SI210: Trend Following Q & A ft. Rob Carver
Top Traders Unplugged
The Systematic Investor Podcast
Next week we'll be joined by Mark for another fun and insightful conversation. If you have questions about systematic investing, send us an email with the word question in the subject line to info at toptraderzunplug.com. Remember that there's a significant risk of financial loss with all investment strategies.
Rob Carver returns after his extended holiday and kicks off by taking a nostalgic look back to 1985 as the British Pounds this week hit the lowest level since that year, to reflect on how markets tend to go in cycles. We also address dynamic optimisation, whether it contributes to make more markets "tradable" and the use of "non-tradable" markets, how Rob uses correlation and clustering for his classification approach and his strategy allocating to Trend Following. Additionally, we discuss techniques for Trend Following on single stocks and determining distances in a continuous MA crossover system, strategies to increase the capacity of a Trend Following program and running multiple different systems together, and much more.
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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
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Episode TimeStamps:
00:00 - Intro
03:52 - Key takeaways from the week?
15:35 - What does the future hold for interest rates and inflation?
22:52 - Industry performance update
25:52 - Q1, Joakim: Does dynamic optimisation in itself make more markets tradable?
32:21 - Q1, Follow-up: About adding "non-tradable" markets
35:39 - Q2, Kristen: Futures markets and Rob’s classification approach
43:15 - Q3, Kristoffer: How to treat CTAs? And deciding between allocating to investment-grade corporate bonds or high yield bonds
49:46 - Q4, Elie: Book recommendations for relevant statistical concepts + why not build a trend following portfolio of single stocks which are optimized for low correlation?
57:15 - Q4, Follow-up: About determining distance in a continuous MA crossover system
01:02:11: - Q5, Douggie: What is the capacity of a strategy?
01:09:04 - Q6, Adam: About running multiple different systems together and splitting risk
01:13:17 - Q7, Michael: What’s behind Rob’s low trailing vol?
01:14:16 - Q8, “Toby” (Rob): Can you (Rob) explain your new book?
01:21:39 - Thanks for listening
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