SI151 Long-Term Profitability vs Short-Term Luck ft. Moritz Seibert
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 31 July 2021
⏱️ 61 minutes
🧾️ Download transcript
Summary
Today we’re joined by Moritz Seibert to discuss the efficacy of backtests, how to build a profitable spread trading model, Moritz’s addition of Ethereum futures to his portfolio, why commodities such as coal should still be traded, how to incorporate macro data into a systematic strategy, how to distinguish between long-term profitability and shorter-term luck, and the alternatives to Microsoft Excel for managing market data in a Trend Following system.
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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 effective Backtests can be
- Apply Trend Following models to synthetic markets
- Ethereum futures
- Why 'dirty fuel' markets should still be traded
- Combining macro data such as inflation into a Trend Following strategy
- Distinguishing between a lucky streak and a robust system
- How to manage market data for those who aren't familiar with coding
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Episode TimeStamps:
00:00 - Intro
01:44 - Macro recap from Niels
04:41 - Weekly review of returns
10:09 - Discussion on Rich Brennan’s findings that a Trend Follower’s edge comes from the market data itself rather than the trading models
13:57 - Q1: Henry: Do you recommend any educational resources that will help me to build a spread trading model, and can Moritz talk about his own spread trading model?
29:06 - Q2; Daniel: Can inflation market effects be incorporated into Trend Following strategies?
36:16 - Q3; Stasius: What techniques do...
Transcript
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| 0:00.0 | You're about to join Jerry Parker, Maritz Siebert, and Nealz Kostrup Larson on their |
| 0:06.3 | raw and honest journey into the world of systematic investing and learn about the most |
| 0:11.1 | dependable and consistent yet often overlooked investment strategy. |
| 0:15.1 | Welcome to the Systematic Investor podcast series. |
| 0:22.9 | Welcome and welcome back to this week's edition of the Systematic Investor series |
| 0:26.3 | with Moritz Siebert and I, Neil's Castleblassen, where each week we take the pulse of |
| 0:30.2 | the global markets through the lens of a rules-based investor. |
| 0:33.5 | If you're new to the show, let me start by saying welcome with the hope that today's |
| 0:37.1 | episode will trigger your curiosity about systematic trend following as an investment strategy, |
| 0:42.4 | enough to check out the back catalogue and listen to the past episodes that you may have missed, like last week's episode with Richard, |
| 0:49.6 | where we had a really interesting discussion about where the edge really lies when it comes to trend |
| 0:54.9 | following. Is it within our models or is it within the market data? I really think this was a |
| 1:00.6 | must listen to episode. So if you missed it, I invite you to go back and check it out. Let me also |
| 1:06.1 | quickly give a shout out to all of you who took the time to leave us a rating and review this week. |
| 1:11.7 | I read all of them and I post many of them on the website and I'm very grateful to all of you |
| 1:16.3 | for helping the podcast continue to grow. Moritz, always be always great to be back with you is |
| 1:22.6 | what I meant to say. By the way, it's also a month end so that gives us a little bit more to talk about. |
| 1:28.2 | How are you doing where you are? |
| 1:29.6 | Great to be back, Meals. |
| 1:30.8 | Hi, I'm doing really fine. |
| 1:32.4 | Looking forward to a quick short mountain hike later on this afternoon. |
| 1:36.2 | Weather permitting. |
... |
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