Top Traders Unplugged

TTU132: Trend Following Evolution ft. Ed Tricker, CIO of Quant Strategies at Graham Capital Management

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Feb 17, 2023
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ADVICE

Evaluating Strategies

  • Evaluate systematic strategies through the lens of their expected behavior under different market conditions.
  • Consider the strategy's intended objective when assessing performance, rather than relying solely on short-term results.
INSIGHT

Adapting to Shifting Markets

  • Systematic managers face the challenge of adapting to shifting market regimes, especially given the reliance on historical data.
  • Adaptive strategies that learn and adjust to prevailing conditions offer a solution.
INSIGHT

Controlling Model Speed

  • Trend following models' speed can be controlled by adjusting the data lookback period, influencing reactivity to market changes.
  • Reinforcement learning allows models to adapt lookback periods based on performance feedback.
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