Suppose you are running multiple strategies, some of the strategies are dropping like a rock these days... do you shut down these strategies? And if you shut them down, when do you turn them back on? (of course, all these mechanisms need to be backtested) Here is what I came up with, any thoughts? The stop logic: The input is a data stream of strategy cumulative pnl; and the output is another data stream, of binary 0-1 numbers. The output is essentially a switch which switches on and off. Initially the strategy is on. 1) Any time when the strategy cumulative pnl number is below 75% from the running max of the cumulative pnl, the strategy is shut down and it turns into paper-trading. And we start to keep track of the running min of the paper-trading cumulative pnl. This is not the running min of the overall cumulative pnl, but is the running min of the cumulative pnl stream starting from the very point where the strategy is shut down. 2) Any time when the paper-trading cumulative pnl is above 125% of running min from that paper-trading, the strategy is turned back on, and now we start to keep track of the running max from that point and we go back to step 1). Does this sound like a good idea to you? Any thoughts are appreciated... thank you!