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70 The Systematic Investor Series ft Andreas Clenow (Part One) – January 13th, 2020

In the first of a 2-part special with Andreas Clenow, we discuss why combining Models might improve your Risk-Adjusted Returns in the long run, whether all Trend Following signals are more or less the same, reliable ways to measure risk, and some thoughts on Trend Following in the Stock Market.  Questions we attempt to answer this week include: How do you trade mean-reverting strategies? Do you use Volatility-Targeting as part of a Trend Following strategy? Why has Andreas mentioned in the past that Trend Following doesn’t work on stocks? Are there less big Trends nowadays? Do you prefer to use the same parameter combinations across all markets?

If any listeners would like to leave us a voicemail message to play on the show, you can do so here.

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 & Andreas on Twitter:

@TopTradersLive, @RJparkerjr09, @MoritzSeibert & @Clenow

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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

 

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