Top Traders Unplugged SI43: Cliff Asness on the difficulty on sticking to a strategy through volatile periods
In this episode, we discuss the recent article from AQR Capital’s Cliff Asness on the difficulty of sticking to a strategy through volatile periods, why we may never know if a particular system is broken, the differences between different Trading timeframes, and we give an update on the upcoming live event in New York in October. We also answer some questions such as: Is there a ‘Holy Grail’ of Stop Losses? What is a good way to backtest a Trading system? Is there a point where too much Diversification begins to negatively affect the return profile in a portfolio? What are the possible causes that would move a person to Trade a longer timeframe?
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Episode TimeStamps:
00:00 – Intro/Macro recap from Niels
02:45 – Weekly review of performance
11:30 – Top tweets
20:30 – Question 1: James; Where can one find more information on stop losses/risk mgmt?
28:00 – Question 2: Brian; What software do you recommend for backtesting?
31:50 – Question 3: Paul; Discussion of the multiple facets of diversification
38:00 – Question 4: James; Can there be too much diversification?
51:15 – Question 5: Sam; What made Jerry decide to shift to longer-term trading?
55:20 – Benchmark performance update
56:30 – Live event update
Other resources discussed:
AQR Paper Reference: Quant Cassandra
Article Reference: Wes Gray- Trend Following A Decade of Underperformance & The Epitome of No Pain, No Gain
Basso Research: How This Random Entry Method Beat The Market
Book 1: Van Tharp’s Definitive Guide to Position Sizing Strategies
Book 2: Van Tharp’s Trade Your Way to Financial Freedom
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