4.8 • 670 Ratings
🗓️ 18 July 2021
⏱️ 68 minutes
🧾️ Download transcript
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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In this episode, we discuss:
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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...
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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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