TTU15: Model Decay & How Best to Handle It ft. Karsten Schroeder of Amplitude Capital – 1of2
Top Traders Unplugged
Comparing Indicators and Validity in Trend Following
Exploring the effectiveness of moving averages and price breakouts as trend following indicators, and their relevance in the short term space.
Through courage and vision, Karsten Schroeder co-founded Amplitude Capital as a pioneer in the CTA industry.
Why pioneers? Because they focused on short term trading.
In this episode of Top Traders Unplugged, Karsten and I discuss Amplitude Capital’s scientific approach to Amplitude Dynamic and Amplitude Klassik. These are the two short-term rule based trading programs that Karsten and his team run to invest billions of dollars on behalf on a small group of institutional investors.
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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
In This Episode, You’ll Learn:
- The founding story of Amplitude Capital
- About the motivation source for choosing short term trading
- The scientific processes guiding Amplitude’s perception of the markets
- How Amplitude manages their in-house and outsourced business processes
- Where the point of optimal capital under management is for Amplitude Capital
- A bird’s eye view of their historical track record and their reaction to the market shift in 2009
- On the effects of quantitative easing and other government interventions in market health
- Model decay and how to best deal with it
- The design structure of Amplitude Capital’s Programs
- Market dynamics and where the Amplitude programs trade
- Differing philosophies: market specific models vs. models for all markets
- Comparing mean reversion models (counter trend models) vs. trend following models
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