TALOS NAS has always been a strategy that combines long and short positions. The short side has historically performed well at particular market moments, but the performance of the short positions has been irregular lately.
Since the long positions have been more solid over time, since around two years, we have been suggesting launching an extra LONG-ONLY instance or combining LONG-ONLY and SHORT-ONLY instances with the standard config changing the contract size. Or another option: combining everything with dynamic Money Management.
But the truth is that many customers did not get complicated and launched only the standard configuration. That made some of them (or we) take full advantage of the strategy (using or combining the LONG-ONLY version), while others have encountered a relatively long (but normal) period of stagnation in the results (those who used the LONG+SHORT configuration).
So, while we have been working on other improvements in parallel for months already, we have decided to take the most straightforward way: release an update of version V2.5 prioritizing the long positions.
Now TALOS NAS, by default, launches 0.5 contracts on the short side for every contract on the long side. In addition, it prioritizes the reversal to longs if it is in short position and receives a long signal (not common, but sometimes it happens).
Therefore, this version V2.5.1 has the same inputs and position handling as the previous V2.5 from November, but changes the sizing and the reversal prioritizing long positions.
The 200k and 1M candlestick backtests (the period since November 2022 can be considered OutOfSample) are as follows:
Regarding the underweight of the SHORT positions, note that it applies too when we activate the Money Management (disabled by default). In that case, both LONG and SHORT contribute to the contract sizing increment but always maintain the specified proportion (all these behaviour is easily configurable if you want, with simple properties)
Here is a view of the behaviour with MM activated (see the contract sizing)
