SI149: Model Anxiety & Algorithm Aversion ft. Mark Rzepczynski

Published: July 18, 2021, midnight

Mark Rzepczynski joins us this week to discuss \u2018algorithm aversion\u2019 and the science of how \u2018model anxiety\u2019 shows investors to be naturally wary of rules-based systems. We also discuss how to evaluate momentum data, how a busy week for market news can still be a quiet week for Trend Followers, the benefits of moving away from \u2018peak complexity\u2019 as soon as possible, why having too many filters can expose a trader to large opportunity costs, the optimal percentage amount of risk per trade, as well as portfolio construction versus signal generation and which is more important.

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In this episode, we discuss:

  • How behavioural finance leaves investors under-allocated to Trend Following strategies
  • How to perceive momentum data
  • Why the steady flow of market news often has little value for Trend Followers
  • Embracing simplicity
  • The need to avoid too many filters in your system
  • How much should be risked per trade

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Episode TimeStamps:

00:00 \u2013 Intro

01:49 \u2013 A huge thank you to listeners of the show for leaving your 5-star reviews on iTunes

03:02 \u2013 Macro recap from Niels

04:48 \u2013 Weekly review of performance

11:59  \u2013 Q1; James: What are your views on momentum indicators diverging against price action?

24:56  \u2013 Q2; Frank: What is your view on the relationship between the stop and the look-back period?

28:52...