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Top Traders Unplugged

SI149: Model Anxiety & Algorithm Aversion ft. Mark Rzepczynski

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8670 Ratings

🗓️ 18 July 2021

⏱️ 68 minutes

🧾️ Download transcript

Summary

Mark Rzepczynski joins us this week to discuss ‘algorithm aversion’ and the science of how ‘model anxiety’ shows investors to be naturally wary of rules-based systems. We also discuss how to evaluate momentum data, how a busy week for market news can still be a quiet week for Trend Followers, the benefits of moving away from ‘peak complexity’ as soon as possible, why having too many filters can expose a trader to large opportunity costs, the optimal percentage amount of risk per trade, as well as portfolio construction versus signal generation and which is more important.

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

In this episode, we discuss:

  • How behavioural finance leaves investors under-allocated to Trend Following strategies
  • How to perceive momentum data
  • Why the steady flow of market news often has little value for Trend Followers
  • Embracing simplicity
  • The need to avoid too many filters in your system
  • How much should be risked per trade

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Episode TimeStamps:

00:00 – Intro

01:49 – A huge thank you to listeners of the show for leaving your 5-star reviews on iTunes

03:02 – Macro recap from Niels

04:48 – Weekly review of performance

11:59   Q1; James: What are your views on momentum indicators diverging against price action?

24:56   Q2; Frank: What is your view on the relationship between the stop and the look-back period?

28:52...

Transcript

Click on a timestamp to play from that location

0:00.0

You're about to join Jerry Parker, Maritz Siebert, and Nealz Kostrup Larson on their raw and

0:06.9

honest journey into the world of systematic investing and learn about the most dependable and

0:11.8

consistent yet often overlooked investment strategy. Welcome to the systematic investor podcast series.

0:22.5

Hey everyone and welcome back to this week's edition of the systematic investor series

0:26.9

with Mark Resensinski and I, Niels Karzalsalsh, where each week we take the polls for the global

0:31.4

markets through the lens of a rules-based investor.

0:35.1

For those of you who are regular listeners, our conversations are intended to give you as much of the nurture and encouragement

0:40.8

as the turtles got back in the 1980s, as Jerry puts it.

0:45.2

And if you're new to the show, we hope that today's episode will trigger your appetite

0:49.1

to learn more by diving into the back catalog and listen to all of the past episodes that you may have missed,

0:55.8

like last week's episode with Jerry, where we took an unexpected journey down memory lane

1:01.0

to discuss how the landscape of investors in trend following has evolved during the last three decades,

1:07.6

which may surprise some of you. So I invite you to listen to this if you missed it.

1:13.6

Mark, always great to be back with you. How are things where you are in the Northeast?

1:18.7

Good. We're in the middle of summer, so town is a little sleepy that I'm in because I think

1:23.9

a lot of people are out at their summer homes and such, but things are going well.

1:33.9

There are a lot of activity in the market, so there's enough to keep you in a chair and keep your head scratching on what to do next.

1:35.2

Indeed.

1:44.0

We've got a great lineup of questions from James, Frank, Mark, John, and Frederick, as well as some other topics that you brought along. But before we

1:45.7

dive into those, I wanted to do my market wrap as usual. But actually, before I do that,

1:51.4

I just wanted to acknowledge and give a shout out to those of you who left the rating and

1:55.6

review this week. As you know, we so appreciate this. And in particular, there was one very

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