SI266: Constructing and Assessing Trading Strategies ft. Rob Carver

2023-10-21

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Rob Carver is back this week speaking with Alan Dunne about constructing and assessing trend following and non-trend following trading strategies. We delve into mean reversion strategies and over what time frames they might be effective and what are the pitfalls in trying to combine trend following with mean reversion. We also discuss the theory and reality of the benefits of faster trend following, Rob’s experience of this and his approach avoiding over-fitting when constructing trading strategies. We wrap up with some thoughts on AHL’s Trend ETF and how a strategy trading 20 markets might perform versus a more diversified program.

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Episode TimeStamps:

02:00 - Update on recent events?

09:13 - Industry performance update

09:38 - Why is it going so well for Rob?

12:15 - The ongoing debate on term premia

17:40 - Returns in bonds versus equities

21:13 - Q1, Andrej: What's your take on systematic strategies complimenting trend?

35:22 - Q2, Harry: Can you speak about the lure of high frequency strategies for traders with modest capital?

40:46 - The challenges of fast trend following

42:15 - Trading with different account sizes

45:07 - Q3, Ravi: Techniques to prevent overfitting of a strategy

51:45 - Using boot strapping

52:42 - Q4.1, Tommy: What's your take on the AHL trend ETF?

59:20 - Q4.2, Tommy: Which scenarios do you expect equities and trend to be highly correlated?

01:01:12 - Thanks for listening

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