How to Stop Your Intraday Trading Strategy From Fooling You: A Guide to Overfitting, Regime Shifts, and Concentration Risk
How to Stop Your Intraday Trading Strategy From Fooling You: A Guide to Overfitting, Regime Shifts, and Concentration Risk TL;DR A recurring question in the algorithmic trading community — recently surfaced in a Reddit r/algotrading thread — cuts to the heart of one of quant trading’s most frustrating problems: what do you do when your intraday strategy looks incredible on paper but only works in one type of market? The discussion zeroes in on three interconnected failure modes: overfitting to a single regime, inadequate out-of-sample validation, and dangerous position concentration. If you’ve ever watched a backtest hero strategy fall apart in live trading, this one’s for you. ...