this is what interns an new hires are for
A quant trading question I’ve never found a good answer to — how to decide between spending time improving an existing strategy (high certainty, low return on effort) vs starting something entirely new (uncertain but potentially high return on effort).
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executing and exploring ideas for improving existing strategies
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i was the trader not the programmer, but the philosophy at my old co, was until the existing strategy fell below some performance threshold vs the benchmark all effort was on new strategies
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I take a modular/alpha factory approach. A novel signal can usually be combined with existing risk, entry, execution etc. - if compute resources aren't a constraint you can test a lot of ideas continuously and quickly this way.
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I do that for eg all strategies that fit within a framework (eg futures trading with up to a 1 minute rebalance). But what about stuff that fits outside the framework, eg should I start looking at equities, or crypto, or NDFs?
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when there is no good answer, do 50-50, position of least regret
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Who’s paying?
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Ultimately me (in the sense that any time I spend on something new generally means less pnl from core strategies)
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If you are a researcher its pretty much always right to do what interests you. The productivity gains from doing what interests you and therefore doing better work far out-weigh any trade offs on impact, real or imagined. I forget this from time to time but its true.
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Its also why when you want to do strategy investigations give it do a different researcher to look into, because people are often more interested in other peoples strategies than their own because we all love novelty.
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