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King For a Day, by Kim Zussman
On this throne
I thee do sell
They sold them off
There was a crash
Bought them low
Then made some cash
Left too much
Upon the table
They were willing
I was not able
Illiquidity-made a splash
Flushed in a flash
OK, now let's move on to the question of when cycles change:
How can you tell when a working system has stopped working, as opposed to
merely hitting a drawdown streak (say) within 95% CI of prediction? This
might relate to Chair's and Doc's recent work on path to high of a period.
ie, within known properties of a back-tested system, can a certain number of
consecutive failures (or a chain of win/loss much different from predicted)
evidence the end of the cycle? Would Markov regime switching (whatever that
is) be useful?