Rolling, rolling, rolling.... updating statistical estimates yes or no

The mega blog post series on portfolio optimisation continues! A couple of posts ago, here , I looked at using the idea of formal testing for structural breaks in parameter estimates. Important parameters like Sharpe Ratio (SR). Because stuff like this happens: This is the pre-cost performance of the momentum4 rule on CORN. The formal test found a structural break in 1989. It's fair to say the…