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SI283: How to Beat the Benchmarks ft. Richard Brennan
Top Traders Unplugged
System Diversification in Trend Following Strategies
The chapter explores the benefits of applying multiple trend following systems to a single market, aiming to reduce volatility and capitalize on uncertainty. By utilizing ensembles of uniquely configured systems with different entry, exit, and stop mechanisms, the goal is to create uncorrelated return streams for improved performance. It emphasizes the importance of system ensembles and diversification to avoid biases, adapt to market scenarios, reduce curve fitting, and enhance trade outlier capture.
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