[beagle3]

The way to tell signal from noise is with enough statistics. That’s one benefit HFT has over “traditional” trading - it gives you thousands of data points per day. The other way to quickly get thousands of data points per day is to trade slowly but across many assets (which is a much harder game, granted).

Either way, if you know what you are doing, your backtest should also give you a good idea of the variance, and that should tell you if a 3 week loss is statistically probable or not. Personally, I guess I’d stay away from such strategies - I’d prefer a much lower alpha with much lower variance - so that I have effective feedback from the market.

Some firms, e.g. RenTech and Virtu , manage to have very consistent alpha. You haven’t seen a good argument because people who make money don’t care to convince you.