TTU15: Model Decay & How Best to Handle It ft. Karsten Schroeder of Amplitude Capital – 1of2

This week, we touch on the difference a year makes, how good position sizing can reduce anxiety, the recent article from AQR by Cliff Asness, why a meaningful allocation to Trend Following might be considered a must for any portfolio, the psychology of prediction, and some of the drawbacks of Trading from chart patterns. Questions we cover this week include: Would CTAs want to publish their returns to investors less frequently? Does history always ‘rhyme’? Is the Fibonacci sequence a reliable indicator? How do you differentiate Trend Following from a typical Long Volatility strategy?-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.Learn more about the Trend Barometer here.Send your questions to info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Episode TimeStamps:00:00 – Intro01:37 – Macro recap from Niels03:10 – Weekly review of performance11:55 – Top tweets (starting with tweet about recent Cliff Asness article from AQR)50:48 – Announcement of future podcast guest, Andreas Clenow, in January 202053:47 – Question 1: Mike; How would you differentiate Trend Following from a typical Long-Volatility strategy?57:50 – Question 2 Drew; Does the strategy of buying into a Trend Following fund during its drawdowns count as a form of Value Investing, and therefore, hypocritical to Trend Following philosophy?01:03:37 – Benchmark performance updateCopyright © 2025 – CMC AG – All Rights Reserved----PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:1. eBooks that cover key topics that you need to know about...

23 Joulu 20191h 6min

In this week’s episode, find out why investing in a strategy during a drawdown can be profitable in the long-run, why risk-adjusted performance is more important than tracking against an index, why price is a better guide than expert opinion, if there is a time when you shouldn’t attempt to have uncorrelated securities in your portfolio, and the connections between Trading, statistics, & sports.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.Learn more about the Trend Barometer here.Send your questions to info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Episode TimeStamps:00:00 – Intro01:21 – Macro recap from Niels02:57 – Weekly review of performance06:12 – Top tweets50:48 – Announcement of podcast guest, Andreas Clenow, in January 202051:23 – Question 1: Drew; Should you enter a breakout trade based on an intra-day signal or end of day signal?56:26 – Benchmark performance updateCopyright © 2025 – CMC AG – All Rights Reserved----PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:1. eBooks that cover key topics that you need to know about In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here2. Daily Trend Barometer and Market Score One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good...

15 Joulu 201958min

This week, we discuss how doing less can ensure bigger & better results over time, average client holding periods versus the recommended amount of time, why short trades might be the essential part of a winning system, and why uniqueness is now a key requirement for today’s emerging managers. Questions we cover this week include: How far should your backtest go? Can emerging Hedge Fund managers still succeed in today’s environment? Should you adjust past data for volatility?-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.Learn more about the Trend Barometer here.Send your questions to info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Episode TimeStamps:00:00 – Intro01:21 – Macro recap from Niels04:11 – Weekly review of performance07:27 – Top tweets51:16 – Questions 1: Dane; How far should your backtest go?54:38 – Question 2: Neal; Do you have a minimum average daily volume when trading stocks?56:24 – Questions 3/4: James; When using multiple entry signals, do you also use multiple exit signals? When setting up systems & doing testing, should you adjust past data for intended volatility-weighted position sizing? Can emerging managers within the hedge fund space still succeed, among pressure for low fees, the cost of running business, & the popularity of indexing?01:05:18 – Benchmark performance updateCopyright © 2025 – CMC AG – All Rights Reserved----PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:1. eBooks that cover key topics that you need to know about In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. <a...

9 Joulu 20191h 9min

This week, we discuss the differences between recognising risk and ‘warehousing’ risk, why Fundamental Investors could benefit from implementing Trend Following rules, Diversification as the most important component of risk management, what Traders can learn from Weightlifters, and the delicate balancing act between simple, simplicity, & complexity. Questions we answer this week include: Is Systematic Investing a form of betting? How do you define a Trend? Should you scale into positions?-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.Learn more about the Trend Barometer here.Send your questions to info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Episode TimeStamps:00:00 – Intro01:11 – Origins of Black Friday02:43 – Weekly review of performance11:45 – Top tweets40:52 – Questions 1/2: Michael; Can the number of trades a system signals, give insight as to how well optimized the system is? Is there a guideline for the number of trades a system should be signalling, for each chosen timeframe (such as Daily/Weekly)?45:34 – Question 3: Richard; Comment- ‘No deterioration in the overall compound growth-rate of long-term Diversified Systematic Funds, post-2000.’46:53 – Questions 4/5: Bing; Why don’t we risk more per trade? Is trader psychology the main reason for the importance placed on position sizing?53:21 – Question 6: Jacob; Can you give examples of strategies that ‘warehouse’ risk?56:41 – Question 7: Nathan; How do we define the parameters of a Trend?01:01:37 – Question 8: Chad; Do you scale into a position, or go straight to the chosen max risk of equity per security?01:05:51 – Questions 9/10:...

2 Joulu 20191h 15min

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.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.Learn more about the Trend Barometer here.Send your questions to info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Episode TimeStamps:00:00 – Intro00:57 – Macro recap from Niels01:55 – Weekly review of performance08:22 – Top tweets46:30 – 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?01:00:37 – Questions 6/7: Indrius; How do you use ATR? Do you take less risk per market as you trade more positions?01:04:22 – Question 8/9: Brian; How many other Trend Following managers should you invest in? How would you seek out other managers to invest in?01:12:13 – Question 10: Maurici; Do you use the same stop-loss for every...

24 Marras 20191h 27min

In this week’s edition, we discuss the possible benefits of running a multi-strategy portfolio, whether or not you need to have a ‘feel’ for the markets before constructing a model, the new all-time highs on the Dow, Trend Following as a viable solution to the end of the 60/40 portfolio, and the longer-term drawbacks of chasing performance from different fund managers. Questions we cover this week include: What really went wrong with LTCM? Should Trend Followers also employ Buy & Hold strategies? Is it ok to ‘leave money on the table’? How would you go about getting into the CTA industry? -----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.Learn more about the Trend Barometer here.Send your questions to info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Episode TimeStamps:00:00 – Intro01:05 – Events review04:00 – Weekly review of performance17:10 – Top tweets51:50 – Question 1: Carl; Is the stop price impacted by the cost of execution?55:30 – Question 2: Saleh; Can you design a system that works in both trending markets and range bound markets?01:01:55 – Question 3: Edrico; When adding new markets, do you consider correlations to existing markets in a system?01:04:10 – Question 4: Glen; How would you break into the CTA industry?01:13:35 – Benchmark performance updateCopyright © 2025 – CMC AG – All Rights Reserved----PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:1. eBooks that cover key topics that you need to know about In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following

17 Marras 20191h 16min

In this week’s episode, we discuss the recently published book on Jim Simons & Renaissance Technologies, why you shouldn’t be too focused on one position, why it can be difficult to avoid overriding your system based on recent fundamentals, what investors can learn from the world’s best Poker players, and why luck should only be the result of following your edge. Plenty of questions answered this week including: Should you add to winning positions? Do you only trade Breakouts or do you also use indicators? Does less volatility mean more robustness? Do you trade ETFs?-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.Learn more about the Trend Barometer here.Send your questions to info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Episode TimeStamps:00:00 – Intro00:50 – Live event review02:45 – Weekly review of performance10:40- Voicemail from Jim13:20 – Top tweets36:05 – Question 1: Matt; Do you use indicators beyond price action and new highs/lows?42:00 – Questions 2/3: James; How do you calculate sample size? Does each lookback window need to be treated independently or should risk be managed in aggregate?51:40 – Questions 4/5: Brian; Why are more volatile systems considered more robust? Does lower volatility lead to better compound returns?01:06:40 – Question 6: Gaetano; Do you trade ETFs?01:10:00 – Benchmark performance update01:11:00- Ray Dalio discussionCopyright © 2025 – CMC AG – All Rights Reserved----PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:1. eBooks that cover key topics that you need to...

10 Marras 20191h 14min

This week, we cover some of the dangers of ‘Home Bias’, and the benefits of diversification mixed with good risk management. We also discuss the differences between common Trend Trading and Systematic Trend Following, why investors tend to hold on to losing positions longer than winning positions, why people being hopeful with losses and afraid with profits may be the reason for why Trend Following works, DUNN’s Capital’s recent milestone of 45 years in the business, why Trend Following strategies are more than just the ‘perfect hedge’, ways that Trend Following can be applied to life, and we touch Abbey Capital’s recent article regarding Trend Following performance over the current decade, compared to previous decades. Questions answered this week include: Should long and short entries be symmetrical? Should you limit position sizing in particular markets? What do you define as a small loss?-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.Learn more about the Trend Barometer here.Send your questions to info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Episode TimeStamps:00:00 – Intro01:05 – Macro recap from Niels02:20- Weekly review of performance09:00 – Top tweets35:05 – Questions 1/2: David; Should a bearish strategy mirror a bullish strategy (i.e. 100 day hi/lo entry for both)? Should you expect bearish strategies to do as well as bullish strategies?39:45 – Question 3: Walter; Do you have position size limits on individual contracts?44:15 – Question 4: Neil; What is the definition of a “small loss”?49:50 – Benchmark performance update50:55 – Discussion of <a href="https://www.abbeycapital.com/insights/the-market-environment-for-trendfollowing/" rel="noopener...

3 Marras 20191h 9min