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.
-----
EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool
-----
Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.
IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.
And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.
Learn more about the Trend Barometer here.
Send your questions to info@toptradersunplugged.com
And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.
Follow Rob on Twitter.
Follow Alan on LinkedIn.
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
Copyright © 2023 – CMC AG – All Rights Reserved
----
PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:
1. eBooks that cover key topics that you need to know about
In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here
2. Daily Trend Barometer and Market Score
One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here
3. Other Resources that can help you
And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here
Privacy Policy
Disclaimer
SI271: Can Slippage be a Source of Alpha? ft. Mark Rzepczynski
GM53: The Misdiagnosis of the Global Economy ft. Dario Perkins
SI270: CPI, Trend Reversals & Dalio on US-China War ft. Alan Dunne
OI02: Are QI Strategies Sustainable? ft. Maia Mathieson & Faheem Osman
SI269: Is the Big Bond Short Over? ft. Katy Kaminski
GM52: The Re-Emergence of the Bond Vigilantes ft. Ed Yardeni
SI268: Are Investors Wrongly Positioned for the New World Order? ft. Cem Karsan
OI1: Cracking the Code of Commodity Spread Trading ft. Mauritz van den Worm
SI267: A Masterclass in Absolute vs Cross Sectional Momentum ft. Richard Brennan
ALO17: Inflation, Volatility, and AI: Ruffer's Bold Market Insights ft. Matt Smith
GAL6: UAPs - What Are We Really Dealing With? ft. Larry Hancock
SI265: Deep Dive Into Non-Trend Complementary Strategies ft. Nick Baltas
ALO16: Beyond 60-40... A Bold Approach to Asset Allocation ft. Troy Gayeski
SI264: The Evolution of the Trend Following Industry ft. Andrew Beer & Alan Dunne
GM51: Allocating Assets when Goldilocks Inverse ft. Christian Mueller-Glissmann
SI263: Changes aren't permanent, but change is ft. Mark Rzepczynski
GM50: A Century of Disorder ft. Helen Thompson
SI262: Opportunities in FX fueled by the FED ft. Alan Dunne
IL21: How China Manages Their FX Reserves ft. Zongyuan Zoe Liu
Create your
podcast in
minutes
It is Free
The emPOWERed Half Hour
U.S Property Podcast
Aligned Money Show
Dubai Property Podcast
The Ramsey Show
The Clark Howard Podcast