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.
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ANECDOTE

Hypothetical Investment

  • Niels asks Richard Brennan how he would invest a hypothetical $56 billion paycheck.
  • Richard replies that he would invest it all in trend following.
ADVICE

Managing CFD Costs

  • Monitor cash CFD costs like broker spreads, slippage, and swap costs.
  • Include these costs in your backtesting to assess their impact on trend-following models.
ADVICE

Position Sizing and Price Changes

  • Don't worry about changing position sizes due to price changes in long-term backtests.
  • Maintain consistent risk per trade, adjusting position size based on ATR and price.
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