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 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:

02:19 – Reflecting on the TTU CTA series
04:57 – Performance update
09:59 – Q1, Gene: Question about underfitting and overfitting
16:47 – Q2, James: What types of stops are commonly used in moving average systems?
18:49 – Q3, Chris: How far back do you go in backtesting?
22:20 – Q4.1, Kyle: What happens if an FCM goes belly up?
26:37 – Q4.2, Kyle: Questions regarding “Following the Trend” by Andreas Clenow
39:22 – Applying a commission rate for your backtest
44:22 – Q5.1, Matthijs: The optimal moment to roll a contract?
46:14 – Q5.2, Matthijs: View on adding a defensive strategy to a multi-strat CTA?
47:52 – Q5.3, Matthijs: Why limit trend following to a small part of your portfolio
49:35 – Rob's article in FT
58:27 – Investor survey from BNP with predictions for 2023
01:00:49 – Diversification across instruments
01:06:49 – 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 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:

01:59 – Broad Macro observations
12:41 – How the economy responds to interest rates
17:03 – Moving in a new direction
20:54 – Reflecting on the month of February 2023
22:44 – Industry performance update
24:29 – Bloomberg article on CTAs impact on equity markets
31:41 – Colorful headlines
34:07 – Findings from Quantica paper on CTAs footprint
43:45 – Why trend following & How to do it?
50:47 – Takeaways from the CTA series
01:02:51 – 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 Nick on 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:

02:04 – Market recap
04:21 – Reflecting on the TTU CTA Series
09:10 – What has caught Nick's attention recently?
13:17 – Industry performance update
15:53 – Q1, Adam: Regarding applying systems to markets
23:41 – Q2, Tim: Thought on trend following the trend followers?
30:39 – Q3, Tim: Nick's thoughts on tracking the AUM?
37:19 – Crisis alpha – lost in translation?
49:43 – How trend following has evolved
53:44 – Are we too concerned about the Sharpe?
58:55 – Changing the narrative
01:05:02 – Trend following disagreements
01:07:29 – 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:

03:17 – Reflecting on the CTA Series
09:55 – What happened this week?
12:42 – Q1, Jordan: Regarding setting stop loss when entering a position
15:39 – Q2, Mark: Entry lookback vs exit lookback?
19:23 – Signal to noise masterclass
36:03 – The Tom Basso experiment
46:34 – The challenges of creating models
52:40 – Avoiding overfit – Don't pick the best parameters
57:23 – Avoiding overfit – Apply the Golden Rules
01:00:19 – Using visual mapping
01:03:50 – Avoiding overfit – trade multiple markets
01:07:34 – Trend Following is not easy
01:14:04 – The January trend report
01:15:46 – 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 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:

03:20 – What happened this week?
11:01 – Individual Sharpe vs. Portfolio Sharpe
18:59 – Industry performance update
19:56 – Q1, Pete: Same rules for longs and shorts – why?
32:25 – Q1 Follow-up: Change position right away or wait for first new trade entry?
36:09 – Q2, Callum: Question regarding TTU series with Ryan O'Grady
40:57 – Q3, Tim: Questions regarding link between Performance and AUM
50:21 – The problem with flat fees
55:06 – The idea of change point detection
01:00:18 – The age of disconnect
01:11:01 – The impact of disruptors
01:17:04 – 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 Andrew 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:

02:11 – Reflecting on the month of January
06:36 – Performance of trend following so far this year
14:43 – Industry performance update
15:43 – Managed futures – the ultimate diversifier?
21:24 – Will stocks and bondscontinue to move in tandem?
25:46 – Predictable diversification benefits
29:28 – The advantages of managers
41:40 – Why should managed futures work?
48:18 – Buy the dip
54:31 – Sticking to the data
01:01:13 – Gunslingers in the ETF space
01:05:59 – 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:

02:16 – The current macro picture
15:56 – Trend following update
18:04 – Current markets and asset allocation
28:07 – Papers on the CTA industry
38:15 – Fast vs. slow trend systems
42:32 – Reflecting on the TTU CTA mini series
49:12 – The multi-manager perspective
56:42 – Feedback on the TTU CTA Mini series
59:07 – 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:

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