TTU Trend Barometer
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Trend Following: Is it for you?
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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 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:

01:55 – A big week for Chairman Powell
10:59 – Industry performance update
14:07 – Global macro meets trend following?
19:52 – The spectrum of behaviour
25:47 – Balancing complexity and robustness
30:51 – Being aware of unexpected events in markets
34:31 – It takes two to crisis
39:06 – Are we approaching a de-dollarization?
41:56 – Is price all we need?
50:55 – Why do we need machine learning?
56:39 – Words of estimative probability
01:00:35 – Put the money where your mouth is
01:02:58 – Skew in trend following
01:05:38 – 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:

02:32 – Broad macro observations
10:21 – Consumer confidence and political obstacles
14:44 – Looking towards China
18:53 – Trend following update
24:38 – Q1, Lawrence: What to do when approaching retirement drawdown?
29:53 – Q2, Lawrence: How can smaller investors benefit from allocating to CTAs
31:31 – A trend following rollercoaster
36:33 – Using risk mitigation strategies
45:52 – Risk mitigation in pension funds
50:57 – How to build an Alternative Portfolio
01:00:06 – What does the future holds for trend following?
01:04:51 – 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:

02:21 – Looking back on the week
13:19 – Reflecting on the CTA series
19:23 – The impact of the SVB event
23:02 – Industry performance update
24:39 – Q1, Tim: Regarding backtest and timing trends
35:08 – Two Critical Views on Trend Following
40:15 – What are the papers about?
43:28 – Defending trend following
54:01 – The Role of Volatility…and what it predicts
57:06 – The trend following narrative
01:06:05 – Paper from Aspect Capital
01:09:34 – 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 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:

02:41 – What happened this week?
11:46 – Industry performance update
13:57 – Replication – reasons for concern?
16:58 – Why the current drawdown exceeds that of the benchmark?
23:51 – The challenge of making money when yields rise
32:27 – Do Replication funds really out-perform over time?
40:56 – The challenges of picking a single manager
47:51 – Should you make changes to your model?
53:29 – Gaurdian article on CTAs role in food crisis
01:03:12 – 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 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:

02:40 – What happened since last time?
09:42 – Industry performance update
10:38 – Q1, Ricardo: When are you writing a book on backtesting with Python?
13:28 – Q2, Bruno: How to best forecast volatility?
20:49 – Q3, Skip: How is overall portfolio affected by not being pure trend?
25:41 – Libor Futures being replaced
30:41 – Blogpost about estimating standard deviation
38:01 – Article by Man-AHL on trend following performance following a sharp correction
43:37 – Bloomberg article about tail risk hedging
56:22 – Reasons Not to trend follow
01:09:50 – 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:

03:16 – What happened this week?
08:34 – Unusual moves
15:16 – Reviewing the March Madness
20:44 – Industry performance update
22:05 – Being prepared for unexpected events
27:17 – Keeping things simple
30:29 – Correlation in your portfolio
34:27 – Finding the right strategy and manager
38:11 – The Good, the Bad & the Ugly side of the Sharpe Ratio
49:27 – Tail hedge vs trend following allocation
55:19 – Who's Sharpe should we be improving?
01:02:39 – The Pros and Cons of being a Replicator
01:12:15 – 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 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:

02:03 – Reflecting on the current bank crashes
06:03 – The difficult situation for Powell
09:38 – The geopolitical perspective
12:38 – Surprises in the OpEx
18:03 – Weekly update
20:24 – The volatility winter
27:05 – Vol strategies in the equity space
30:38 – How volatility funds are finding it hard to make money at the moment?
36:11 – Are vol strategies on a downfall?
44:15 – A loss of confidence in Central Banks
48:09 – What are the signs?
50:55 – The U.S election…and how it will affect economic policies
54:11 – The U.S debt ceiling
58:36 – Gamma vs Vega
01:03:01 – 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:

02:00 – What really happened this week?
19:19 – Industry performance update
25:21 – A tough week for trend
36:13 – Looking through the rear view mirror
46:25 – SVB and trend following
52:47 – The dynamics of the financial world
59:20 – A changing world
01:09:27 – Reflecting on the CTA series
01:13:33 – 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 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