[R-SIG-Finance] HF strategy style change detection based on txn data

[Alex Bird]

Hi there!

  I have a problem described in short below but don't know where to start from.
  If you have any ideas about possible solutions could you please
point me to some working papers, R packages or your thoughts.

  The problem is as follows: let's suppose there's some high frequency
trading strategy with long enough track record for which I have all
the transactions data (trades, fees, additions/withdrawals, etc) and
where I would like to test a null hypothesis of at least one trading
style change during the strategy lifetime. The style change here is
defined in a broad manner and can mean almost anything like execution
change, trading frequency change, change of mutual dynamics between
traded instruments, money management style change, etc.
  From top-down point of view I would like to solve a fund of funds
problem, i.e. hiring asset managers who come with their prêt-à-porter
strategies but with some hidden risks which I intend to reveal.

  The only solution I see for the time being is to try to apply a
price discovery techniques which intend to find a mapping functions of
txn data to actual return earned and then track stability of the
models parameters for a structural breaks.

Thanks in advance for any help!

Kind regards,
Alex