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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VOL10: Why We All Need Volatility ft. Cem Karsan
SI177: The Value of Price ft. Mark Rzepczynski
VOL09: The Magical Properties of Money ft. David Orrell
SI176: The Origin of Outliers ft. Richard Brennan
VOL08: Adaptation To Change ft. Jean-Philippe Bouchaud
SI175: A Winning Approach to Risk ft. Rob Carver
VOL07: Participate & Protect ft. Dave Dredge
SI174: The Future of Trend Following ft. Alan Dunne
VOL06: Finding True Value in the World of Volatility ft. Benn Eifert
SI173: ‘Trend Following + Nothing’ Part Two ft. Jerry, Moritz, Rob, Mark & Rich
TTU119: The Secret to becoming Richer, Wiser, Happier ft. William Green
SI172: ‘Trend Following + Nothing’ Part One ft. Jerry, Moritz, Rob, Mark & Rich
TTU118: TRILLIONS...The Passive Revolution ft. Robin Wigglesworth
SI171: Machine Learning - Pros & Cons ft. Hari Krishnan
SI170: 'Don’t Try This At Home' ft. Rob Carver
TTU117: Strategic Risk Management ft. Cam Harvey & Rob Carver
SI169: Buying the Dip ft. Richard Brennan
TTU116: In Pursuit of the Perfect Portfolio ft. Steve Foerster
SI168: The Trading Secrets of Trend Followers ft. Mark Rzepczynski
VOL05: Maintaining Liquidity & Cash Efficiency ft. Zed Francis
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