SI186: Crisis Alpha & My Trend Following Thesis ft. Richard Brennan

Apr 3, 2022

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Today, Rich and I discuss the Q1 Trend Following performance and how it turned out to be one of the best calendar quarters for the SG Trend and SG CTA indices. We also dive into my own "thesis" about trend following in a De-Globalized world and why I believe that we may be returning to the golden era of trend following, like in the 1970s, 80s and 90s. As usual we debated a few great questions from our community, relating to Volatility Targeting and how to manage your Stop-Loss. A lively episode for sure!

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In this episode, we discuss:

Interest Rates and the current Bear Market in Bonds
Our slighltly different definitions of the term "Crisis Alpha"
The concern's Rich has for the World, and what that means for Trend Following
The impact on Trend Following of a De-Globalization of the World
The difference between initial and trailling stops, and when to use them
What software to use to backtest your systems
Whether dynamically adjusting your position size during a trade is better or worse than keeping it static

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Episode TimeStamps:

00:00 – Intro

03:09 – Weekly recap from Niels

05:22 - Update on Rich's Battleship

15:35 - Crisis Alpha...yes but much more

21:40 - My Trend Following Thesis

37:24 - Q1, Andrew: Could you all define the use of a trailing vs initial stop in systems you use?

52:25 - Q2, Nicolas: Do you know any affordable back testing systems, other than Excel?

56:45 – Q3, Brian: If you Vol adjust your positions...when, if ever, do you re-establish your full position if volatility collapses?

01:21:26 – Industry Performance Update

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