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Episode Summary
0:00 - Intro
1:24 - Macro recap from Niels
2:30 - Weekly review of returns
5:36 - Introduction to special guest, Andreas Clenow. Questions for Andreas, to follow.
14:35 - Moritz; Question One: Are you running any non-Trend Following, Systematic strategies?
16:09 - Moritz; Question Two: How do you Trade mean-reverting, negative-skew strategies?
20:41 - Jerry; Question One: Why do you say that Risk Per Trade is an unreliable indicator of risk?
28:00 - Jerry; Question Two: Do you use Vol-Targeting as a part of a Trend Following system?
31:18 - Jerry; Question Three: You have mentioned that Trend Following doesn’t work on stocks, what was the reasoning behind this?
40:59 - Niels; Question One: Do you consider all Trend Following signals as, essentially, the same thing?
44:13 - Niels; Question Two: Has the model featured in your 2011 book continued to do well over the last decade?
50:38 - Moritz; Question Three: How do you decide which markets you want to trade in a diversified Trend Following system, which is more than just stocks-only?
55:36 - Jerry; Question Four: Why not use Trend Following on stocks?
59:53 - Jerry; Question Five: Do you believe there is a lack of big trends in today’s markets?
1:05:31 - Niels; Question Three: Do you prefer to always keep the same parameter combinations across all markets?
1:09:54 - Niels; Question Four: Would you remove markets from your Trading Universe that consistently lose money, or are you of the thought that you don’t know what the future holds?
1:11:38 - Niels; Question Five: What’s your preferred minimum amount of lookback period for a backtest, and do you weight recent data as more important than previous data?
1:20:47 - Jerry; Question Six: Would you recommend to CTAs today to use a 40-year sample size for backtesting, or the last 10 or so years because it’s more relevant?
1:17:09 - Performance recap
