In partnership with:
CME Group

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.

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Check out our Global Macro series here.

Learn more about the Trend Barometer here.

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

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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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