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?
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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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IL25: Any Happy Returns... the Next Super Cycle? ft. Peter Oppenheimer
SI291: Trend Following...What should it mean to Investors? ft. Richard Brennan
TTU146: The value of Unpredictable Alpha ft. Anthony Todd
SI290: Honey, I Shrunk the Trend Following ft. Andrew Beer
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OI07: The Evolution of Short-Term Trading ft. Tony Kaiser
SI288: Why Investors are Under-Allocating to Trend Following? ft. Alan Dunne
OI6: A Fundamental Approach to Commodities ft. Ricardo Leiman & Pedro Marion
SI287: No Pain, No Gain ft. Katy Kaminski
GM58: Electric Dreams and Commodity Market Realities ft. Tor Svelland
SI286: Profiting from Different Investment Regimes? ft. Rob Carver
IL24: Our Chance to Build a Sustainable Future ft. Hannah Ritchie
SI285: Elections Ahead & What this Mean for Investors ft. Cem Karsan
ALO21: How to Run a Multi-Billion Dollar Sovereign Fund ft. Peter Madsen
SI284: Choosing Your Trend Following Battles ft. Nick Baltas
OI05: Is Trading Fewer Markets Actually Better? ft. Richard Liddle & Gareth Abbot
SI283: How to Beat the Benchmarks ft. Richard Brennan
GM57: Navigating the Next Decade ft. Kiril Sokoloff
SI282: Rethinking Bonds: the Changing Role of Fixed Income ft. Andrew Beer
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