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Bill Gebhardt - Replicating Discretionary Commodity Trading Systematically (S7E9)

Flirting with Models

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Balancing Timeframes for Return and Risk Management

Analyzing contribution analysis reveals that long-term returns are mainly generated by trend positioning, while short-term risk management involves readjustment based on short-term trends. Balancing signals involves considering the trade-off between return opportunity and risk management by timeframe. Longer timeframes yield higher returns per unit of risk, attributing success to their trendiness. However, short-term timeframes offer insights into counter trend moves within longer trends, indicating the importance of monitoring shorter timeframes despite their lower returns per unit of risk.

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