How to archive a retired strategy

Archiving a retired strategy means preserving a fixed final implementation, the final evaluation outputs, and a clear retirement rationale. Sonar’s cited materials support this as a research discipline because versioned research artifacts, overfitting audits, and deflated Sharpe ratio analysis all depend on retaining the exact evidence behind a strategy decision.

A retired trading strategy should be archived as a research record. The archive preserves what the strategy was, what its measured results were, and why research stopped using it. This matters because a failed or retired idea is still evidence. It can later help explain model risk, prevent repeated work, and support comparison against new ideas.

First, freeze the final version of the strategy. Sonar describes a research workflow that moves work from research to publishing through explicit versioned steps, with research artifacts organized so they can be reviewed and published consistently. In that spirit, the final strategy version should be captured at the point of retirement as a fixed research artifact rather than left as a moving target. In practice, that means preserving the exact code and configuration that produced the final evaluation, so later researchers can identify the strategy version that was actually retired rather than a later modified variant.

Second, preserve the final measured results. Sonar’s backtest overfitting audit exists to evaluate whether apparent backtest strength is likely to be reliable or instead a product of selection and repeated testing. That makes the final backtest record important even when a strategy is retired. The archive should therefore include the full set of performance outputs used in the final evaluation, including summary statistics such as Sharpe ratio and drawdown if those were part of the strategy report, along with the overfitting audit outputs where available. Keeping these results allows future review of whether the strategy was rejected because its raw backtest was weak, because the evidence degraded after overfitting checks, or because it failed under stricter validation.

Third, record the retirement rationale explicitly. A strategy can be retired for many different reasons. It may lose statistical credibility under an overfitting audit. Its risk adjusted performance may look less convincing after applying a deflated Sharpe ratio, which Sonar defines as a Sharpe ratio adjusted to account for multiple testing and non normal returns. Or the strategy may be retired for operational, data, or design reasons. Whatever the cause, the archive should state the reason in plain language and connect it to the final evidence package. This is important because the same numerical result can imply different lessons depending on why research ended. A low or weakened deflated Sharpe ratio, for example, does not mean the same thing as a retirement caused by data instability or implementation constraints.

Sonar’s research-to-publishing workflow emphasizes transforming research into organized, reviewable outputs. The backtest overfitting audit emphasizes that not every attractive backtest survives scrutiny once repeated testing is considered. The deflated Sharpe ratio emphasizes that a reported Sharpe ratio may overstate evidence if multiple trials and non normality are ignored. Archiving a retired strategy preserves exactly the materials needed for those later checks.

Drafted with AI assistance from cited sources. Reviewed and approved by Sonar Sciences Quant & Research Team.