Cesar was director of research for Connors Research for almost 9 years, developing quantitative trading models for individuals, prop traders and hedge funds.
In this episode he’s going to share the results of a quantitative study on stop losses, also testing out some common pieces of trading advice to see if they're actually true.
Stops can have such a huge impact on trading results so I'm sure traders of all levels will find this research invaluable.
We will be discussing backtesting results and some charts. We'll be explaining them for those who are listening along but if you’d also like to see the results while we discuss them, you can download a copy or even watch as a video in the show notes page at bettersystemtrader.com/37.
I hope you enjoy Cesars discussion of ‘Stops - the Good, the Bad and the Ugly’.
Creating robust trading strategies can be a difficult task, sometimes taking months or even years to generate something you find acceptable. Even then, once you start trading it live there is no guarantee it’ll work in the future.
With strategy creation being such an involved process at times, how would you like it if you could just tell the computer the results you wanted and let it figure out the trading rules? Is it actually possible to create robust trading strategies that way?
In this episode Michael Bryant from Adaptrade talks to us about automatic code generation, methods to exploit trade dependency and techniques to trade the equity curve.
Michael has been trading the markets since 1994, providing trading systems for the futures markets and even managing money as a CTA.
He is founder of Adaptrade, a company which provides innovative software tools for individual and professional traders.
Andrew Gibbs has been involved in the financial markets since 2001 and is the founder and CEO of Halifax New Zealand.
Andrew has extensive experience in all forms of equity and derivative contracts, managing millions of dollars and trading a number of markets around the world.
In this episode we discuss volatility and methods to trading the VIX plus the benefits and methods of including fundamental data in technical quant models.
Jay Kaeppel has over 25 years experience in the financial markets.
He has worked as the Head Trader for a CTA and published a number of popular trading books on Futures, Options and Stock Market Seasonality.
He also spent a number of years writing a weekly column titled “Kaeppel’s Corner” and publishes on his blog “Jay On The Markets”.
He is now Portfolio Manager for Alpha Investment Management, offering strategies such as the ‘Alpha Multi-Income Strategy’ to investors.
In this episode we discuss a number of seasonal tendencies, how they can be integrated into a trading model, the applications of the Known Trend Index and the reasons why most traders fail.
Laurent Bernut was a systematic short seller with Fidelity for 8 years. His mandate was to underperform the longest bear market in modern history: Japanese equities.
Prior to that, he worked in the Hedge Fund world for 5 years.
He now runs an automated Forex strategy and travels the world with his family.
In this episode we talk all about Short selling, creating shorting strategies, the challenges of implementation and how to manage risk. We also discuss the importance of exits, insights into Bear markets, autotrading Forex and why complexity is a form of laziness.
Thomas Stridsman has over 20 years experience in the financial markets.
He was an editor for Futures magazine and published two books on trading system development and money management.
He is now a fund manager at Alfakraft, specialising in short-term trend following strategies with a focus on dynamic size allocation and risk distribution algorithms.
In this episode we discuss strategy testing, why you need to normalise metrics, tips to creating robust strategies and why he doesn't test entries and exits any more (and what to focus on instead).
Greg Morris was Sr. Vice President, Chief Technical Analyst, and Chairman of the Investment Committee for Stadion Money Management, overseeing the management of over $5.5 billion in assets.
He has been featured in the media a number of times, being invited to lecture about technical market analysis around the world.
He is currently semi-retired, serving as a consultant and working on a few projects, including golf.
In this episode we talk about the real definition of risk and how to manage it, the applications of market breadth and how the 'Weight of the evidence' concept can be used in trading.
A couple of weeks ago I went back through all the guests we've had on the show so far and realised how very fortunate we've been to have so many fantastic guests on the show, sharing their knowledge and experience, some of them with more than 50 years of trading experience!
To be honest, I’d actually forgotten some of the topics we’d covered so far and going back through them was an excellent reminder of all the valuable information the guests had shared, so for Episode 30 I thought it might be a good idea to revisit some of the highlights from the earlier episodes so that those that haven’t heard them will go and listen to them, and those who have already listened may get some value out of hearing the highlights again.
I know when I went back through them it reminded me of some things that I wanted to test or investigate further, and I really found it a valuable exercise so I hope you do too.
This episode will cover some of the highlights from episodes 1 to 20; some of my favourites and some of yours.
Alan Clement is a Certified Financial Technician, full time independent trader, quantitative trading systems designer and private investment consultant.
He is also a councillor with the Australian Technical Analysts Association and contributes to the technical analysis articles for Fairfax press.
In this episode we talk about Rotational trading systems, the impact of stops on results and alternatives to managing risk. Alan also shares some interesting tips into measuring system health, dynamic position sizing and anticipating trading signals.
David Aronson is a pioneer in machine learning and nonlinear trading system development and signal boosting/filtering.
He is author of “Evidence Based Technical Analysis” and his most recent book "Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments" is an in-depth look at developing predictive-model-based trading systems.
He was also an adjunct professor of finance, regularly teaching MBA and financial engineering students a graduate-level course in technical analysis, data mining and predictive analytics.
In this episode David shares research into the effectiveness of indicators to identify Bull and Bear markets; he’s tested a large number of indicators and combinations with some interesting results! We also discuss issues with data mining, conditions where traditional methods of measuring data mining levels can be problematic and then finish up with the future state of Technical Analysis.
Dr. Gary Dayton has been an active trader since 1999 and is President of a consulting firm that specializes in developing “peak” performance in traders.
His approach to trading psychology is very different to the traditional approaches used by other trading coaches, introducing traders to the practise of mindfulness to not only overcome fear and other unwanted trading emotions but to develop the concentration and focus needed to trade successfully.
In this episode we discuss why traditional approaches to controlling emotions don't work, the role of emotions in trading and how mindfulness can improve trading performance. He also shares some tips on how to get started practising mindfulness, the benefits it can have outside of trading and how the approach of Mental Parking can increase focus.
Robert Carver is an independent systematic trader who spent more than seven years working for one of the worlds largest systematic hedge funds.
In this episode we discuss trading rules, what makes a good trading rule and the advantages of using continuous rather than binary rules. He also shares insights into over-fitting and the challenges of walk-forward testing that can make it impractical.
Brett N. Steenbarger, Ph.D. is a trader, psychologist and trading coach who has been actively involved in the financial markets since the late 1970s.
He is the author of a number of popular trading performance books and consults for hedge funds, investment banks and proprietary trading groups.
In this episode we discuss creativity, static thinking and why it's important to have unique ideas for trading success. We also cover tips to increasing our creativity, why traditional trading rules need to be updated, the challenges of daytrading and how to overcome them.
PLUS listener questions on:
In this episode Dr Van Tharp talks about beliefs and their impact on trading, the qualities of successful traders, adapting trading to market types, position sizing, trading mistakes and overcoming fear, perfectionism and impatience.
PLUS listener questions on:
Michael Himmel is a Founding Partner, Portfolio Manager and Director of AI Research for Essex Asset Management.
He has been actively trading and designing systems since the 1980s, managing the No.1 Global Macro Hedge fund in the world in 1999.
He now uses large doses of AI and Machine Learning in his current practice.
In this week’s episode we discuss Artificial Intelligence, the challenges and applications of AI in trading, criticisms of Machine Learning, event studies and the importance of selecting datasets. He also shares insights from starting out as a runner for some of the biggest players in the 1980s, to managing the no. 1 global macro hedge fund in 1999 to using AI in his practise today.
Even if you’re not into AI and machine learning, the stories and insights Michael shares are invaluable.
Robert Bubalovski is the Managing Director and Head Trader at TradeView investments, a privately held proprietary trading firm located in Melbourne, Australia.
Since 1996 Robert has been actively involved in the financial markets and trading, in 2012 he decided to set up his own Proprietary Trading Firm to concentrate on his own trading strategies.
His team of professional proprietary traders specialize in the trading of Equities, Futures, Options, FX and Money Markets across multiple exchanges around the globe and around the clock.
In this weeks episode we discuss prop trading, the challenges and lessons from beginner trader to starting an investment firm and what it takes to be a successful trader. We also discuss arbitrage and pairs trading strategies, statistical rather than indicator-based trading and the importance of simplicity.
In this weeks episode we discuss various aspects of trading multiple strategies, including monitoring performance, money management, correlation, technology and trading in markets not in your timezone. We also discuss the impacts of the MFGlobal and PFG collapses and how Tim overcame the heavy losses to continue trading.
In this weeks episode Larry Williams talks about conditional trading, understanding what drives prices, the misuse of indicators and how to apply them correctly. We also discuss cycles, forecasting markets, what to look for in market tops plus loads of listener questions where Larry shares tips and insights from 50 years of trading.
Scott Andrews 'The Gap Guy' shares his expertise in gaps, why they work, what factors to take into account when trading gaps and what to avoid. We also discuss gap zones, when to fade and when to follow and calculating stops and targets.
PLUS, for those that aren't into Gap trading, we cover some important concepts that can impact all styles of trading, include one concept called 'Ensemble Systems' which may just change the way you look at trading strategies.
Jerry Parker, Turtle Trader and CTA, talks about trend following, how to approach wins and losses, dealing with drawdowns, managing correlations in asset classes and how changing market dynamics have impacted trend following and the solution. He also gives us some tips on systematic trading including how he trades without relying on optimal values of the past.
PLUS questions submitted by listeners:
World Cup Trading champion Andrea Unger discusses how to create robust strategies, the role of indicators in trading, principles to strategy creation, Forex trading strategies and optimising to understand market behaviour.
Stuart McPhee discusses the common mistakes traders make, the single biggest factor to trading success, the counter-intuitive side to trading and tips to improving trading discipline.
Performance coach Rande Howell discusses the most common issues limiting trader performance, the impact of emotions on trading, the importance of managing process not outcome and tips on changing our physiology to improve performance.
Andreas Clenow is a hedge fund manager who specialises in developing and trading quantitative strategies across all asset classes.
Before joining the hedge fund world by establishing his own hedge fund he maintained Global Head positions at Reuters and Equis International.
He is the author of two books, the first being international best seller ‘Following the Trend’ and the second ‘Stocks on the Move’ has just been released.
In this episode Andreas talks about trend following in stocks, why traditional approaches don't work and what you can do to account for this. We also talk about trading concepts, cash vs risk allocation, position rebalancing and building robust strategies.
Dr Ernest Chan talks about many aspects of quantitative trading, including how market crises impact momentum strategies and how to manage the impacts, when to use stop-losses and when they don't make sense, automating trading, managing funds in a portfolio of strategies and a simple money management approach which aims to limit drawdowns while maximising returns.