SI63: Are stock pickers overrated?

Nov 24, 2019

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Is the concept of being a great stock picker overrated? Are Trend Following returns mean-reverting over time? Will Sharpe Ratios of Trend Following strategies permanently stay lower from now on? Is it becoming harder to be a successful discretionary macro trader? Should you use the same stop-loss for every position? We also give our thoughts on the process of adding a new market to your Trading Universe, ATR and how to apply it to your strategies, when a visit from the SEC can be taken as a compliment, why pain and suffering can sometimes be a necessary component of profitable Trend Following, Louis Bacon deciding to close down his funds, and much more.

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Episode TimeStamps:

00:00 – Intro

00:57 – Macro recap from Niels

01:55 – Weekly review of performance

08:22 – Top tweets

46:30 – Questions 1/2: Derek; How do you adapt Trend Following models for a constrained universe of markets? How do you educate fundamental Traders about quant investing?

53:31 – Questions 3/4/5: Jonathan; Does having a 5000 sample size backtest apply to each market in each system? Do you use out-of-sample testing? Do you optimize using multiple time-periods?

01:00:37 – Questions 6/7: Indrius; How do you use ATR? Do you take less risk per market as you trade more positions?

01:04:22 – Question 8/9: Brian; How many other Trend Following managers should you invest in? How would you seek out other managers to invest in?

01:12:13 – Question 10: Maurici; Do you use the same stop-loss for every position?

01:19:15 – Question 11: Michael; Why incur personnel costs if all you need is a computer to run your systems?

01:23:37 – Benchmark performance update

01:24:44 – Final thoughts; Is it becoming harder to be a discretionary macro trader?

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