SI70: How to design and backtest your system ft. Andreas Clenow (Part 2)

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 670 Ratings

🗓️ 14 January 2020

⏱️ 29 minutes

🔗️ Recording | iTunes | RSS

🧾️ 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

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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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