As someone who is interested in the dream of Holy Grail formula or algorithm for the market, while fully accepting that one probably doesn't exist that is legal or ethical, you have to confront the fact that some very smart people think quant finance is at best dangerous, at worst dumb.
Take the richest man in the world, for example. He's no PhD but he is the biggest winner of them all, so his opinion does matter.
"Investors should be skeptical of history-based models. Constructed by a nerdy-sounding priesthood using esoteric terms such as beta, gamma, sigma and the like, these models tend to look impressive. Too often, though, investors forget to examine the assumptions behind the symbols. Our advice: Beware of geeks bearing formulas."
He could have been talking about any variety of quant blowups in the past few decades. From Long Term Capital management to the Gaussian Copula formula, history is littered with the tossed out garbage produced by quants. While I do believe some can exploit market inefficiencies for a while without outright cheating, more than likely ANY model you build will eventually blow up if portfolio management rules are not enforced. That is to say, leverage has to be kept low and I would suggest even that the amount invested should remain constant to avoid compounding gains and having level draw downs. In other words, to avoid D-Day.
The fact is, there is one simple strategy that I think everyone should have most of their money tied to until some "Holy Grail" proves itself over the long run. Buy and hold an index fund with no leverage. But wait, you say, that has high Beta! It can't be any good! It's not hedged! Wrong. Buying an index fund is itself a hedge against the most powerful danger of them all: inflation. You will protect your purchasing power by investing in an index because that index will always incorporate real pricing. That is to say, $100 in stocks after a 90% crash is worth $10, but that $10 will probably buy all the things you could buy when it was at $100. So, there's no reason to be concerned. I think inflation is the number 1 enemy of the every-man, not trying to rack up huge returns and risk a blow up using leverage or a quant formula.
Look, I love quant in theory. I love exploring data and believing that there are short term inefficiencies to exploit. I think it can be entertaining to develop and maybe even profitable for a while. I'd just advise putting an expiration date on anything you put into practice. Walk away from the algo entirely if it's done well for some time and just move on to something else.
