Ep. 848: Welcome to Thunderdome with Michael Covel on Trend Following Radio
Michael Covel's Trend Following
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The Problem With Systematic Trading
I would be surprised if any of the large European CTEs are talking about how they intervene and what they do. I often say to people who are maybe pitching me with systems that are a model that they then put a discretionary overlay on, I say, why don't you just run two books? It's so difficult to do that for something as simple as an asset. The idea that you can do it for something as complex as a model running on 120 different assets with various risk weighting and cost control measures on top of it seems to need to be unlikely.
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