I have been backtesting a pairs/regression to the mean, end of day strategy. I started to the backtesting in 1997. The system does extremely well until around 2003. Any ideas what could have changed? (It went from very profitable to almost random returns in 1 to 2 quarters time after having worked for 6~ years on paper.) The profit going down so quickly seems to indicate to me that something happened other than people finding the system, but I could be mistaken. The system traded stocks.