4.8 • 670 Ratings
🗓️ 17 February 2019
⏱️ 94 minutes
🧾️ Download transcript
What is the value of the 200-day Moving Average, the benefit of tried and tested strategies vs new and trendy strategies? Are drawdowns a necessary component of a robust strategy, and what is the optimum startup capital? These, and a lot more we discuss this week.
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Episode TimeStamps:
00:00 – Intro
00:45 – Announcement: Meb Faber will be on the show next week please send questions
01:50 – Weekly review of performance
06:40 – Top tweets
19:00 – Question 1: Alfred; What are some filters to increase the accuracy of breakouts?
25:25 – Question 2/3: Walter; Do you use volume as a signal in your systems? I’ve heard you mention more volatile systems are more robust, please explain why.
41:00 – Question 4: Paul; Please discuss big data, market predictions, and the relationship to TF.
47:40 – Question 5: Robert; Are Chesapeake’s single stock positions being traded via futures or cash equities?
50:00 – Question 6/7/8: Chris; Why don’t more TF use single stocks? Do you put on positions the day of the signal or wait until end of week (or similar)? How do you think about stop losses in a portfolio?
01:02:20 – Question 9: Matt; What needs to happen for investors to embrace TF like you all have?
01:09:30 – Question 10/11: Peter-Francois; How do you handle existing positions and inflows/outflows of capital? Do you adjust stop loss levels when new investors come in to existing positions?
01:14:30 – Question 12: Francois; What is your take on factor investing...
Click on a timestamp to play from that location
0:00.0 | You're about to join Jerry Parker, Maritz Siebert, and Neil's Kastrup Larson on their raw and honest journey into the world of systematic investing and learn about the most dependable and consistent yet often overlooked investment strategy. |
0:15.0 | Welcome to the Systematic Investor podcast series. |
0:19.4 | Jerry Parker, Moritz Siebert and I, Niels Castro-Blasen, are back with this week's edition |
0:23.7 | of the Systematic Investor Series, where we share our experiences, the ups and the downs of |
0:28.7 | what it's like to be a rules-based investor, and of course, where we take your questions. |
0:34.8 | And as usual, let me start by saying saying good morning to you, Jerry, and good |
0:38.6 | afternoon to you, Moritz. Good morning. Good afternoon, Niels. Good morning, Jerry. |
0:42.3 | Now, before I forget, I want to mention that next week, the technical guards permitting, we |
0:48.6 | will be joined by the one and only MEP Faber, which we are very excited about and we hope |
0:53.5 | that you will send us some of your questions for MEP Faber, which we are very excited about and we hope that you will send us some |
0:55.0 | of your questions for MEP in the coming days so we can prepare all of that. |
1:02.4 | Now this week we saw some strong moves in some of the sectors. |
1:08.5 | Energies in particular were incredibly strong. |
1:11.6 | I'm just looking at the screen here, almost 9% up move in gasoline, so that's definitely |
1:16.6 | a strong week, but all the other energies did well as well. |
1:22.4 | And we had equities, which also had a nice tailwind, and fixed income markets markets probably a bit soft as far as I can tell |
1:31.0 | and so were some of the grains at least that's what I sort of picked up so why don't we just do as we |
1:39.4 | normally do jump into it see what happens and maybe start out you, Morris, just to see how the week went from your trend following perspective? |
1:50.0 | Yeah, happy to do that. So finally, finally, a positive week, all by it small, but, you know, I'll take it. |
1:58.0 | Energy is just like you said, Niels, they've been great for the portfolio, |
2:03.8 | long gasoline, long and crude, all of that was good. I'm now less short in some of the |
2:11.3 | equities. Still have some shorts on, but they're getting smaller, moving much more to work |
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