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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ALO10: How to Manage $50bn ft. Jason Morrow
SI207: Trend Following: The Perfect Portfolio? ft. Jerry Parker
GM22: Investing through a Fourth Turning ft. Niels Kaastrup-Larsen & Cem Karsan
SI206: Trend Following is a Lazy Man's Strategy ft. Mark Rzepczynski
GM21: The Inflation Regime and the Big Macro Picture ft. Darius Dale
SI205: Trend Following...What Really Matters ft. Richard Brennan
IL06: The History of Interest & the Next Devastating Crisis ft. Edward Chancellor
SI204: Trend Following & A Cocktail of Macro Factors ft. Alan Dunne
AL09: FED Funds may hit 8% ft. Bilal Hafeez
SI203: A new way of doing Trend Following ft. Jerry Parker
IL05: The Road to Economic Stability ft. Andrew Smithers
SI202: Trend Following in a Binary World ft. Mark Rzepczynski
IL04: Inflation & The Great Demographic Reversal ft. Manoj Pradhan
SI201: Trend Followers Positioned for Recession ft. Richard Brennan
IL03: Finding Optimism in Times of Crises ft. Larry Siegel
SI200: Stacking Returns into a Tightning Cycle ft. Alan Dunne
IL02: Cold War & US Relations with China ft. James A. Fok
SI199: Achieving Highest CAGR through Optimal Leverage ft. Rob Carver
IL01: Turning Water Into Wine with Diversification ft. Antti Ilmanen
SI198: Trend Following wearing Loose Pants ft. Jerry Parker
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