SI06: How to optimize your trading system

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 20 October 2018

⏱️ 59 minutes

🔗️ Recording | iTunes | RSS

🧾️ Download transcript

Summary

Welcome to The Systematic Investor series. It’s a great privilege for me to invite you to a behind the scenes conversation between some of my favorite systematic investors namely Jerry Parker and Moritz Seibert. We get on a “call” each week to discuss the events that took place through the lens of a Systematic Investor and how the trading strategies we work with are reacting. It’s a raw and honest exploration and we hope you will join and be part of…not least by sending us questions that we can discuss.

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

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Episode TimeStamps:

00:00 – Intro

01:15 – Weekly recap of performance

05:30 – Top tweets

34:30 – Question set 1: George; Please discuss system optimization/backtesting details

43:30 – Question set 2: George; How do you determine when a system is broken? Do you keep losing markets in a system?

49:50 – Question set 3: George; How do you avoid curve fitting? How do you choose best parameters?

55:55 – Benchmark performance update

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

1. eBooks that cover key topics that you need to know about

In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here

2. Daily Trend Barometer and Market Score...

Transcript

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0:00.0	You're about to join Jerry Parker, Maritz Seabert, and Neil's Kostrup Larson on their raw and honest journey into the world of systematic investing and learn about the most dependable and consistent yet often overlooked investment strategy.
0:15.1	Welcome to the Systematic Investor podcast series.
0:19.2	Welcome to another edition of the Systematic Investor Series, where each week we discuss and
0:24.6	debate what is going on in the world of rule-based investing right now.
0:29.2	My name is Niels Kastro Blaston, and I'm excited to welcome my co-host, Jerry Parker and
0:34.1	Mord Sebert for another interesting discussion, I hope.
0:38.2	How are you guys?
0:39.7	Always good.
0:41.3	Very well, thank you.
0:42.3	And you?
0:43.2	Yes, very well.
0:44.5	Enjoying a little bit of autumn weather in Denmark this week, actually.
0:48.5	So pretty nice.
0:51.8	Obviously, a somewhat calmer week this week in the financial markets nevertheless there could
1:00.1	have been some interesting return drivers or changes in trends that we might want to just
1:06.0	highlight and talk about so I can kick it off this week for a change.
1:13.7	So on our side, really, what we really saw was continued reduction in our equity exposure,
1:23.8	partly from reducing long positions in the US, where it's really been the only long positions
1:31.6	we've had for a while, but then also adding to short positions in Europe, which means overall
1:37.3	our long positions are somewhat reduced and significantly reduced from what they were before the last wobble in the stock
1:47.3	markets 10, 15 days or so ago.
1:51.7	And some reductions in energy.
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