Overview:

This advanced, interactive session dives into building robust strategies that survive changing regimes, liquidity shocks, and structural breaks. Participants will work in peer teams to reverse-engineer failure points in popular strategy types (e.g. momentum, stat arb, macro), then apply alternative risk frameworks and synthetic data stress-testing to strengthen model resilience.

Structure:

Part 1: Failure Mode Breakdown

A lead quant shows real examples of how well-performing strategies break during volatility spikes, macro shifts, or data leakage

Part 2: Group Diagnostic Labs

Groups are assigned different strategy types with embedded weaknesses; their task is to identify fragilities and propose mitigations using noise injection, adversarial scenarios, or market regime labeling

Part 3: Cross-Team Stress Test

Teams test each other’s improved strategies under stress scenarios (e.g., flash crash, rate shock, liquidity freeze)

Part 4: Wrap-up Discussion

Best practices in scenario generation, model robustness, and beyond-traditional VaR approaches

Takeaways:

• Advanced strategy diagnostics and regime detection
• Adversarial testing techniques and synthetic market scenario building
• Collaborative critique and resilient model innovation