A signal works in low-vol regimes but fails in crises. Best researc…

Question

A signal works in low-vol regimes but fails in crises. Best research response?

Accepted Answer

Model regime dependence explicitly, gate or reweight signals by regime, and stress performance in crisis windows. — If it only works in calm markets, model regimes and stress the crisis windows — don’t delete 2008.

Answer

Average all regimes blindly and ship.

Answer

Delete crisis years from all backtests forever.

Answer

Assume crisis alpha equals calm alpha.

A signal works in low-vol regimes but fails in crises. Best research response?

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