109 The Systematic Investor Series ft Perry Kaufman – October 12th, 2020 - a podcast by Niels Kaastrup-Larsen

Systematic trading and Trend Following legend, Perry Kaufman, joins us on the show today to discuss the importance of being comfortable with risk, the benefits of continuously ranking & evaluating markets, the importance of ‘fat tails’ in Trend Following systems, why you might want to use equal risk with every trade, how to avoid being over-correlated, trading single stocks vs indices, opinions on profit targets, and why he generally prefers long trades vs short trades.

You can find more about Perry’s work on his website here.

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Episode Summary

0:00 - Intro

01:25 - Weekly review of returns

06:08 - Niels: How does the content in your book, Trading Systems, inform your decisions when building a system, and what do they mean to you?

26:44 - Niels: How do you avoid overfitting your system to accommodate markets that may not perform well in the future?

29:28 - Niels: How do you avoid being over-correlated?

30:17 - Niels: How does your ranking system work when adding or removing markets from your trading universe?

44:19 - Niels: How do you feel about profit targets?

53:06 - Niels: Why do you believe Trend Following strategies will always be successful?

57:00 - Niels: Have you found in your research that long-sided trades tend work better than short trades, and if so, have any hypothesis as to why that is?

1:04:33 - Moritz: What are your thoughts on trading single stocks vs trading the indices?

1:09:54 - Niels question for Moritz: How have you incorporated yourself & Perry’s work on Volatility Targeting into your trading?

1:21:29 - Niels: Are there any new discoveries that you’ve found in recent years that enhance Trend Following strategies, or have we most likely found everything by now?

1:24:45 - Performance recap

1:26:32 - Niels: Which book, that you didn’t write, would you recommend to our listeners?

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