Top Traders Unplugged SI18: How to know if you are over-fitting your model parameters
Welcome to The Systematic Investor series. It’s a great privilege for me to invite you to a behind the scenes conversation between some of my favorite systematic investors namely Jerry Parker and Moritz Seibert. We get on a “call” each week to discuss the events that took place through the lens of a Systematic Investor and how the trading strategies we work with are reacting. It’s a raw and honest exploration and we hope you will join and be part of…not least by sending us questions that we can discuss.
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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
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Episode TimeStamps:
00:00 – Intro
02:25 – Weekly recap of performance
08:40 – Top tweets
24:05 – Question 1: CR Capital; Thoughts on Winton retreating from TF
30:55 – Question 2: Bill; Do you add to positions as the trend progresses
34:35 – Question 3: George; Why don’t you include short-term TF systems in a robust TF system
44:40 – Question 4: Nick; How would I know if I’m curve fitting my systems
53:10 – Question 5: Richard; Several questions about: historical data distributions; long-term trend following efficacy and related concerns
01:03:00 – Benchmark performance update
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PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:
1. eBooks that cover key topics that you need to know about
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2. Daily Trend Barometer and Market Score
One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here
3. Other Resources that can help you
And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here