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.
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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
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2. Daily Trend Barometer and Market Score
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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
GM20: Bitcoin & The Great Power Shift ft. Nathaniel Whittemore
SI197: Why Trend Following Works...Especially Now ft. Mark Rzepczynski
GM19: Brace Yourself for Dramatic Market Moves ft. Peter Atwater
SI196: Where Next for Trend Following? ft. Rob Carver
GM18: Boomers, Tax & Deflation ft. Alfonso Peccatiello & Andreas Steno Larsen
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