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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0:00 – Intro
0:57 – Macro recap from Niels
1:55 – Weekly review of returns
8:22 – 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?
1:00:37 – Questions 6/7: Indrius; How do you use ATR? Do you take less risk per market as you trade more positions?
1:04:22 – Question 8/9: Brian; How many other Trend Following managers should you invest in? How would you seek out other managers to invest in?
1:12:13 – Question 10: Maurici; Do you use the same stop-loss for every position?
1:19:15 – Question 11: Michael; Why incur personnel costs if all you need is a computer to run your systems?
1:23:37 – Performance recap
1:24:44 – Final thoughts; Is it becoming harder to be a discretionary macro trader?