SI266: Constructing and Assessing Trading Strategies ft. Rob Carver

Rob Carver is back this week speaking with Alan Dunne about constructing and assessing trend following and non-trend following trading strategies. We delve into mean reversion strategies and over what time frames they might be effective and what are the pitfalls in trying to combine trend following with mean reversion. We also discuss the theory and reality of the benefits of faster trend following, Rob’s experience of this and his approach avoiding over-fitting when constructing trading strategies. We wrap up with some thoughts on AHL’s Trend ETF and how a strategy trading 20 markets might perform versus a more diversified program. ----- EXCEPTIONAL RESOURCE: Find Out How to Build a Safer & Better Performing Portfolio using this FREE NEW Portfolio Builder Tool ----- 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 “The Many Flavors of Trend Following” here. Learn more about the Trend Barometer here. Send your questions to info@toptradersunplugged.com And 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 Rob on Twitter. Follow Alan on LinkedIn. Episode TimeStamps: 02:00 - Update on recent events? 09:13 - Industry performance update 09:38 - Why is it going so well for Rob? 12:15 - The ongoing debate on term premia 17:40 - Returns in bonds versus equities 21:13 - Q1, Andrej: What's your take on systematic strategies complimenting trend? 35:22 - Q2, Harry: Can you speak about the lure of high frequency strategies for traders with modest capital? 40:46 - The challenges of fast trend following 42:15 - Trading with different account sizes 45:07 - Q3, Ravi: Techniques to prevent overfitting of a strategy 51:45 - Using boot strapping 52:42 - Q4.1, Tommy:...