Strategy drift

What drift looks like in the data

Drift is visible before it is profitable or unprofitable. An account that held positions for days starts closing within hours; one that traded three majors starts trading long-tail perps; sizing that was stable for months begins to vary sharply.

None of these are inherently bad decisions by the trader. They are simply changes that make the historical record a weaker description of current behaviour.

• Holding-period shift, in either direction.
• Market migration, especially into thinner books.
• Sizing instability, or a step change in typical notional.
• New behaviour such as adding to losers where none existed before.

Why PnL is a lagging detector

A drifting trader can post good results for a while — often that is why they changed. Waiting for the loss to arrive means the follower has already funded the experiment.

Behavioural detection is deliberately more sensitive than performance detection, which means it produces false alarms. Probation exists precisely so a suspected drift reduces weight rather than triggering an abrupt exit.

How the system responds

Scores are recomputed continuously, so drift that degrades the measured dimensions lowers the score and therefore the allocation. Persistent degradation moves the leader to probation, and a leader who breaches a hard floor is replaced, with their sub-account unwound independently of the rest of the basket.

Past performance is not indicative of future results. Perpetual futures are leveraged instruments and carry a substantial risk of loss, including the loss of your entire position.