[pyrrhotech]

Very interesting, I'm glad to hear you are also building your own models and having success! I'm pretty tight-lipped about the inner-workings of mine, as unlike selling access to the generated signals, sharing details about the internals actually would hurt my edge and personal returns. That's why I've left the details pages intentionally high level and vague, in fact I think I may have erred on the side of too much detail already. I'm very impressed that you are seeing triple digit returns in the backtest of your model though without using leverage and long-only. Using long/short or modest leverage puts our platinum model into triple digits, but also increases the max drawdown and standard deviation of returns. I leave it up to the clients whether to use a riskier implementation such as this.

How long have you been running it live, and how far back does your backtest data run? How closely are you seeing real returns match backtest? After running live for over 2 years, I've seen up to 6 month periods where the model outperformed the backtest, but overall the models have underperformed to varying degrees as expected. Though I have spent hundreds of hours dedicated to removing noise and overfit bias, I've come to the conclusion it isn't possible to 100% remove it, which combined with expected market regime changes where legitimate patterns become unprofitable means that in the long run every model is essentially guaranteed to underperform its backtest, the question becomes simply to what degree. However, with a strong enough model, even underperforming the backtest can lead to substantial alpha which is what I and our members have experienced so far this year.

[noduerme]

I've only been running it live for a couple months, so it's too soon to tell! Generally it wouldn't be expected to show any signals for the first 6 months or so. Additionally it's expected to weaken over time and need to be reset; 3 years seems about the optimal horizon.

The testing data I'm using goes back to Y2K. Overfitting is definitely a concern. I've proven that a delta that worked one year doesn't work the next, or what worked for one five-year span doesn't work on the next five. But what's interesting is that the local delta mean can be broadly broken into distinct eras by looking at sliding time windows. e.g. From 1998-2008, the best overall fit scales down well to each year. 2008-2012, 2012-2020, 2020-now... the last one is the great unknown, of course, and too early to call if I've gotten close to it. Any test that covers the covid disruption or the 2008 crisis has a nexus that skews future results to the high side, so I feel those can't be trusted. If I can beat the market by 20% in the first year, I'll be happy.

I'll keep an eye on your progress. Best of luck!