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Top Traders Unplugged
SI300: Finding the Optimal Trend Following Rules ft. Richard Brennan
Jun 15, 2024
Expert in trend following strategies, Richard Brennan, discusses finding optimal trend rules, market regimes, Markov models, and AI's impact on trading competitiveness. Topics include industry performance updates, using ATR for position sizing, optimizing rules in different market regimes, skepticism in fund performance, and exploring future trend episodes.
57:19
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Quick takeaways
- Optimize trend following with Markov processes for market regimes.
- Tailor portfolio adjustments based on market states for enhanced performance.
Deep dives
Markov Process and Optimal Trend Following Models
Markov processes are utilized to optimize trend following portfolios, determining the best models for market regimes. An in-depth analysis of simple moving average and exponential moving average models reveals varying optimal settings. The mathematical formulas derived through Markov processes offer predictive insights for adjusting models and allocations based on market transitions and states. These processes highlight the importance of adapting trend following strategies to evolving market conditions for enhanced performance.
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Discover
highlights
Listen to the best highlights from the podcasts you love and dive into the full episode