SI226: Trend Following - the Do's & the Dont's ft. Rob Carver

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 15 January 2023

⏱️ 67 minutes

🔗️ Recording | iTunes | RSS

🧾️ Download transcript

Summary

Today, Rob Carver returns to the show for the first weekly trend following conversation in 2023, where we discuss the unusual situation with the vol market and how to use stops and moving average crossovers when entering and exiting trades, what it takes to run a trend following portfolio in 2023 and why it is not for everyone, how Kurtosis and skew is used in managed futures, Rob's process of picking parameters and why using a mixture parameter speed is the most optimal approach. We also discuss the U.S. debt ceiling and why it can become a potential problem, speed in trend following and why you shouldn’t put all your eggs in one basket, how much math you need to work in the financial markets and much more.

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Episode TimeStamps:

02:18 - What happened since we last spoke?

09:58 - Industry performance update

12:49 - A1, Andrew: Use stop or wait for crossover?

18:41 - Q2, Joseph: Is running your own trend following portfolio reasonable in 2023?

22:58 - Q3, Bart: The importance of Kurtosis

26:53 - Q4, Ross: How to pick parameters?

41:22 - Defending optimization

43:32 - The U.S Debt ceiling

48:05 - The need for speed in trend following

56:16 - Optimal trend following with transaction cost

59:05 - How much Math is needed to be a Trend Follower?

01:04:12 - Thanks for listening

Transcript

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0:00.0	You're about to join Neil's Kostrup Larson on a raw and honest journey into the world of systematic
0:06.6	investing and learn about the most dependable and consistent yet often overlooked investment strategy.
0:13.2	Welcome to the Systematic Investor Series.
0:26.7	Welcome and welcome back to this week's edition of the Systematic Investor series with Rob Carver and I, Niels Castablasten.
0:29.1	Each week we take the pulse of the global market through the lens of a rules-based investor.
0:33.5	If you're new to the show, I hope that today's episode will trigger your curiosity enough
0:37.4	to check out the back catalogue and listen to the past episode that you may have missed.
0:41.8	Like my conversation with Alan last week, where we introduced the new amazing miniseries where I think we're doing something that has never been done before as we have managed to line up most of the largest managers in our industry to
0:56.0	discuss the most important topics about their strategies, the business, as well as the
1:01.9	industry as a whole.
1:03.8	And we can't wait to start sharing these conversations with you, which I believe we
1:07.8	will start during on Monday.
1:09.9	Also, if you missed our Wednesday episode,
1:12.2	I really would encourage you to listen to the midweek conversation we had with Susan
1:16.8	Shirk, who is probably the foremost expert on U.S.-China relationship
1:21.0	and who takes us behind the red curtain to explain how China essentially derailed from its peaceful rise.
1:30.4	So I really encourage you to go back and listen to these episodes, if you missed them this week.
1:34.8	But not until you finished listening to Rob and I today, of course.
1:38.2	Rob, it is wonderful to be back with you in the new year.
1:41.5	And so much happens every time we are apart so to speak in our conversations
1:46.4	so how are you doing how things on your side uh it's it's wet and raining outside as i speak
1:53.9	um so it feels like proper kind of wintery weather now um and as we were discussing before we
	...

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