SI10: How to set your Stop-Loss and Size your Positions?

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 17 November 2018

⏱️ 62 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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Episode TimeStamps:

00:00 – Intro

00:45 – Weekly review of performance

09:15 – Top tweets

14:20 – Paper from Jim O’Shaughnessy from 1987

29:50 – Question 1: Andrew; How do you get the TF message across to advisors?

39:40 – Question 2: George; Please discuss position sizing.

39:40 – Question 3: George; Please discuss how far stops should be from entry (5%, etc.)

39:40 – Question 4: George; Do you think the future is a hybrid of TF and discretionary?

52:10 – Question 5; Francois; Long question about correlations

57:15 – Benchmark performance update

58:00 – Additional discussions of systems trading

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Transcript

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0:00.0	You're about to join Jerry Parker, Maritz Siebert, and Neil 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.
0:19.6	Jerry Parker, Moritz Siebert, and I, Niels Kassel Larsen, I'm excited to be back with you
0:24.5	on this week's edition of the Systematic Investor Series, where we are going to discuss
0:29.6	the last week's events in the world of rule-based investing and take some of your
0:35.3	questions.
0:36.5	So good morning and good day to you, Jerry Morris.
0:40.6	Hello, Neil's.
0:42.1	Morning.
0:43.1	So another interesting, volatile week, I think is fair to say.
0:51.0	Certainly seems like many of the different sectors are starting to have a little bit more volatility
1:01.3	in the day-to-day trading that we've seen for a while.
1:06.3	Clearly there's a big story at the moment, of course, with energy. I'm sure we'll get into that.
1:12.0	But of course, also fixed income didn't disappoint on the volatility side,
1:17.4	but certainly there was a few moves there that impacted performance during the week.
1:22.5	So why don't we just jump into it straight away?
1:27.0	And maybe I'll come to you, or it's first, just sort of your overall thoughts about the week.
1:33.7	Anything that you noticed that we can stick our teeth into, so to speak?
1:39.8	Just like you said, more volatility.
1:42.5	The week for me has been relatively flat, just very slightly down.
1:47.6	Down though for the month, because the first week of November was, you know, about minus three or a bit more even than that.
1:55.9	But in this past week, you know, we had a long position in crude, but that long position was relatively small.
	...

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