SI245: Which CTA Should You Buy ft. Rob Carver

Rob Carver is back to discuss the economic unpredictability that has defined this year so far and how Rob approaches backtesting his system, how to make a signal continuous in a discrete system and if there are ways to figuring out when is the right time to trend follow. We also unpack what Rob means by “you can’t eat sharpe ratio” and what he would change in his strategy if he had more resources available. We then turn to discuss the CTA industry and how to find out which CTA you should buy, why Niels is skeptical about predicting the performance of a strategy and why you need to know what you don’t know, the absurdity of the debt ceiling and much more. ----- 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. Episode TimeStamps: 00:52 - Update from Rob 07:13 - Calculating slippage and "midprice" 12:41 - Industry performance update 15:26 - Q1, David: About continuous trading signal construction 20:49 - Hidden Markov models - What and why? 27:34 - Q2.1, Elie: Is there value in relative vol targeting for traders who can't take on leverage? 32:37 - Q2.2, Elie: About alternative ways of rebalancing signals 37:49 - Q3, QuantLurk: What would more resources do to your strategies? 42:41 - Which CTA should you buy? 49:12 - Can you really predict the performance of a strategy? 56:08 - You need to know what you don't know 58:36 - The U.S debt ceiling 01:03:09 - Thanks for listening Copyright © 2023 – CMC AG – All Rights...