SI46: Are commodities more risky to trade than equities?

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 29 July 2019

⏱️ 77 minutes

🔗️ Recording | iTunes | RSS

🧾️ Download transcript

Summary

This week, we discuss whether commodities are more risky to trade than equities, if a stocks-only Trend Following strategy can be profitable in the long run, if a deep drawdown is worse than a long drawdown, and the importance of over-estimating any possible drawdowns implied by a backtest. Questions answered include: should all Trend Following funds be required to provide Crisis Alpha? Is there ever a good time to override your system and trade outside of the rules? Should you always execute trades from your signals immediately, or wait for an extra confirmation sometimes? Is there an edge to be gained from seeking the perfect entry into a long-term trade? How many positions should you have open at any one time? What can be considered a good amount of leverage?

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Episode TimeStamps:

00:00 – Request for podcast reviews from listeners

02:15 – Intro/Macro recap from Niels

07:50 – Weekly review of performance

12:50 – Top tweets

58:50 – Questions 1/2/3: James; Why don’t you like the original Turtle system? What systems do you prefer? Regarding entries/exits, do you prefer executing intraday, on close, etc.?

01:06:20 – Question 4: James; What is the average leverage in your portfolio and how many positions do you hold at any one time?

01:12:30 – Benchmark performance update

01:14:00 – Discussion of Salem Abraham decision to revamp his business away from a classic CTA Trend Following shop

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Transcript

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0:00.0	You're about to join Jerry Parker, Maritz Seberg, and Nealz Kostrup 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.
0:14.9	Welcome to the Systematic Investor podcast series.
0:19.5	Jerry Parker and I, Neil's Kastrop Lassen, are back with this week's edition of the
0:23.9	Systematic Investor series where each week we give you a role and honest account of what
0:29.2	it's like to be a rules-based investor.
0:31.7	What news and articles caught our attention and, of course, where we do our best to answer
0:36.3	your questions.
0:38.7	This week, it's just Jerry and me. Moritz is out.
0:42.8	So let me start by saying good morning to you. Jerry, how are you doing this Sunday morning?
0:48.6	Great. Good morning. Good afternoon. How are you?
0:51.2	Very well. Still in sunny Denmark. So enjoying a bit of cooler weather compared to Switzerland and the least and other parts of Europe.
1:01.0	So that's very nice.
1:03.0	I'm in sunny Amagance at New York.
1:06.0	Enjoying the beach.
1:08.0	Very nice.
1:09.0	Very nice.
1:10.0	I was going to start out just again by acknowledging some of those of you who took time out
1:18.1	of your week to leave us a nice rating and review.
1:22.3	We want you to know that we actually read all of these reviews and they help us stay on
1:27.0	course to provide as much
1:28.9	value as possible. So specifically I was just heading into the US iTunes store and I saw people like
1:36.0	GPC 31. There was another handle called US Weeping and RCC 7, And, you know, in addition to the three, I just mentioned that I
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