TTU15: Model Decay & How Best to Handle It ft. Karsten Schroeder of Amplitude Capital – 1of2
Top Traders Unplugged
Introduction
Karsten Schuerta discusses the unique philosophy and culture of Amplitude Capital, one of the most successful short-term CTA's in the world.
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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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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