In partnership with:
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Eurex

155 Systematic Investor Series ft Richard Brennan – August 29th, 2021

This week, Richard Brennan joins us to discuss whether there are any similarities between Trend Following and other investment approaches, the benefits of ‘forward-testing’ a system, the art of ‘hunting outliers’, what the optimum level of leverage could be, how much total portfolio ‘risk-to-stop’ to aim for, some thoughts on margin requirements, and which other strategy complements Trend Following the best.  We also took a deep dive into backtesting, touching on topics such as: how much we can safely derive from a backtest, why a backtest with a smooth equity curve should raise alarm bells, a good checklist to use when creating a backtest, and whether some level of curve-fitting may actually be required for a good backtest.

If you would like to leave us a voicemail to play on the show, you can do so here.

Check out our Global Macro series here.

Learn more about the Trend Barometer here.

IT's TRUE 👀 - most CIO's read 50+ books each year - get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book "The Many Flavors of Trend Following" here.

Send your questions to info@toptradersunplugged.com

Follow Niels & Richard on Twitter:

@TopTradersLive  & @RichB118

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast.

Top Traders Unplugged wins award for ‘Best Trading Podcast’ and features among the ‘Top 20 Best Investing Podcasts in 2020’ by The Investors Podcast 🏆.

Episode TimeStamps:

00:00 – Intro
03:25 – A massive thank you to listeners of the show for leaving your 5-star reviews on iTunes
03:47 – Macro recap from Niels
05:57 – Weekly review of performance
10:59 Trend Followers as hunters of outliers
13:34   Q1; Louis: Do you recommend starting a new model with lower leverage, so that it has time to adjust to the markets?
20:02   Q2; Aaron: If you had to choose a different strategy to complement your main Trend Following strategy, which one would you choose, and why?
25:03   Q3; Graham: How much margin do you use on different instruments? What total portfolio risk-to-stop do you recommend?
35:23 ‘The good, the bad, and the ugly’ of backtesting
52:50 How to make a backtest as objective and robust as possible
01:25:49  Benchmark performance update

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