In partnership with:
CME Group

63 The Systematic Investor Series – November 23rd, 2019

Is the concept of being a great stock picker overrated?  Are Trend Following returns mean-reverting over time?  Will Sharpe Ratios of Trend Following strategies permanently stay lower from now on?  Is it becoming harder to be a successful discretionary macro trader?  Should you use the same stop-loss for every position? We also give our thoughts on the process of adding a new market to your Trading Universe, ATR and how to apply it to your strategies, when a visit from the SEC can be taken as a compliment, why pain and suffering can sometimes be a necessary component of profitable Trend Following, Louis Bacon deciding to close down his funds, and much more.

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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?

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