SI152: Love Your Rules, But Not Your Positions ft Jerry Parker 5r5p1e

Jerry Parker is on the show with us today to discuss Ethereum’s recent rise after a new ‘hard fork’, auto-correlation and its effects on Trend Following strategies, how trading extra markets can improve performance, drawdowns as a key to profiting from huge trends, how Trend Following firms who try to be too unique often end up underperforming, the power of pure Trend Following versus over-optimisation, why ESG investing should also take into human rights issues, why you should love your trading rules but not your positions, and how trading in smaller sizes can lead to much bigger returns. Also check out my interview with Turtle Trading legendary mentor Richard Dennis here. In this episode, we discuss: The recent comeback in crypto markets and trading crypto futures Thoughts on autocorrelation The benefits of trading a wide range of markets How over-optimisation can result in underperformance Why ESG investing should consider human rights issues as well as environmental Why your rules are more important than any one position How decreasing position size can increase a system's profits Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website. Follow Jerry on Twitter. 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 [email protected] And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast. Episode TimeStamps: 00:00 - Intro 04:11 - Macro recap from Niels 04:44 - A huge thank you to our listeners for leaving 5-star reviews in iTunes 05:25 - Discussion on Ethereum 08:34 - Weekly review of returns 10:21 - Where does the edge in Trend Following really come from? 17:13 - Market selection and utilising auto-correlation 26:40 - Q1; Mark: What are some of the things about Systematic Trading that you can only learn from experience? 34:48 - Q2; Stacius: When do you know that a strategy is robust, without doing a backtest? 38:19 - Jerry’s favourite measurement of risk-to-reward 51:21 - ‘Loose pants fit everyone’ 53:51 - Deciding whether to trade in the Chinese futures markets 55:56 - CTAs utilising ETFs  01:02:05 - The benefits of being an amazing ‘quitter’ 01:05:29 - Trend Following performance during different interest-rate periods 01:07:22 - Winton’s positive recent positive comments on Trend Following  01:08:57 - Transtrend’s recent article on volatility and how it should affect your models 01:12:59 - Benchmark performance update 3o6k4b