Play the orchestra not the instruments, I like it.In fact I was exploring doing something similar to this for a while, and I came to the same conclusion that it would be rather difficult to implement. I'll give you a high level view of what I came up with.
- define some market regimes
- create a class for each strategy
- assign each class to a regime
- implement some sort of regime detecting logic
- adjust exposure accordingly
I had limited success with this (just used some neat algos shared on the community), and honestly haven't really put in the time to make a conclusive decision one way or another. I know that I'm a big fan of taking a strategy and making it into a class, that lends itself to scalability. It would be cool to see a sample of what you come up with.
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