BO18: How to test a model over decades of Data

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 30 April 2019

⏱️ 34 minutes

🔗️ Recording | iTunes | RSS

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Summary

I often see the press write that too much money is chasing the same trends, and this being the reason that Trend Following strategies have been performing a little under par in the last few years. So who better to ask if this really is true, than my friend Kathryn Kaminski, who of course co-wrote the bible on Trend Following with Alex Greyserman… as well as a book with me, that you can find on my website. We also discussed how they conducted their research for their book, where they went back a very long time to test if Trend Following models really do work over centuries of data… so I think you will find this part of particular interest. I hope you enjoy these unique takeaways from my conversation with Kathryn.

Listen to the full episode here. Part 1 & Part 2.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

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PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

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2. Daily Trend Barometer...

Transcript

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0:00.0	One of my favorite people to discuss trend following with is Catherine Kaminsky,
0:05.6	because she has a great way of simplifying and explaining some of the key concepts in the strategy.
0:12.3	In today's short episode, we talk about the phrase crisis alpha and how it may be better to think
0:18.9	about these strategies as divergent strategies,
0:21.6	because in reality, we don't really need a crisis in order for trend following to do well.
0:27.6	Years like 2014 and 2017 are great examples of this, and perhaps even Q1 of 2019, as a more recent example.
0:38.3	We also touch on convergent strategies, which in my mind to a large extent are short
0:43.7	volatility strategies, even if not all investors realize this.
0:48.2	I think events from 2018 gave us a taste of what is to come when volatility starts to reemerge in the markets.
0:57.5	Now it's time for you to sit back and relax and enjoy these unique takeaways from my conversation with Catherine.
1:03.9	And if you would like to listen to the full conversation, and I hope you do, just go over to top traders on blog.com forward slash 41
1:12.6	and also forward slash 42.
1:19.6	I had a question the other day from someone here based in Switzerland,
1:25.7	Roman in fact, and he asked about people's perception about trend
1:32.2	following that perhaps it's performed poorly in the last couple of years because there's been
1:37.3	too much money chasing trend following after the great year of 2008. Would you hear something
1:43.6	like that? What comes to mind?
1:46.6	Well, I actually just wrote an article which is coming out for Eurex on this exact topic.
1:52.7	And I call it return of the trend. It's all about correlation. And I'll just give you sort of a view on this.
2:02.1	Sure.
2:02.2	And if you look at a trend following system, any portfolio system in general, we basically
2:10.6	we depend on correlation.
	...

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