SI266: Constructing and Assessing Trading Strategies ft. Rob Carver
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 21 October 2023
⏱️ 62 minutes
🧾️ Download transcript
Summary
Rob Carver is back this week speaking with Alan Dunne about constructing and assessing trend following and non-trend following trading strategies. We delve into mean reversion strategies and over what time frames they might be effective and what are the pitfalls in trying to combine trend following with mean reversion. We also discuss the theory and reality of the benefits of faster trend following, Rob’s experience of this and his approach avoiding over-fitting when constructing trading strategies. We wrap up with some thoughts on AHL’s Trend ETF and how a strategy trading 20 markets might perform versus a more diversified program.
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Episode TimeStamps:
02:00 - Update on recent events?
09:13 - Industry performance update
09:38 - Why is it going so well for Rob?
12:15 - The ongoing debate on term premia
17:40 - Returns in bonds versus equities
21:13 - Q1, Andrej: What's your take on systematic strategies complimenting trend?
35:22 - Q2, Harry: Can you speak about the lure of high frequency strategies for traders with modest capital?
40:46 - The challenges of fast trend following
42:15 - Trading with different account sizes
45:07 - Q3, Ravi: Techniques to prevent overfitting of a strategy
51:45 - Using boot strapping
52:42 - Q4.1, Tommy: What's your take on the AHL trend ETF?
59:20 - Q4.2, Tommy: Which scenarios do you expect equities and trend to be highly correlated?
01:01:12 - Thanks for listening
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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 investing |
| 0:07.0 | and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:13.0 | Welcome to the Systematic Investor Series. |
| 0:25.2 | Welcome back to Top Traders Unplubbed. |
| 0:29.2 | For each week we take the pulse of the markets from the perspective of a rules-based investor. |
| 0:33.5 | It's Alan Dunn here again, sitting in for Neels for the final time this week. |
| 0:35.1 | Neels is back next week. |
| 0:37.4 | And this week I'm delighted to be joined by Rob. Rob, how are you? Good to see you. |
| 0:39.3 | I'm well thank you. It's been quite a while since I've been on probably since maybe June. So back then it was sunny and warm and nice and now it's cold, wet and miserable. So, you know, that's the way it goes, I guess, with the English weather. |
| 0:53.3 | Winter is creeping in, but you do have the prospect of England in the Rugby World Cup to warm the heart |
| 0:57.9 | and give you something to look forward to the weekend, I guess. |
| 1:01.1 | Well, that's right. I mean, by the time the listeners are listening to this, they'll probably already know the result. |
| 1:04.8 | But, yeah, England are lucky in that we're the only team from the so-called home nations to have stayed into this |
| 1:11.6 | stage. We did have quite a lucky win last weekend, to be fair, and I think we're going to have |
| 1:17.2 | to do pretty well to be our opposition this weekend, but fingers crossed anyway, fingers crossed. |
| 1:24.1 | England played the world champion in South Africa, so yeah, that's very formidable. Yeah, it's not going to be an easy match. |
| 1:29.3 | And all credit to Ireland last weekend, they played |
| 1:31.3 | really well and came really close to |
| 1:33.0 | going through against, you know, |
| 1:35.2 | really top class opposition. So, yeah, |
| 1:37.3 | we'll see how I goes. I was in Paris, |
| 1:39.5 | so it was fantastic. Oh, wow. |
... |
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