SI292: Is Cocoa becoming Too Hot for Trend Followers? ft. Rob Carver

Apr 20, 2024

Rob Carver, expert in trend following strategies, discusses the use of MatLab, trend following in crypto, seasonality and relative value strategies. He shares insights on portfolio allocation, the impact of cocoa price surge on trend following, and the importance of risk management in asset allocation.

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ADVICE

Backtesting Tools

Consider Python over MATLAB for backtesting due to its open-source nature.
Python offers wider developer availability and avoids per-core licensing fees.

INSIGHT

Trend Following in Crypto

Trend following in crypto works well due to underlying asset trends.
It's too early to draw significant conclusions about crypto's trend following efficacy.

ADVICE

Seasonality Considerations

Seasonality can be a spurious pattern.
Be cautious when using it due to potential overfitting and limited statistical significance.

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Today, Rob Carver joins me to answer questions about MatLab as a backtesting tool, why you should be careful to apply trend following in crypto and what Rob think about seasonality and relative value as strategies. We also dive into why Rob has increased his allocation to trend following and his thought process when building portfolios, how the surging price of cocoa has impacted the trend following industry and much more.

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Episode TimeStamps:

01:05 - What has been on our radar recently?

06:15 - Industry performance update

09:54 - Q1, Paul: Where can I learn MatLab?

13:38 - Q2, Byleth: What is Rob's experience with trend in crypto?

20:41 - Q3, Tauras: What are Rob's thoughts on seasonality and relative value as strategies?

26:23 - Are strategies like seasonality convergent?

27:14 - Rob's thoughts on relative value as a strategy

32:00 - Shock! Horror! I've increased my CTA allocation

41:07 - Rob's thought process on portfolio allocation

46:19 - Vol scaling with a nice cup of hot cocoa

57:43 - Path-dependence vs. non-path dependence

59:53 - Final thoughts and a cliff hanger

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