SI70: How to design and backtest your system ft. Andreas Clenow (Part 2)
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 14 January 2020
⏱️ 29 minutes
🧾️ Download transcript
Summary
Today we continue our interview with Andreas Clenow, where we cover topics such as backtesting & system design, whether we see any growth in the CTA industry, long-term vs short-term Investing, and how to go about raising initial AUM. Questions include: How important are drawdowns when analysing performance? Is Crisis Alpha an appropriate label for CTAs today? How do you choose parameters for your Trading Models?
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Episode TimeStamps:
00:00 – Intro
01:54 – Niels; Question One: How does one go about choosing parameters for their Trading models? Question Two: Do you stick with your model, or do you look to recalibrate it over time?
07:37 – Jerry; Question Two: Have you noticed that longer-term systems have always produced better results than shorter-term, even though we may think otherwise? How important are drawdowns when analysing performance?
13:48 – Moritz; Question One: Would you still go out and start a Trend Following fund today? If so, how would you go out and raise the initial AUM?
16:25 – Niels; Question Two: How should CTAs & Trend Followers present themselves? Is Crisis Alpha an appropriate label?
22:32 – Niels; Question Three: If you could invite 4 people to dinner, from past or present, who would you choose?
24:00 – Niels; Question Four: Anything you would like to share regarding your latest book?
26:23 – Brian; Question One: Do you think Options strategies distort Trends and the performance of Trend Following strategies?
27:08 – Benchmark performance update
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Transcript
Click on a timestamp to play from that location
| 0:00.0 | You're about to join Jerry Parker, Maritz Seabert, and Nealz Kostrup Larson on their raw and honest |
| 0:07.3 | journey into the world of systematic investing and learn about the most dependable and consistent |
| 0:12.3 | yet often overlooked investment strategy. Welcome to the Systematic Investor podcast series. |
| 0:19.6 | Hey everyone. |
| 0:21.5 | Nils here. |
| 0:22.6 | Just jumping in with a slightly different |
| 0:23.4 | introduction to this part two. |
| 0:26.6 | I think we can call it |
| 0:27.8 | of the systematic investor series |
| 0:30.5 | with our special guest |
| 0:32.3 | Andreas Clino. |
| 0:33.7 | As some of you may know |
| 0:35.3 | who listened to our normal recording, |
| 0:38.7 | we had a bit of an issue at the end, |
| 0:40.3 | so we had to cut that off, |
| 0:42.4 | but we have recovered it by now, |
| 0:45.3 | and so we're just jumping straight into our conversation |
| 0:48.3 | that we had with Andreas, |
| 0:50.7 | where we were discussing some of the topics, |
| 0:53.0 | I think surrounding back testing at the |
| 0:55.0 | time and there was a lot of other good stuff coming up later in the conversation I want to make |
| 1:00.9 | sure you got that as well so sorry for the arbitrary introduction this week for part two and |
... |
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