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.
-----
EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool
-----
Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.
IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.
And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.
Learn more about the Trend Barometer here.
Send your questions to info@toptradersunplugged.com
And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.
Follow Rob on Twitter.
Follow Alan on LinkedIn.
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
Copyright © 2023 – CMC AG – All Rights Reserved
----
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
Privacy Policy
Disclaimer
GM39: The Secrets of a Natural Resource Speculator ft. Rick Rule
TTU142: The Contrarian ft. Roy Niederhoffer, President of R.G. Niederhoffer Capital Management
SI238: Why Not to Trend Follow ft. Rob Carver
GM38: Debt, Stagnation and Policy Responses ft. Barry Eichengreen
TTU141: The Alternative Trendfollower ft. Douglas Greenig, CEO of Florin Court
SI237: Trend Following During March Madness ft. Richard Brennan
IL15: Preparing for a De-Globalized World ft. Rana Foroohar
TTU140: Why Trend Following is Smart Diversification ft. Bruno Gmür, Founder of Quantica
SI236: New Opportunities in Volatility Trading ft. Cem Karsan
IL14: Is India Broken? - The Dangerous Equilibrium of Indian Society ft. Ashoka Mody
TTU139: The Benefits of Alternative Markets ft. Simon Judes, Co-CIO at Winton
SI235: Trend Following's Reaction to SVB Collapse ft. Mark Rzepczynski
GM37: SPR - The Federal Reserve of Oil ft. Rory Johnston
TTU138: Need for Speed in Trendfollowing ft. Matt Dorsten, Portfolio Manager at PIMCO
SI234: Trend Followers are minnows, not whales ft. Rob Carver
GM36: Galactic Macro, UFOs & Balloon Encounters ft. David Dorr
TTU137: A new approach to Entering Trends ft. David Gorton, CIO at DG Partners
SI233: The Market Impact of CTAs & Trend Followers ft. Alan Dunne
TTU136: Trend Following... C'est la vie ft. Philip Seager, Head of Absolute Return at Capital Fund Management
GM35: The Drivers of the Commodity Markets ft. Nicky Ferguson
Create your
podcast in
minutes
It is Free
U.S Property Podcast
Aligned Money Show
Dubai Property Podcast
The Ramsey Show
The Clark Howard Podcast