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

Today, we are joined by Nigol Koulajian and Mike Harris from Quest Partners, for a conversation on how they use a research driven, quantitative and systematic trading approach to generate alpha. We discuss how they generate convexity and why they have chosen to focus on short-term time frames, why they believe some investors have become too focused on Sharpe and how they use trend following and crowding in their process. We also discuss how they use an adaptive learning technique to understand markets whilst being aware of the dangers of machine learning, the power and importance of data and the potential risks of replicating managers, why liquidity is dynamic and very unpredictable 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.Follow Alan on Twitter.Learn more about Quest Partners.Episode Timestamps:02:08 - Introduction to Quest Partners 03:34 - Their investment philosophy 07:35 - A structural change in markets 15:04 - Too focused on Sharpe? 20:55 - Creating momentum 24:18 - A move toward multi-strat? 37:35 - Managing the crowd 39:13 - The persistency of market environments 41:45 - A type of machine learning? 44:12 - The source of opportunities 48:34 - The "D" word 53:30 - Thoughts on CTA replication 01:00:12 - Being a short term manager...

20 Feb 20231h 15min

Richard Brennan joins us to reflect on the learnings so far from the new CTA series. We also discuss how to set your stop loss when entering a new position and why you should not allow your trend models to go "backwards", how to fit your model to price data and why it is important to understand the signal to noise ratio in your trading to avoid overfitting. Additionally, we discuss how random entries can work for your models, but why they are not truely random and the challenge of separating luck from real signal, why it is preferable to have an under-fit model as opposed to an over-fit model when developing a trend following system and how to reduce your chances of having an overfit solution. We round off our conversation discussing why trend following is not as easy as it might seem 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.Follow Rich on Twitter.Episode TimeStamps:03:17 - Reflecting on the CTA Series 09:55 - What happened this week? 12:42 - Q1, Jordan: Regarding setting stop loss when entering a position 15:39 - Q2, Mark: Entry lookback vs exit lookback? 19:23 - Signal to noise masterclass 36:03 - The Tom Basso experiment 46:34 - The challenges of creating models 52:40 - Avoiding overfit - Don't pick the "best" parameters57:23 - Avoiding overfit - Apply the Golden Rules01:00:19 - Using visual mapping 01:03:50 - Avoiding overfit - trade multiple markets01:07:34 - Trend...

19 Feb 20231h 17min

Today, we are joined by Dr. Edward Tricker, Chief Investment Officer of Quantitative Strategies at Graham Capital Management, joined Top Traders Unplugged for a discussion on Graham's approach to quantitative macro investing. The discussion touches on a variety of interesting topics including the evolution of trend-following, diversification, portfolio optimization, and "crisis alpha." Dr. Tricker also discusses how Graham partners with investors to help them solve for their specific portfolio needs, as well as why collaboration is critical in his team’s research process and the firm's risk management philosophy.-----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.Follow Alan on Twitter.Learn more about Graham Capital Management.Episode Timestamps:02:16 - Introduction to Graham Capital Management04:00 - Their investment philosophy09:35 - The art of modelling12:33 - Too concerned about Sharpe?17:14 - Working together with clients20:17 - The "real" objective23:22 - Commodities - A saver in crises?27:32 - What strategies to add in a 60/40?32:54 - Their research process37:28 - Evaluating managers and strategies40:20 - Regime shifts and changes in markets44:11 - Recalibrating parameter selection48:34 - Their approach to look-back and signal generation54:01 -...

17 Feb 20231h 16min

Today we are joined by Jacob Shapiro and Roger Hirst. Jacob is the Geopolitics Editor at financial media company Lykeion, co-author of a monthly research publication focused on the converging worlds of Geopolitics and Macro, Partner and Director of Geopolitical Analysis at Cognitive Investments, and Founder and Chief Strategist of the business and political risk consulting firm Perch Perspectives. Roger is the Macro Editor at financial media company Lykeion and the Managing Editor of Real Vision Creative Studios. Together they provide a powerhouse of insights into the machinations of geopolitics and macroeconomics. Key in this conversation are Jacob’s and Roger’s insights into China and whether China has the capacity to influence global growth going forward. In our conversation we explore the possibility and probability of deglobalization and what that might mean. In addition Roger and Jacob turn the spotlight on Latin America and the potential it holds given the current geopolitical and macroeconomic constraints the world is facing. Join us in this deep dive into what lies behind and beneath these pressing issues.-----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.Follow Cem on Twitter.Follow Roger on Twitter.Follow Jacob on Twitter.Episode TimeStamps: 02:42 - Introduction to Shapiro & Hirst 09:22 - Where lies the uncertainty? 11:01 - The ultimate impact on markets 15:32 -...

15 Feb 20231h 13min

Today, we are joined by Mike Kastner, Principle and Co-Founder at Halyard Asset Management, for a conversation on how they use fixed income instruments to manage the cash of many CTA portfolios. We discuss how managers have evolved in terms of the way they manage cash, how Halyard Asset Management construct a portfolio from a liquidity point of view and the current state of liquidity, how they approach credit rating and why they avoid buying paper from certain banks. We also unpack what they think the sweet spot for foreign exchange hedging is and how they approach risk management, why Kastner does not believe we are approaching a recession and that there is a likely chance of a significant fall in the long bond price, as well as what Kastner believes will happen in the housing market 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.Follow Alan on Twitter.Read more about Halyard Asset Management.Episode Timestamps:02:40 - Introduction to Halyard Asset Management 04:12 - History of Cash Management 07:16 - What happened with money market funds? 09:34 - Has the Cash Management space changed? 11:02 - Cash Management philosophy 12:23 - A liquid portfolio 17:39 - Drawing the safety line 19:25 - Considering ESGs 21:11 - Managing cash in different currencies 22:41 - Balancing the mandates 23:52 - Managing risk...

13 Feb 202347min

Today, Mark Rzepczynski joins us at the end of another Fed driven week. We discuss the pros and cons of being a long term trend follower compared to a short term trend follower in terms of performance and Sharpe Ratio, and why you would want to apply the same rules to long and short sided trades, how to understand long and short term volatility, the advantages of being a systematic manager and the limits to how much AUM a manager can handle, how Rzepczynski will be focusing on change point detection in his next endevour and why it is important as a trend follower to think in terms of radical uncertainty or disequilibriums 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.Follow Mark on Twitter.Episode TimeStamps:03:20 - What happened this week?11:01 - Individual Sharpe vs. portfolio Sharpe18:59 - Industry performance update19:56 - Q1, Pete: Same rules for longs and shorts - why?32:25 - Q1 Follow-up: Change position right away or wait for first new trade entry?36:09 - Q2, Callum: Question regarding TTU series with Ryan O'Grady40:57 - Q3, Tim: Questions regarding link between Performance and AUM50:21 - The problem with flat fees55:06 - The idea of change point detection01:00:18 - The age of disconnect01:11:01 - The impact of disruptors01:17:04 - Final thoughtsCopyright © 2025 – CMC AG – All Rights Reserved----PLUS: Whenever you're ready... here

12 Feb 20231h 19min

Today, we are joined by Marty Lueck, Co-Founder of Aspect Capital, for a conversation on their systematic investment process, with a primary focus on research. We discuss why bias is a core element of Aspect Capitals investment philosophy, the essence of trend and why trend strategies work, as well as how they work together with their investors to create the most optimal portfolio for them. We also explore Lueck's analogy of trend as "medicine" and why it is important to give the medicine time to do its work. We continue with topics such as how trend following as a strategy has evolved over time and how they feel about the newest CTA replication products, their reasoning for being cautious about using machine learning and, why they chose not to dwell too much on fees, how they guide their clients when it comes to return expectations 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.Follow Alan on Twitter.Learn more about Aspect CapitalEpisode Timestamps:02:57 - Introduction to Aspect Capital 06:54 - Their Investment Philosophy 09:56 - Why does trend strategies work? 13:12 - A less uncertain period 15:44 - Too concerned about the sharpe? 20:38 - Which trends are most popular? 23:01 - Costumization - is there a limit? 28:58 - Staying diversified and improving models 34:33 - The research process 37:29 - A change in models?...

10 Feb 20231h 5min

Today we are joined by Rory Johnston, founder of Commodity Context, a physical commodities research firm based in Toronto, Canada. We talk about Rory’s in-depth research focused on the oil sector, as well as the current narratives impacting the price of oil right now. We discuss his deep dives into the workings of the oil industry, focused on adding a broader perspective to price assumptions and market fluctuations. From Russia’s invasion of Ukraine to China’s Covid lockdown, Rory shares his reflections on diverse market responses to geopolitical events around the world. Is there going to be a big energy demand from China going forward? What is it going to take to stabilize oil prices? How does inflation factor in? Join us on this fascinating exploration of the role oil plays, and the variables that can change the trajectory of the energy market.-----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.Follow Hari on Twitter.Follow Rory on Twitter.Episode TimeStamps: 02:31 - Introduction to Rory Johnston and Commodity Context07:15 - Are people over-fixated on data?09:04 - Is Geopolitical analysis useless?16:43 - Making assumptions19:38 - The challenges with data28:36 - Indicators of volatility32:26 - Quantifying the fundamental value37:02 - Having an edge in oil45:27 - Understanding the CRT Report49:17 - Oil price - a play on the...

8 Feb 20231h 6min