TTU Trend Barometer
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Systematic Investor

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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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Richard on Twitter.

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

Episode TimeStamps:

02:34 – Thoughts on new mini series
09:46 – Battleship still floating?
11:56 – Q1, Markus: Richard's biggest takeaways in his backtesting 
18:12 – Q2, Tim: About inconsistencies in the selection process
31:27 – Uncertainty rather than certainty
49:38 – Why not focus on other trends?
56:44 – Outliers – features of liquid markets?
01:03:28 – Everything is a process
01:12:21 – Managing risk in an uncertain world
01:21:24 – Thanks for listening

by

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Rob on Twitter.

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

Episode TimeStamps:

02:18 – What happened since we last spoke?
09:58 – Industry performance update
12:49 – A1, Andrew: Use stop or wait for crossover?
18:41 – Q2, Joseph: Is running your own trend following portfolio reasonable in 2023?
22:58 – Q3, Bart: The importance of Kurtosis
26:53 – Q4, Ross: How to pick parameters?
41:22 – Defending optimization
43:32 – The U.S Debt ceiling
48:05 – The need for speed in trend following
56:16 – Optimal trend following with transaction cost
59:05 – How much Math is needed to be a Trend Follower
01:04:12 – Thanks for listening

by

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Cem on Twitter.

Follow Rob on Twitter.

Follow Alan on Twitter.

Follow Mark on Twitter.

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

Episode TimeStamps:

00:00 – Intro
01:19 – Diversification in trend following
17:48 – The impact of fluctuating interest rates 
30:58 – Using AI in trading
41:46 – A discussion on liquidity
53:54 – A glimpse into 2023
01:05:33 – Thanks for listening

by

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Cem on Twitter.

Follow Rob on Twitter.

Follow Alan on Twitter.

Follow Mark on Twitter.

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

Episode TimeStamps:

00:00 – Intro
02:14 – Q1, Zach: Have we seen the end of the carry regime? And what are the indicators?
14:16 – The perfect year for trend following?
25:52 – The wrong kind of volatility?
31:04 – Trend vs. Tail Hedge
43:04 – What is happening with volatility? 
50:38 – What did we learn from the year 2022?
01:00:40 – The future for Crypto
01:11:37 – Coming up next week

by

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Cem on Twitter and LinkedIn.

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

Episode TimeStamps:

00:00 – Intro
01:57 – What happened this week?
11:34 – An interesting period for equities
22:33 – Industry performance update
24:39 – Does recession or no-recession even matter?
33:44 – How and when to short the S&P500
39:10 – The Oil Put…
45:08 – Why has Gold disappointed?
47:47 – The rise of the 0DTE options
53:00 – Takeaways from 2022

by

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Rob on Twitter.

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

Episode TimeStamps:

00:00 – Intro
03:39 – What stood out to us this week?
20:22 – Industry performance update
22:25 – Q1, Elie: Can you run a continuous system without daily vol targeting? Can you calculate signal scaling with in-sample data? More info on the mean reversing system with a high Sharpe?
34:42 – Q2, Matthijs: How does Rob think about protecting/diversifying his portfolio with tail protection strategies?
42:54 – Q3, Richard: Has Rob considered conditioning his carry forecasts based on asset class? Should I account for using the spread of nearest contract to nearest plus when calculating the raw carry forecast?
49:44 – AQR Paper on Portfolio Optimization
54:26 – Article from Alpha Architect on momentum…30 years after Jegaddesh and Titman's seminal paper
01:00:56 – What is coming up in the special Year-End Group episodes?
01:05:43 – Thanks for listening

by

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Alan on Twitter.

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

Episode TimeStamps:

00:00 – Intro
01:53 – Summary of the week
10:30 – Industry performance update
17:41 – The equity (bear market) rally
31:25 – The impact of the inflation target
38:49 – Why are short term traders interesting?
49:24 – Looking into the crystal ball
01:00:53 – The end of an era
01:04:53 – How often do you need to rebalance?
01:07:55 – Final thoughts

by

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Mark on Twitter.

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

Episode TimeStamps:

00:00 – Intro
02:21 – What happened this week?
06:24 – Industry performance update
09:19 – Is it too late for trend following?
24:47 – The impact of fast information
30:59 – The human element of policy
38:36 – Quit vs. grit
42:16 – Diving into the crypto world
50:50 – Mind your liquidity
56:17 – Periods, ages and regimes
59:40 – The end of globalization & what this means?
01:03:12 – Being a data detective
01:06:01 – Final thoughts

by

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Cem on Twitter and LinkedIn.

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

Episode TimeStamps:

00:00 – Intro
01:52 – What happened this week?
07:22 – Q1, Dave: What’s up with the inverted yield curve? 
11:24 – Q2, Eron Musk: Cem’s opinion on hedge fund redemption dynamics?
14:21 – Q3, John: Cem’s forecast for the next 4 weeks (Dec. opex)?
16:25 – Q4, JZone: Crude put vs recession? Is the 20d sma and standard deviation all that matter for TF? Probability of right tail risk that China plays ball? National interests vs. economic prosperity
18:12 – Q5, The Slaughter79: Forecast for Opex-deltahedging-gamma-vanna-charm stuff?
18:39 – Q6, Spek: What’s the SP500 potential bottom?
22:47 – The U.S election and positive CPI numbers
30:11 – Asset classes in secular inflation
38:15 – Change in volatility = change in trading strategy?
46:51 – The impact of low skew
57:30 – When are we coming back to normal?
01:02:05 – Liquidity and volatility in relation to bonds
01:08:35 – Thanks for listening

by

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Richard on Twitter.

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

Episode TimeStamps:

00:00 – Intro
02:26 – What happened this week?
11:32 – Industry performance update
15:41 – Q1, Daniel: Tight or loose pants for different lookback periods
22:52 – Q2, Henrik: Trade-offs between different position sizing schemes
34:51 – Trading opportunities that uncertainty brings
48:02 – Why is trend following so great in times of uncertainty?
01:17:49 – Thanks for listening

by

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Rob on Twitter.

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

Episode TimeStamps:

00:00 – Intro
02:58 – What happened this week?
11:36 – Industry performance update
13:27 – Status on Rob’s book
14:38 – Q1, Simon: What is the shortest term that Rob has looked at in trend following / momentum?
25:26 – Q2, Matthew: Relationship between UCITS fund's lower vol and Trend Following allocation? & Advice for small investors
32:20 – Comment, Mark: Confusing asset classes and trading strategies
39:22 – Q3, Toby: About building mean reversing systems
40:58 – Q4, Zach: How to approach holding periods and rolling costs?
43:22 – Q5, Anis: Cash equities vs. futures for trend following?
46.29 – Rob’s take on hedge fund replication
01:00:18 – Trend Following – How much is enough?
01:06:42 – Announcement

by

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.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

Follow Niels on Twitter, LinkedIn and YouTube.

Follow Alan on Twitter.

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

Episode TimeStamps:

00:00 – Intro
01:58 – Summary of the week
07:51 – Industry performance update
15:38 – The optimal allocation
24:42 – Trend Following the most consistent part of the portfolio 
37:22 – Are we moving into a new era?
47:37 – Reflecting on the conversation with William White
52:29 – Unforeseen consequences of QE
55:40 – Thanks for listening

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