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Model Decay and How Best to Handle It | Karsten Schroeder, Amplitude Capital | #15

“When you build short term trading models, it’s all green-field research.” – Karsten Schroeder (Tweet)

Through courage and vision, Karsten Schroeder co-founded Amplitude Capital as a pioneer in the CTA industry.

Why pioneers? Because they focused on short term trading.

In this episode of Top Traders Unplugged, Karsten and Niels discuss Amplitude Capital’s scientific approach to Amplitude Dynamic and Amplitude Klassik. These are the two short-term rule based trading programs that Karsten and his team run to invest billions of dollars on behalf on a small group of institutional investors.

Thank you very much for listening to this episode with the Executive Chairman of Amplitude Capital, Karsten Schroeder.

In This Episode, You’ll Learn:

  • The founding story of Amplitude Capital
  • About the motivation source for choosing short term trading
  • On the essence of a great companyThe Team

“There is a negative notion to the word ‘change’, that’s why we prefer the word upgrade. Upgrade means you do, more or less, the same that you were doing before but in a better way.” – Karsten Schroeder (Tweet)

  • Describing Amplitude Capitals’ Trading Programs:
  1. Amplitude Dynamic – A two day holding period, short term CTA program that trades all asset classes (currently trading app. $1 billion.)
  2. Amplitude Klassik – 8 day holding period program, with less reversion models than Dynamic (currently trading app. $600 million.)
  • The scientific processes guiding Amplitude’s perception of the markets
  • How Amplitude manages their in-house and outsourced business processes

“As important for an investor to choose the right fund, as important it is for the fund to choose the right investors.” – Karsten Schroeder (Tweet)

  • Where the point of optimal capital under management is for Amplitude Capital
  • A bird’s eye view of their historical track record and their reaction to the market shift in 2009
  • On the effects of quantitative easing and other government interventions in market health

“When you evaluate businesses today, I think it’s so much more down to the team than to the original idea.” – Karsten Schroeder (Tweet)

  • Model decay and how to best deal with it
  • The design structure of Amplitude Capital’s Programs
  • Market dynamics and where the Amplitude programs trade

“Having markets that face interventions is not healthy.” – Karsten Schroeder (Tweet)

  • Differing philosophies: market specific models vs. models for all markets
  • Comparing mean reversion models (counter trend models) vs. trend following models
  • Plus much, much more…

Resources & Links Mentioned in this Episode:


Karsten’s also participated in the Battle of the Quants

 

Sponsored by Swiss Financial Services and Saxo Bank:

Saxo Bank Sponsor of Top Traders Unplugged

Connect with Amplitude Capital:

Visit the Website: www.ampcap.com

Call Amplitude Capital: ++41-41-747 15 00

E-Mail Amplitude Capital: z@ampcap.com

Follow Karsten Schroeder on Linkedin

“The first couple of years were really, really tough because I remember I was doing so many meetings pitching this to all types of investors around the globe.” – Karsten Schroeder (Tweet)

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