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Ep. 639: Martin Bergin and James Dailey Interview with Michael Covel on Trend Following Radio

Michael Covel's Trend Following

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The Dynamic Risk Target

We had, I think, four penetrations on the downside of that 20% threshold. It intuitively didn't make sense for us to always be dialed to that same risk target when we knew that the market environment wasn't very conducive to our style of trading. So what we used to dial to every day, we're now only at our max risk 5% of the time. Over time our average value at risk on a monthly basis should be 15%. The point behind this was to reduce the downside volatility and reduce drawdowns.

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