Systematic Investor

23/12/2019 by Niels

Learn more about the free-to-use Top Traders Unplugged Trend Barometer here.

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

Get a free copy of my latest book “The Many Flavors of Trend Following” here.

Send your questions to info@toptradersunplugged.com

Follow Niels, Jerry & Moritz on Twitter:

@TopTradersLive, @RJparkerjr09 and @MoritzSeibert

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.

Episode Summary

0:00 – Intro
1:37 – Macro recap from Niels
3:10 – Weekly review of returns
11:55 – Top tweets (starting with tweet about recent Cliff Asness article from AQR)
50:48 – Announcement of future podcast guest, Andreas Clenow, in January 2020
53:47 – Question 1: Mike; How would you differentiate Trend Following from a typical Long-Volatility strategy?
57:50 – Question 2 Drew; Does the strategy of buying into a Trend Following fund during its drawdowns count as a form of Value Investing, and therefore, hypocritical to Trend Following philosophy?
1:03:37 – Performance recap

15/12/2019 by Niels

Learn more about the free-to-use Top Traders Unplugged Trend Barometer here.

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

Get a free copy of my latest book “The Many Flavors of Trend Following” here.

Send your questions to info@toptradersunplugged.com

Follow Niels, Jerry & Moritz on Twitter:

@TopTradersLive, @RJparkerjr09 and @MoritzSeibert

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.

Episode Summary

0:00 – Intro
1:21 – Macro recap from Niels
2:57 – Weekly review of returns
6:12 – Top tweets
50:48 – Announcement of podcast guest, Andreas Clenow, in January 2020
51:23 – Question 1: Drew; Should you enter a breakout trade based on an intra-day signal or end of day signal?
56:26 – Performance recap

09/12/2019 by Niels

Learn more about the free-to-use Top Traders Unplugged Trend Barometer here.

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

Get a free copy of my latest book “The Many Flavors of Trend Following” here.

Send your questions to info@toptradersunplugged.com

Follow Niels, Jerry & Moritz on Twitter:

@TopTradersLive, @RJparkerjr09 and @MoritzSeibert

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.

Episode Summary

0:00 – Intro
1:21 – Macro recap from Niels
4:11 – Weekly review of returns
7:27 – Top tweets
51:16 – Questions 1: Dane; How far should your backtest go?
54:38 – Question 2: Neal; Do you have a minimum average daily volume when trading stocks?
56:24 – Questions 3/4: James; When using multiple entry signals, do you also use multiple exit signals? When setting up systems & doing testing, should you adjust past data for intended volatility-weighted position sizing? Can emerging managers within the hedge fund space still succeed, among pressure for low fees, the cost of running business, & the popularity of indexing?
1:05:18 – Performance recap

02/12/2019 by Niels

Learn more about the free-to-use Top Traders Unplugged Trend Barometer here.

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

Get a free copy of my latest book “The Many Flavors of Trend Following” here.

Send your questions to info@toptradersunplugged.com

Follow Niels, Jerry & Moritz on Twitter:

@TopTradersLive, @RJparkerjr09 and @MoritzSeibert

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.

Episode Summary

0:00 – Intro
1:11 – Origins of Black Friday
2:43 – Weekly review of returns
11:45 – Top tweets
40:52 – Questions 1/2: Michael; Can the number of trades a system signals, give insight as to how well optimized the system is? Is there a guideline for the number of trades a system should be signalling, for each chosen timeframe (such as Daily/Weekly)?
45:34 – Question 3: Richard; Comment- ‘No deterioration in the overall compound growth-rate of long-term Diversified Systematic Funds, post-2000.’
46:53 – Questions 4/5: Bing; Why don’t we risk more per trade? Is trader psychology the main reason for the importance placed on position sizing?
53:21 – Question 6: Jacob; Can you give examples of strategies that ‘warehouse’ risk?
56:41 – Question 7:Nathan; How do we define the parameters of a Trend?
1:01:37 – Question 8: Chad; Do you scale into a position, or go straight to the chosen max risk of equity per security?
1:05:51 – Questions 9/10: Chris; What should I do with surplus cash once my system reaches its maximum number of positions allowed to be traded simultaneously? Has the average margin requirements for Bitcoin changed?
1:11:00 – Performance recap
1:24:44 – Final thoughts; Is it becoming harder to be a discretionary macro trader?

24/11/2019 by Niels

Learn more about the free-to-use Top Traders Unplugged Trend Barometer here.

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

Get a free copy of my latest book “The Many Flavors of Trend Following” here.

Send your questions to info@toptradersunplugged.com

Follow Niels, Jerry & Moritz on Twitter:

@TopTradersLive, @RJparkerjr09 and @MoritzSeibert

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.

Episode Summary

0:00 – Intro
0:57 – Macro recap from Niels
1:55 – Weekly review of returns
8:22 – Top tweets
46:30 – Questions 1/2: Derek; How do you adapt Trend Following models for a constrained universe of markets? How do you educate fundamental Traders about quant investing?
53:31 – Questions 3/4/5: Jonathan; Does having a 5000 sample size backtest apply to each market in each system? Do you use out-of-sample testing? Do you optimize using multiple time-periods?
1:00:37 – Questions 6/7: Indrius; How do you use ATR? Do you take less risk per market as you trade more positions?
1:04:22 – Question 8/9: Brian; How many other Trend Following managers should you invest in? How would you seek out other managers to invest in?
1:12:13 – Question 10:Maurici; Do you use the same stop-loss for every position?
1:19:15 – Question 11: Michael; Why incur personnel costs if all you need is a computer to run your systems?
1:23:37 – Performance recap
1:24:44 – Final thoughts; Is it becoming harder to be a discretionary macro trader?

17/11/2019 by Niels

Learn more about the free-to-use Top Traders Unplugged Trend Barometer here.

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

Get a free copy of my latest book “The Many Flavors of Trend Following” here.

Send your questions to info@toptradersunplugged.com

Follow Niels, Jerry & Moritz on Twitter:

@TopTradersLive, @RJparkerjr09 and @MoritzSeibert

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.

Episode Summary

0:00 – Intro
1:05 – Events review
4:00 – Review of returns & more
17:10 – Top tweets
51:50 – Question 1: Carl; Is the stop price impacted by the cost of execution?
55:30 – Question 2: Saleh; Can you design a system that works in both trending markets and range bound markets?
1:01:55 – Question 3: Edrico; When adding new markets, do you consider correlations to existing markets in a system?
1:04:10 – Question 4: Glen; How would you break into the CTA industry?
1:13:35 – Performance recap

11/11/2019 by Niels

Learn more about the free-to-use Top Traders Unplugged Trend Barometer here.

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

Get a free copy of my latest book “The Many Flavors of Trend Following” here.

Send your questions to info@toptradersunplugged.com

Follow Niels, Jerry & Moritz on Twitter:

@TopTradersLive, @RJparkerjr09 and @MoritzSeibert

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.

Episode Summary

0:00 – Intro
0:50 – Live event review
2:45 – Review of returns
10:40- Voicemail from Jim
13:20 – Top tweets
36:05 – Question 1: Matt; Do you use indicators beyond price action and new highs/lows?
42:00 – Questions 2/3: James; How do you calculate sample size? Does each lookback window need to be treated independently or should risk be managed in aggregate?
51:40 – Questions 4/5: Brian; Why are more volatile systems considered more robust? Does lower volatility lead to better compound returns?
1:06:40 – Question 6: Gaetano; Do you trade ETFs?
1:10:00 – Performance recap
1:11:00- Ray Dalio discussion

03/11/2019 by Niels

Learn more about the free-to-use Top Traders Unplugged Trend Barometer here.

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

Get a free copy of my latest book “The Many Flavors of Trend Following” here.

Send your questions to info@toptradersunplugged.com

Follow Niels, Jerry & Moritz on Twitter:

@TopTradersLive, @RJparkerjr09 and @MoritzSeibert

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.

Episode Summary

0:00 – Intro
1:05 – Macro recap from Niels
2:20- Weekly review of returns
9:00 – Top tweets
35:05 – Questions 1/2: David; Should a bearish strategy mirror a bullish strategy (i.e. 100 day hi/lo entry for both)? Should you expect bearish strategies to do as well as bullish strategies?
39:45 – Question 3: Walter; Do you have position size limits on individual contracts?
44:15 – Question 4: Neil; What is the definition of a “small loss”?
49:50 – Performance recap
50:55 – Discussion of Abbey Capital white paper

29/10/2019 by Niels

Learn more about the free-to-use Top Traders Unplugged Trend Barometer here.

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

Get a free copy of my latest book “The Many Flavors of Trend Following” here.

Send your questions to info@toptradersunplugged.com

Follow Niels, Jerry & Moritz on Twitter:

@TopTradersLive, @RJparkerjr09 and @MoritzSeibert

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.

Episode Summary

0:00 – Intro
0:50 – Live event recap
6:00 – Macro recap from Niels
9:55 – Weekly review of returns
12:45 Niels describes his trend indicator
16:40 – Top tweets
34:55 – Questions 1/2: Scott; Do you prefer a specific type of moving average? Do you use settlement or last trade in your models?
38:50 – Question 3: Carl; Do you calculate ATR using the closing price (versus entry price)?
40:30 – Question 4: Nathan; How do you articulate the current volatility environment versus history?
50:00 – Performance recap
51:40 – More live event comments

20/10/2019 by Niels

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

Get a free copy of my latest book “The Many Flavors of Trend Following” here.

Send your questions to info@toptradersunplugged.com

Follow Niels, Jerry & Moritz on Twitter:

@TopTradersLive, @RJparkerjr09 and @MoritzSeibert

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.

Episode Summary

0:00 – Intro
1:05 – Macro recap from Niels
4:10 – Weekly review of returns
7:00- Top tweets
38:00 – Question 1: Jacob; How do you do actual executions (order types, manual, etc.)?
40:50 – Question 2: Jacob; When you get a fill, how do you set your stop?
42:40 – Question 3: Jacob; What happens if a stop is hit on the day of entry?
45:40- Question 4: Mannik; What sample size is sufficient for a backtest?
49:30 – Questions 5/6: Craig; Should TF investors be screened for patience? What personality traits are best for TF and the required patience?
57:40- Questions 7/8: Dimitri; How do you handle positions that haven’t moved in a long time? Does the potential for a large move increase the longer a price goes sideways?
1:03:20 – Performance recap

13/10/2019 by Niels

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

Get a free copy of my latest book “The Many Flavors of Trend Following” here.

Send your questions to info@toptradersunplugged.com

Follow Niels, Jerry & Moritz on Twitter:

@TopTradersLive, @RJparkerjr09 and @MoritzSeibert

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.

Episode Summary

0:00 Intro
1:15 Macro recap from Niels
8:15 Top tweets
45:45 Question 1: Gaetano; Is it reasonable to TF volatility/VIX futures?
50:00 Debate: Can TF make money in a rising rate environment?
1:01:20 Performance recap
1:03:30 Live event update 10/26/19-10/27/19; Special Guest: Denise Shull

07/10/2019 by Niels

You can download your free guide to Systematic Investing, and subscribe to our mailing list by visiting TopTradersUnplugged.com

Get a free copy of my latest book “The Many Flavors of Trend Following” here (only 1 space left).

Send your questions to info@toptradersunplugged.com

Follow Niels, Jerry & Moritz on Twitter:

@TopTradersLive, @RJparkerjr09 and @MoritzSeibert

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.

Episode Summary

0:00 Intro
1:05 Request for podcast reviews
1:30 Macro recap from Niels
4:00 Weekly review of returns
11:10 Top tweets
43:25 Live event update 10/26/19-10/27/19; Special Guest: Denise Shull
44:20 Question 1: Chris; What should an individual pay in fees (data, commissions, etc.)?
47:45 Question 2: Chris; Do you follow front month or highest open interest contracts/continuous contracts or the month you are trading?
54:30 Question 3: Jacob; Have you encountered extremely low frequency CTAs?
1:00:20 Question 4: Jacob; What is your opinion on optimizing using ideas (vs data) first?
1:03:50 Question 5: Jacob; How do you feel about TF meets value investing?
1:08:30 Question 6: Adrian; What does discipline mean to you and how do you stay disciplined?
1:15:00 Performance recap