Exploring Volatility-Based Position Sizing in Trading Strategies

Gary Antonacci is back on the show after having released a new research paper with Carlo Zarattini from Concretum Research which constitutes a 100-year study on trend following US sectors. The strategy deployed in the paper has an impressive long-term track record, averaging an annual return of 18.2% with 12.6% volatility and a Sharpe Ratio of 1.39. Using Keltner and Donchian channels for entries & edits, volatility-based position sizing and a universe of 48 sectors, the simple model is surprisingly robust and a testament to the enduring power of trend following.

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