Top Traders Unplugged

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.

01:01:56

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Episode guests

Rob Carver

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Episode notes

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Quick takeaways

Increasing allocation to trend following for diversification and optimal risk-adjusted returns.

Considering undervalued UK stock market for relative strength amidst US equity uncertainty.

Importance of portfolio reallocation and strategic adjustments for maximizing performance and diversification.

Deep dives

Reflections on Past Experience and Increased Allocation to CTA

After years of successfully trading my own futures account, gaining trust in my process, code, and operational side, I decided to increase my allocation to trend following strategies. Despite a cash ceiling value, I realized that maximizing my Sharpe ratio should be the priority. This led me to reevaluate my portfolio and make the decision to allocate around 35% to trend following, as it offers diversification beyond just equities and bonds.

Introduction

5min

Exploration of the Quirks of the London Metal Exchange

1min

Insights on Market Correlations and Trend-Following Performance

5min

The Transition from MATLAB to Python in the Industry

2min

Exploring Trend Following in Cryptocurrencies and Commodities

33min

Managing Portfolio Concentration in Cocoa Futures

13min

Wrap-up and Teaser for Next Episode

2min

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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1. eBooks that cover key topics that you need to know about

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2. Daily Trend Barometer and Market Score

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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

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