Cesar
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