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 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

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
01:28 – What happened this week?
08:37 – Industry performance update
10:30 – Discussing an article from EQD
18:49 – Going into unknown territory
23:55 – Is liquidity becoming a problem?
35:26 – Volatility strategies vs. Trend Following
43:15 – The strength of the U.S. Dollar
51:26 – Alternative markets…could liquidity be drying out? 
56:35 – What happens when inflation is so high?
01:01:48 – 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:

00:00 – Intro
01:57 – This week in Trend Following?
06:38 – Industry performance update
08:34 – A bit of background to Andrew and his work
15:12 – The mechanics of their replication strategy
20:20 – Getting correlation right…is that enough?
34:25 – What about flat periods?
41:19 – What is the hardest pard of what you do?
44:29 – Q1, Brian: Is there any tax advantages to your strategy?
46:01 – Q2, Jerry: What does your investor base look like?
53:19 – Are cryptocurrencies part of your universe?
57:16 – Q3, Jerry: How is the price of the ETF made up?
59:24 – Q4, Mike: Will capacity become an issue at a certain level of AUM like it does for traditional CTA strategies?
01:04:17 – Q5: Thoughts on CTAs being an essential part of a portfolio?
01:20:39 – Crisis Alpha
01:30:00 – Bringing value to investors
01:32:09 – Can you replicate a single manager?
01:44:14 – Will the current inflows mean that the CTA industry will reach capacity?
01:48:22 – 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
02:15 – What happened this week?
07:22 – Strongest year for Trend Following?
14:37 – Industry performance update
18:12 – Q1, Josh: Tips for using ATR-based stop loss
29:18 – Methods for identifying trends
47:39 – Fishing for trends
53:37 – Short term vs. long term look-back periods
57:47 – Are all investors trend followers?
01:09:58 – Thanks for listening

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