SI18: How to know if you are over-fitting your model parameters

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 13 January 2019

⏱️ 66 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

02:25 – Weekly recap of performance

08:40 – Top tweets

24:05 – Question 1: CR Capital; Thoughts on Winton retreating from TF

30:55 – Question 2: Bill; Do you add to positions as the trend progresses

34:35 – Question 3: George; Why don’t you include short-term TF systems in a robust TF system

44:40 – Question 4: Nick; How would I know if I’m curve fitting my systems

53:10 – Question 5: Richard; Several questions about: historical data distributions; long-term trend following efficacy and related concerns

01:03:00 – 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.

Transcript

Click on a timestamp to play from that location

0:00.0	You're about to join Jerry Parker, Maritz Siebert, and Niels Kostrup Larson on their
0:06.3	raw and honest journey into the world of systematic investing and learn about the most
0:11.0	dependable and consistent yet often overlooked investment strategy.
0:15.2	Welcome to the Systematic Investor podcast series.
0:18.0	Jerry Parker, Moritz Siebert and I, Niels Kaspers Blasen, are excited to be back with you on
0:25.5	this week's edition of the Systematic Investor Series, which is our weekly ongoing
0:30.1	raw exploration of the world of rule-based investing, and of course, where we also take
0:36.3	some of your questions so good
0:38.7	morning Jerry and good afternoon to you Moritz hello it's good morning now there
0:45.0	were some big gains in energy markets this week we had a continued recovery
0:50.6	inequities and a big drop in the price of VIX. That was some of the highlights from
0:55.6	this week. Probably not exactly what Trent Follows was positioned for, but we'll find out
1:03.1	in a little while. But before we do that, I want to give a big shout out to two people who
1:09.2	have been helping us both sound better,
1:12.0	but also are trying to make it easier for you, the listener, to find out exactly what you
1:17.1	want in each of these episodes.
1:20.1	So the first shout-out goes out to our producer, Dimitri, who flew to Switzerland this week
1:25.1	and spent two days setting up some new technology,
1:28.4	as well as fine-tuning, the sound-proofing in the little studio that I'm in.
1:33.2	So I really appreciate this, Dimitri, and I hope the listeners that you do as well,
1:38.8	nothing more important than good sound on a podcast.
1:42.5	But I also want to give a shout out to George, who not only have contributed with some great questions in the last few weeks,
	...

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