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The Algorithmic Advantage
026 - Gary Antonacci - New Models & Research Updates
Sep 13, 2024
Gary Antonacci, a researcher renowned for his trend-following expertise, and Carlo Zarattini from Concretum Research, dive deep into a groundbreaking 100-year study. They discuss the impressive 18.2% annual return achieved through innovative strategies like volatility-based position sizing and channel breakouts. The conversation also touches on the importance of long-term data for refining trading decisions, the challenges of integrating mean reversion strategies, and how psychological factors influence investor behavior. A rich exploration of trading dynamics awaits!
01:10:32
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Quick takeaways
- The research paper highlights a powerful trend-following strategy averaging 18.2% annual return with a Sharpe Ratio of 1.39, showcasing long-term effectiveness.
- Incorporating a variety of trend factors, including absolute and time series momentum, allows traders to optimize strategies across diverse market conditions.
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Complementary Markets and Models
Having complementary markets and models is essential for successful systematic trading. The podcast discusses the importance of incorporating various trend factors beyond the dominant channel breakout approach, emphasizing a holistic view of market behaviors. This includes analyzing absolute momentum, time series momentum, and moving averages as foundational components. Such integration allows traders to better navigate different market conditions and capitalize on diverse opportunities.
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Discover
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