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This week, we discuss the current state of the Bond market, how the larger, commercial institutions affect overall CTA Trend Following performance, how to deal with the fluctuations in currencies when performing backtests, and we also give our thoughts on various Trading exit strategies. Questions answered this week include: does the majority of CTAs get out of their equity positions when the S&P500 falls below its 200-day moving average?  Should you avoid trading markets that perform badly in backtests?  Can a system that is working too perfectly be a bad sign? What are the implications for trading every market in the same way?  What is the benchmark Sharpe Ratio for Trend Following strategies?  Is there a limit to portfolio diversification?

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Episode TimeStamps:

00:00 \\u2013 Intro

01:45 \\u2013 Macro recap from Niels

03:25 \\u2013 Weekly review of performance

12:20 \\u2013 Top tweets

34:40 \\u2013 Question 1, Sam: What is the benchmark TF Sharpe ratio?

43:00 \\u2013 Question 2, Sam: Can there be too much diversification?

53:15 \\u2013 Question 3, Walter: Please discuss how you deal with foreign currency denominated futures.

58:10 \\u2013 Question 4, Walter: Since most stocks don\\u2019t beat the index or T-bills, shouldn\\u2019t shorting be easy (versus the conventional wisdom shorting is hard)?

01:03:00 \\u2013 Questions 5 & 6, Jeff: What are the risks of using larger (vs smaller) ATR multiples for exits? What kind of exits does DUNN use?

01:08:40 \\u2013 Benchmark performance update

01:09:40 \\u2013 Live event update 10/26/19-10/27/19

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