How do you avoid overfitting, how loose is too loose in terms of loose pants and how should you approach sample sizes when designing your trading systems? What are complex adaptive systems, how do they apply to financial markets and why does regular math just not cut it? How does trend following differ from other strategies, what makes trend following so robust and what are the limitations for traditional statistics? Join us for this fascinating conversation with Richard Brennan.
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Episode TimeStamps:
01:04 - What has been on our radar recently?
03:08 - Industry performance update
08:21 - Q1, Adam: In terms of loose pants, how loose is too loose?
13:36 - Trading with different models
15:42 - Adam Q2: What is a reasonable sample size in real trade observations, to compare against backtest statistics?
18:23 - A deep dive into complex adaptive systems (CAS)
20:29 - The 5 properties of CAS
25:24 - Examples of non-linearty in financial markets
30:50 - Emerging properties in financial markets
33:59 - Self organization
36:33 - Adaption and evolution
40:10 - Feedback loops
43:11 - What does CAS and trend following have in common?
49:38 - The limitations of traditional statistics
01:01:14 - Summing it all up
01:04:48 - What's next?
Copyright © 2023 – CMC AG – All Rights Reserved
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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
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SI306: If Trend Following was an Olympic Sport... ft. Mark Rzepczynski
GM66: Trump Trade and the 3 Legged Stool ft. MacroAlf & Cem Karsan
SI305: Building A Hedge Fund Allocation ft. Alan Dunne
GM65: Why Fed Will Raise Rates Next Year ft. Adam Posen
SI304: Taking the Trend Following Temperature with Man AHL ft. Graham Robertson
OI09: The Key to Trend Following Success ft. Cole Wilcox
SI303: The Unstoppable Volpocalypse ft. Cem Karsan & Alan Dunne
GM64: Why the Economy is Vulnerable to Recession ft. Claudia Sahm
SI302: The Negative Crisis Beta and CTA's Hidden Market Timing Skills ft. Nick Baltas
GM63: War Without Rules ft. General Robert Spalding
SI301: The AI Hype within Investing...a Step Too Far? ft. Rob Carver
OI08: Trend Following...Austrian Style ft. Michael Neubauer & Joseph Waldstein from SMN
SI300: Finding the Optimal Trend Following Rules ft. Richard Brennan
IL27: Unlocking the Secrets of Great Communication ft. Charles Duhigg
SI299: Sharing the Trend Following Pie ft. Andrew Beer
GM62: How to Build a Future-Proof Portfolio ft. Bob Elliott
SI298: The Trend Following ETF Revolution ft. Katy Kaminski
GM61: The New Politics: Neoliberal Decline and Authoritarian Rise ft. Gary Gerstle
Si297: Trend Following as a Return Enhancement Overlay ft. Alan Dunne
IL26: How New Technologies Will Shape the Economy ft. Koen De Leus & Philippe Gijsels
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