Strategy Performance Decay Detection Vs Market Wide Decay Agent Skill

Use when a strategy has stopped working and you must decide whether its own edge decayed or the whole peer group is impaired, because one…

Context cost
6.2k tokensestimated from the bundle, loaded when it triggers
Bundle
6 files · 70.9 kB2 scripts among them — read before you run
Licence
Apache-2.0the author’s own terms
Last change
—v2.0.0
Servers it uses
Noneruns standalone

What it does

Use when a strategy has stopped working and you must decide whether its own edge decayed or the whole peer group is impaired, because one means decommission and the other means wait. Tests the strategy against its cohort, not against zero.

What this skill changes about the agent has not been set out here as a list. Its SKILL.md, shown below, says it in the author’s own words.

analyticsperformance

The skill itself

A skill is instructions the model reads, so you can see what you are getting: below is the start of its SKILL.md. The front matter loads with every session, the body loads when the skill triggers, and the whole file comes with the install.

SKILL.md13.3 kB · preview
--- name: strategy-performance-decay-detection-vs-market-wide-decay license: Apache-2.0 metadata: domain: algorithmic-trading subdomain: portfolio-multi-strategy tags: risk-management, performance-decay, alpha-decay, regime-shift, peer-benchmark, sharpe-ratio-inference, jobson-korkie-memmel brokers_frameworks: "Jobson-Korkie/Memmel Sharpe Difference Test; NumPy; pandas" version: "2.0.0" author: algo-trading-skills-contributors ---
17## When to Use
18
19Invoke this skill when a live strategy's realized Sharpe ratio has fallen and the remediation decision depends on *why*. The same drawdown has two incompatible causes: **idiosyncratic alpha decay**, where the edge has been arbitraged away or crowded out while the peer group carried on (decommission or recode), and a **market-wide regime shift**, where the whole asset class or strategy family is impaired (pause, cut allocation, wait). Acting on the wrong one is expensive in both directions — retiring a sound strategy in a bad quarter destroys capacity you cannot rebuild, and funding a dead one burns capital indefinitely.
20
21The engine takes the target's returns and a peer benchmark index over a trailing window, computes both annualized Sharpe ratios, and tests the *difference* for significance with a statistic that has a defined null distribution. Peer health then discriminates between the two causes: significant relative underperformance **against healthy peers** is idiosyncratic; joint impairment is systematic.
22
23## When NOT to Use
24
25- **As the significance test of record on real return series.** The Jobson-Korkie/Memmel statistic assumes i.i.d. bivariate *normal* returns. Ledoit and Wolf (2008) show it over-rejects under heavy tails or serial correlation — both routine in strategy returns, and severe for smoothed or illiquid marks. Treat a marginal z as the trigger for a studentized time-series bootstrap, not as the decommissioning decision itself.
26- **Without a defensible peer benchmark.** The classification is only as good as the peer index. Benchmarking a market-neutral stat-arb book against a long-only equity index manufactures "idiosyncratic decay" every time the index rallies. Choosing the benchmark is benchmark-selection-for-strategy-evaluation; this skill only measures against the one you supply.
27- **On intraday bars while leaving periods_per_year at 252.** The default is daily. Frequency cannot be inferred from a list of floats — set it, or every Sharpe ratio reported is wrong by the square root of the frequency mismatch.
28- **As a live regime signal or a risk control.** This is a periodic governance diagnostic on realized returns, not a real-time circuit breaker. Drawdown enforcement belongs to kill-switch-and-drawdown-circuit-breakers; live regime routing to regime-detection-for-strategy-switching.
29- **To separate decay from execution degradation.** A Sharpe fall caused by widening slippage or a broker routing change looks identical here. Rule that out with transaction-cost-analysis-tca-integration and backtest-vs-live-performance-divergence-tracking before concluding the *signal* decayed.
30- **On a single window as proof of anything.** One 60-observation test at a 2.5% level, run monthly across a book of strategies, generates false decommission signals by construction. Track the sequence of diagnoses, and correct for multiple testing across the book.
31
32## Prerequisites
33
34- Strategy per-period simple returns (strategy_returns) — not log returns, net of fees and costs.
35- Peer benchmark index returns (peer_returns) on the **same** frequency, indexed on the same periods. The engine aligns on the shared index and reports how many observations were dropped; it does not forward-fill.
This is a preview of SKILL.md. Download or install the skill to get the whole thing.
In the file
SKILL.md1,841 words
Files6
LicenceApache-2.0
Why you can read it

Nothing in a skill executes. The client loads the text and the model follows it, so a skill can be audited the way a runbook is — by reading it.

What it costs in context

Skills are not billed by the call. They are paid for in context: every token the instructions occupy is a token your code, your diff and your conversation cannot use. Here is what this one takes and when it takes it.

≈180
always loaded
The name and description, so the model knows the skill exists and when to reach for it.
6,020
on trigger
The instruction body and 5 supporting files, read only when the skill fires.
3.1%
of a 200k window
Ten skills this size would take about 31% of the window before you open a file.
050k100k150k200k context window

6.2k tokens, estimated from the bundle at four bytes to the token, held for the rest of the session once it triggers. Heavy. Teams tend to install this one per project rather than globally, and load it only when the job comes up.

Servers bill, skills cost

A server charges by the month. A skill charges once per session, in context, and then keeps charging it for as long as the session lives.

Before and after

The same question, put to the same model twice: once as it comes, and once with these instructions loaded.

No worked example has been published for this skill yet.

The procedure it runs

The procedure has not been set out here step by step. It is in the body of its SKILL.md: the start of it is shown above, and the whole file comes with the install.

Prose, not code

These steps are written for a model to follow, not executed by a runtime. It can still be told to skip one, and it will say so when it does.

Servers it uses

None. This skill calls no MCP servers at all.

Everything it needs is in the instructions, so it works in a project with nothing connected — the model reads the file and changes how it works with what it can already reach.

Its SKILL.md does not declare which tools it asks the agent for, so what it touches is whatever the instructions themselves ask for — read them before you install it.

What it asks for
Writes filesnot declared
Network accessnot declared

This SKILL.md carries no allowed-tools line, so neither is declared. A skill grants no permissions of its own — it can only ask for tools your client already has.

What it will not do

Every skill is narrow, and the useful ones say where they stop. These are the jobs this one is the wrong tool for.

What this skill is not for has not been published here. Nothing is implied by that: it is a section the author has not filled in.

What is in the bundle

6 files, 70.9 kB on disk. Mostly text — the instructions the model reads — with 2 scripts in it that your client would run only if the instructions tell it to.

  • SKILL.md13.3 kB
  • assets/checklist.md2.4 kB
  • references/standards.md4.8 kB
  • references/workflows.md4.3 kB
  • scripts/strategy_performance_decay_detection_vs_market_wide_decay.py21.5 kB
  • scripts/test_strategy_performance_decay_detection_vs_market_wide_decay.py24.6 kB
What is not in it

A skill installs nothing and depends on nothing: it is a folder your client reads. This one carries 2 scripts beside the text, so the bundle is 6 files you can review in full before installing. The Apache-2.0 licence covers the templates and examples as well as the instructions.

Install

Installing copies the bundle into your project. Nothing runs at install time — the files sit on disk until the model reads them.

# Strategy Performance Decay Detection Vs Market Wide Decay · 6.2k tokens when loaded · macOS, Linux mkdir -p .claude/skills && t=$(mktemp -d) && curl -fsSL -o "$t/bundle.tar.gz" https://mcprush.com/api/skills/strategy-performance-decay-detection-vs-market-wi/bundle.tar.gz && tar -xzf "$t/bundle.tar.gz" -C "$t" && [ -d "$t/strategy-performance-decay-detection-vs-market-wi" ] && { [ ! -e .claude/skills/strategy-performance-decay-detection-vs-market-wi ] || { mv .claude/skills/strategy-performance-decay-detection-vs-market-wi "$t/.previous" && echo "Previous copy moved to $t/.previous"; }; } && mv "$t/strategy-performance-decay-detection-vs-market-wi" .claude/skills/ && echo "Installed .claude/skills/strategy-performance-decay-detection-vs-market-wi"
On Windows, or any OS with Node 20+
npx mcprush@latest skill add himanshuj16/strategy-performance-decay-detection-vs-market-wi

Windows PowerShell says 'running scripts is disabled on this system'? Run Set-ExecutionPolicy -Scope CurrentUser RemoteSigned once, or type npx.cmd instead of npx (codex.cmd, gemini.cmd, grok.cmd likewise). PowerShell 7 needs neither. Writes to .claude/skills/strategy-performance-decay-detection-vs-market-wi/ in the current project. For every project instead, run mkdir -p ~/.claude/skills && t=$(mktemp -d) && curl -fsSL -o "$t/bundle.tar.gz" https://mcprush.com/api/skills/strategy-performance-decay-detection-vs-market-wi/bundle.tar.gz && tar -xzf "$t/bundle.tar.gz" -C "$t" && [ -d "$t/strategy-performance-decay-detection-vs-market-wi" ] && { [ ! -e ~/.claude/skills/strategy-performance-decay-detection-vs-market-wi ] || { mv ~/.claude/skills/strategy-performance-decay-detection-vs-market-wi "$t/.previous" && echo "Previous copy moved to $t/.previous"; }; } && mv "$t/strategy-performance-decay-detection-vs-market-wi" ~/.claude/skills/ && echo "Installed ~/.claude/skills/strategy-performance-decay-detection-vs-market-wi" (macOS, Linux) — or add --global to the npx line. The curl line replaces .claude/skills/strategy-performance-decay-detection-vs-market-wi/ only after the download succeeds, so files left there by another skill of the same name, or by an older release, do not mix in. A copy already there is moved aside, not deleted, and the line prints where. It appears as strategy-performance-decay-detection-vs-market-wide-decay in Gemini CLI, Codex, Copilot and Grok (its own name); Claude Code lists it by the folder name, strategy-performance-decay-detection-vs-market-wi.

Which clients pick it up on their own

A skill is a folder of text. Most of these read a skills folder and pick it up without being told; the rest take the same folder another way — an upload in the app, a parameter on an API call — and then choose it by its description just the same.

Claude Code.claude/skills/
Claude DesktopCustomize › Skills
ChatGPTSkills › Create › Upload
Cursor.cursor/skills/
VS Code.github/skills/
Codex CLI.agents/skills/
Gemini CLI.gemini/skills/
Grok Build.grok/skills/
Microsoft CopilotSkills › Upload a skill
PerplexityComputer › Skills › Upload a skill
DeepSeek Harness.dsh/skills/
Zed.agents/skills/
Devin Desktop.devin/skills/
Windsurf (legacy).windsurf/skills/
OpenAI Agents SDKInstructions or sandbox Skills
HTTP / APIa request parameter
This release
Version2.0.0
Publishedno release date on file
PriceFree
Referencehimanshuj16/strategy-performance-decay-detection-vs-market-wi

Versions

v2.0.0 is what is on the shelf; no release here carries a date. Instructions change more often than APIs do — a skill can be rewritten entirely without anything it depends on moving.

v2.0.0
  • No earlier releases have been published to the marketplace.
Pinning

The install command always fetches the release that is current the day you run it — v2.0.0 today — and cannot ask for an earlier one. The copy on your disk does not change until you run it again.

Reviews

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Who wrote it

HI
HimanshuJ16

Publishes on mcprush.

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