This week, we discuss whether commodities are more risky to trade than equities, if a stocks-only Trend Following strategy can be profitable in the long run, if a deep drawdown is worse than a long drawdown, and the importance of over-estimating any possible drawdowns implied by a backtest. Questions answered include: should all Trend Following funds be required to provide Crisis Alpha? Is there ever a good time to override your system and trade outside of the rules? Should you always execute trades from your signals immediately, or wait for an extra confirmation sometimes? Is there an edge to be gained from seeking the perfect entry into a long-term trade? How many positions should you have open at any one time? What can be considered a good amount of leverage?
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Episode TimeStamps:
00:00 – Request for podcast reviews from listeners
02:15 – Intro/Macro recap from Niels
07:50 – Weekly review of performance
12:50 – Top tweets
58:50 – Questions 1/2/3: James; Why don’t you like the original Turtle system? What systems do you prefer? Regarding entries/exits, do you prefer executing intraday, on close, etc.?
01:06:20 – Question 4: James; What is the average leverage in your portfolio and how many positions do you hold at any one time?
01:12:30 – Benchmark performance update
01:14:00 – Discussion of Salem Abraham decision to revamp his business away from a classic CTA Trend Following shop
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