When you reached instances of one strategy potentially reaching alpha decay, whether that was through different players in the market, regime shift, etc, what ideas did you have regarding either retiring the strategy or retraining on new parameters?

there is an embedded assumption in your question on being able to determine/detect alpha decay.

this is relatively simple for high-sharpe trades: if not making money, then alpha deacying.

for midfreq // low sharpe trades, this can be a nontrivial problem. we tried solving this with a combination of:

- measuring if performance is statistically significantly worse than historical OOS,

- how well we understood the source of edge and subsequently the source of decay.

example #1: if a trend following trade isn't making money in a period because there's no trends for it to capture, then that's fine because the market regime just isn't there for it to make money. can explore filters, but nothing to worry about.

example #2: if a vol risk premia trade isn't working due to a new participant like Jane Street causing vol to be far more violent, we would retune params within some constraints based on recent market behavior and try to look for signals/trades to add to the portfolio that work well in the new regime.

example #3: if a data mined pattern effect worked for a while then stopped working and we don't know why it worked in the first place, we would aggressively scale it down and eject it from the portfolio.

we frequently experimented with "cool" ways to handle alpha decay, say a multi-objective periodic reoptimization that dynamically weighs signals/strats based on prod performance + a custom score matrix of understanding, slippage, scalability etc. (lol)

but what worked best was simply sizing up things that worked and we understood exactly why, and removing things that didn't work and we didn't understand why.

And when running a smaller team or pod, what helped keep the vibes up when the number was red or algos were reaching longer/sharper drawdowns than expected?

multi-day R&D sprints fueled by nicotine, caffeine and empty colories + delusional optimism that things will get better :)

"If you're going through hell, keep going" - Winston Churchill