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26 The Systematic Investor Series – March 10th, 2019

Is it more profitable to be longer-term? When is Trend Following the wrong strategy to use?  Should you ‘ease’ into a trade, or go all in, and how should you adjust position size?  Other talking points include where to trade Single Stock Futures, how to include Options into a Trend Following strategy, as well as recent quotes from Stanley Druckenmiller about being greedy in the markets, and the quotes from Howard Marks on the psychology of the markets.

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Episode Summary

00:00 - Intro
01:35 - Weekly review
6:15 - Top tweets
29:35 - Question 1: Antonio; How do you determine if your Trend Following model is broken?
45:00 - Question 2: Seth; How does Jerry diversify his single stock portfolio?
47:20 - Question 3: Dave; Could you discuss specific details of your systems?
48:15 - Question 4/5/6: Carlos; How does Jerry trade single stock futures given liquidity? What is your opinion on using alternative data for position sizing/signal generation? What is your opinion on adjusting position sizes using momentum/pyramiding/etc.?
58:20 - Question 7: Walter; What exchange does Jerry use to trade single stock futures/where is the liquidity?
1:03:30 - Question 8: Brian; Do you use options strategies? If so would you discuss your strategies?
1:09:50 - Question 9: Glen; Please discuss your execution process once a system provides a signal.
1:15:00 - Question 10/11: Keith; If establishing a new system, do you put on all positions as of a specific date or sit in cash waiting for new entry signals? How do you adjust positions when new money comes in?
1:19:50 - Performance recap

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