SI73: How too much experience can work against your investments
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 3 February 2020
⏱️ 98 minutes
🧾️ Download transcript
Summary
On today’s show, we discuss when having lots of experience can sometimes work against you, why hard and fast rules can be better than making discretionary decisions, the importance of trading in appropriate position sizes, the amount of drawdown that will likely cause you to deviate from your system, the unpopularity of Trend Following strategies, creating an adaptive portfolio that can respond to market conditions, and why Trend Following should play a considerable part in your portfolio. Questions we answer this week include: Should you use Trend Filters to confirm your entry signals? Is the 60/40 portfolio usually less volatile than a typical ‘perfect’ Trend Following portfolio? Do you recommend adding mean-reversion strategies to your Trend Following systems? How do you define short, medium and long-term?
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Episode TimeStamps:
00:00 – Intro
01:11 – Macro recap from Niels
02:41 – Weekly review of performance
14:14 – Top Tweets
55:44 – Mike; Questions 1: Is Trend Following a Dynamic Call Replication strategy?
01:00:39 – Seth; Question 2: Do you use Trend Filters to confirm the entry signal?
01:04:10 – Michael; Question 3: Is the daily volatility of a 60/40 portfolio less than that of the ‘perfect’ Trend Following portfolio?
01:08:12 – Brian; Listener comment regarding the best way to explain why Trend Following should play a considerable part in all portfolios.
01:14:33 – Dave; Question 4: When using multiple lookback periods, should risk per trade always stay the same?
01:16:02 – Yohan; Question 5: Do you scale into a trade throughout the day, depending on market liquidity, or just enter the full trade upon getting the signal?
01:18:27 – Drew; Question 6: What does your day-to-day look like?
01:20:43 – Yohan; Question 7: Why not combine mean-reversion strategies with your Trend Following strategies?
01:25:49 – Paul; Question 8: Would testing markets that you don’t plan to trade, give added clarity to your backtests?
01:29:22 – Singh; Question 9: How do you define short, medium and long-term timeframes?
01:34:01 – 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 journey into the world of systematic investing and learn about the most dependable and consistent yet often overlooked investment strategy. Welcome to the Systematic Investor podcast series. |
| 0:26.5 | Welcome to this edition of the systematic investor series with Jerry Parker, |
| 0:30.9 | Moritz Sieber and I, Neels Castro-Blasen, where we do our best to bring you into the world of rules-based investing by sharing our observations and hard lessons learned over the last |
| 0:36.7 | few decades, hoping that you can avoid making |
| 0:38.8 | some of the mistakes that we did. |
| 0:42.4 | Jerry Moritz, good morning, good afternoon, not long since we were together in Miami. |
| 0:47.0 | Now we're back in our respective homes. |
| 0:50.2 | How are you doing? |
| 0:51.6 | Doing well. |
| 0:52.9 | I had a short flight back to Tampa, but I trust you guys made it back home okay. |
| 0:57.6 | Yeah, doing well. |
| 0:58.4 | A bit of a longer flight. |
| 0:59.9 | Got back here about two or three hours ago, but all went smoothly. |
| 1:04.3 | So that's what was very nice to see you. |
| 1:06.0 | Absolutely. |
| 1:06.8 | Good stuff. |
| 1:07.4 | And really nice to catch up in person last week. Of course, as I would say often happens |
| 1:15.3 | nowadays when we do get together for these conferences, there always seems to be something |
| 1:21.0 | interesting happening in the markets. And of course, we're recording just as the month of January finished, so maybe we can look |
| 1:30.7 | at it as a in a little bit of a bigger picture, not just for the last week, but for the last |
| 1:35.2 | month. |
| 1:36.0 | And of course we did have a solid start to 2020. |
... |
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