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!
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Channel Breakouts Filter Noise
- Using Donchian and Keltner channel breakouts helps filter out noise for trend following entries and exits.
- The 20-day breakout for entries and 40-day breakout for exits balance capturing trends with reducing turnover.
Volatility-Based Position Sizing
- Use volatility-based position sizing to adjust total exposure instead of limiting position counts.
- This allows greater leverage when more sectors show strong trends and less when fewer do.
ETF Due Diligence Tips
- Always check ETF trading volume and liquidity before including them to reduce transaction costs.
- Evaluate due diligence factors like expense ratios and methodology to ensure portfolio fit.