SI32: How accurately can we predict future returns? and can trading with systems keep you happy?

Published: April 22, 2019, 2:01 a.m.

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Are CTAs giving the wrong message by charging low performance fees? Is there a perfect amount of AUM to aim for?  Can Systematic Trading keep you happy?  How accurately can we predict future returns?  We discuss whether Trend Following  is easy enough to do at home, or if you should do it through a reputable fund instead.  What sort of things can be found in a \\u2018Research Graveyard\\u2019?  Should you use Stop Losses, and if so, how and where should you place them?  We answer the question of what makes a strategy robust, as well as how to avoid over-complicating a Trading System.

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Episode TimeStamps:

00:00 \\u2013 Intro

02:00 \\u2013 Weekly review of performance

05:55 \\u2013 Top tweets

50:00 \\u2013 Announcement: Next week\\u2019s guest Wayne Himelsein

50:50 \\u2013 Question 1: George; What are the operational realities of running a TF business?

56:55 \\u2013 Question 2+: Craig; Please discuss the research that didn\\u2019t become part of the system.

01:02:20 \\u2013 Question 3+: Carl; Series of questions about stop loss mechanics (initial, ATR, trailing, etc.)

01:10:15 \\u2013 Question 4+: Michael; What are your thoughts on variable count in robust systems? Do you tailor models to specific markets/sectors?

01:24:40 \\u2013 Question 5: Uncle Mike; What works best for stops?

01:28:25 \\u2013 Benchmark performance update

Copyright \\xa9 2023 \\u2013 CMC AG \\u2013 All Rights Reserved

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