Field notes on stationarity tests in automated trading: mechanics, configuration, and the pitfalls that surface in production.
How It Works
stationarity tests operates as a pipeline: ingest, compute, decide, route. Each stage has its own ways to break.
Configuration
Parameter choices in stationarity tests shape both signal quality and operational load. Record every change and the reason for it.
Failure Modes
Documenting how stationarity tests fails teaches more than documenting how it succeeds. Regime shifts, infrastructure faults, and drift top the list.
Evaluation
Assess stationarity tests with fixed look-ahead-free tests, then stress the operational side before calling it production-ready.
Configuration Reference
# Stationarity Tests tested configuration mode: production timeframe: auto risk_limits: max_drawdown: 15 percent max_position: 3 percent monitoring: alert_threshold: 0.5 report_interval: hourly
Parameter Impact
| Parameter | Effect | Trade-off |
|---|---|---|
| timeframe | Signal frequency | Higher means fewer but more reliable signals |
| risk_limit | Maximum exposure | Lower means safer but slower returns |
| lookback | Indicator sensitivity | Longer means smoother but lagging |