SI70: How to design and backtest your system ft. Andreas Clenow (Part 2)

Today we continue our interview with Andreas Clenow, where we cover topics such as backtesting & system design, whether we see any growth in the CTA industry, long-term vs short-term Investing, and how to go about raising initial AUM. Questions include: How important are drawdowns when analysing performance? Is Crisis Alpha an appropriate label for CTAs today? How do you choose parameters for your Trading Models?

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Episode TimeStamps:

00:00 – Intro

01:54 – Niels; Question One: How does one go about choosing parameters for their Trading models? Question Two: Do you stick with your model, or do you look to recalibrate it over time?

07:37 – Jerry; Question Two: Have you noticed that longer-term systems have always produced better results than shorter-term, even though we may think otherwise? How important are drawdowns when analysing performance?

13:48 – Moritz; Question One: Would you still go out and start a Trend Following fund today? If so, how would you go out and raise the initial AUM?

16:25 – Niels; Question Two: How should CTAs & Trend Followers present themselves? Is Crisis Alpha an appropriate label?

22:32 – Niels; Question Three: If you could invite 4 people to dinner, from past or present, who would you choose?

24:00 – Niels; Question Four: Anything you would like to share regarding your latest book?

26:23 – Brian; Question One: Do you think Options strategies distort Trends and the performance of Trend Following strategies?

27:08 – Benchmark performance update

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