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?
(**Please note that there was a technical issue with Jerry’s audio this week, and therefore he is only on the show for the first 20 minutes)
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0:00 – Intro/Macro recap from Niels
2:45 – Weekly review of returns
11:30 – Top tweets
AQR Paper Reference: Quant Cassandra
20:30 – Question 1: James; Where can one find more information on stop losses/risk mgmt?
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
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?
Article Reference: Wes Gray- Trend Following A Decade of Underperformance & The Epitome of No Pain, No Gain
51:15 – Question 5: Sam; What made Jerry decide to shift to longer-term trading?
55:20 – Performance recap
56:30 – Live event update 10/26/19-10/27/19