SI10: How to set your Stop-Loss and Size your Positions?

Nov 17, 2018

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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

00:45 – Weekly review of performance

09:15 – Top tweets

14:20 – Paper from Jim O’Shaughnessy from 1987

29:50 – Question 1: Andrew; How do you get the TF message across to advisors?

39:40 – Question 2: George; Please discuss position sizing.

39:40 – Question 3: George; Please discuss how far stops should be from entry (5%, etc.)

39:40 – Question 4: George; Do you think the future is a hybrid of TF and discretionary?

52:10 – Question 5; Francois; Long question about correlations

57:15 – Benchmark performance update

58:00 – Additional discussions of systems trading

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