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Top Traders Unplugged

SI300: Finding the Optimal Trend Following Rules ft. Richard Brennan

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8670 Ratings

🗓️ 15 June 2024

⏱️ 57 minutes

🧾️ Download transcript

Summary

Together with Richard Brennan, we discuss the optimal way of doing trend following and how to find the optimal set of rules to use in different market regimes, how to examine market states through Markov models and how artificial intelligence will impact trend following and make short-term trading incredibly competitive. Lastly, we ask ChatGPT what the optimal way of doing trend following is.

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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:

01:04 - What has been on our radar recently?

04:03 - Industry performance update

07:50 - Q1, Dennis: Given the nature of lengthy hold periods, do you recommend trading cash CFD's accounting for the overnight costs?

11:40 - Q2, Ramki: Using ATR for position sizing when backtesting a trend following system

14:47 - Optimal rules to use in different kinds of market regimes

18:46 - How to use Markov models and mathematical algorithms to optimize trend following strategies

41:17 - Is trend following threatened by AI?

51:39 - "ChatGPT, what is the optimal way of doing trend following?"

Resources discussed in this Episode:


Copyright © 2024 – CMC AG – All Rights Reserved

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Transcript

Click on a timestamp to play from that location

0:00.0

You're about to join Neil's Kostrup Larson on a raw and honest journey into the world of systematic investing

0:07.2

and learn about the most dependable and consistent yet often overlooked investment strategy.

0:13.2

Welcome to the Systematic Investor Series.

0:32.6

Welcome, welcome back to this week's edition of the Systematic Investor series with Richard Brennan and I, Neil's Castor Larsen, where each week we take the pulse of the global market through the lens of a rules-based investor.

0:37.6

Rich, wonderful to be back with you this week. How are you doing? What's going on down under?

0:43.4

Any big news for you to share? Not really any big news at the moment, Neil's. It's just getting colder down here. So we're approaching 10 degrees Celsius, which to us is freezing. And so we're

0:49.5

starting to rug up. But I know that's a bit of a different sort of climate to what you're experiencing

0:55.7

up there. Well, unfortunately, it's pretty close to 10 degrees why I am, and it's the middle

1:00.1

of summer. So I'm not sure which part is the best. Anyways, we're going to be tackling a few

1:07.6

important topics, actually some really interesting one, new ones.

1:11.3

But before we do that, I always love to hear what's kind of been on your radar, anything

1:16.0

you picked up since we last spoke?

1:19.9

Not really, Neil.

1:20.7

It's just that it's been a very tough week or so.

1:23.8

I found with our trend following models, you know, I'm referring to it as a pogo stick environment at the moment.

1:30.1

Lots of whipsaws happening.

1:32.7

So we're getting some success in some assets and some failures and other assets.

1:37.4

Quite a difficult period for us.

1:39.3

But, you know, on a brighter note, we have a regular state of origin football match over here in Australia.

1:46.3

And so there's three games played by Queenslanders versus New South Walshman.

1:52.3

And so the individual players, they line up with their associated states of origin,

1:57.7

and then they battle it out on the field for three games.

...

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