Monday, November 15, 2010

When a winning strategy stops working

Here's an example of an equity curve of a strategy that has worked well from 1998 - Sep 2008, but more recently has performed miserably. The actual strategy is explained here, but I thought it an interesting example of a strategy that performs nicely for so long that suddenly falls off a cliff and doesn't work anymore.

Never get too comfortable with a winning strategy! Always prepare to adapt!