The fifty greatest trends in forty years of futures markets, and what they reveal about luck, selection, and the futility of picking winners Warren Buffett, the most celebrated stock picker who has ever lived, is disarmingly honest about where his...
Every investor faces the same decision: do you smooth the ride or chase the extraordinary? On one side lies the comfort of mixed allocation. Blend trend following with mean reversion and you’ll get smoother equity curves, smaller drawdowns, and something...
“True risk isn’t volatility. True risk is missing the outlier because it wasn’t in your universe.” Traditional investing preaches diversification as the ultimate risk reducer. It’s the core principle behind Modern Portfolio Theory (MPT): spread your capital across many assets,...
“If it feels good, you’re probably too late. If it feels uncertain, you might be onto something.” Introduction: The Myth of Certainty in Trading Imagine standing at the edge of a cliff, peering down into the unknown. The air...
Introduction Quantica Capital has long been a beacon of rigorous quantitative research in systematic trading. Their latest paper, “Let it Ride or Lock it In? The Impact of Dynamic Versus Static Position Sizing on Trend-Following Performance,” offers a detailed and...
In this episode of Top Traders Unplugged, I join host Niels Kaastrup-Larsen to explore the often misunderstood world of backtests and their role in trading. We delve into why backtests, despite their popularity, can be misleading and why relying too...
Massive diversification serves as a crucial tool for Outlier Hunters, not only to provide correlation benefits in chaotic regimes but also to increase the chances of capturing rare market events. It is the frequency of these Outliers in the...
Recognizing the inherent unpredictability of liquid financial markets is not just beneficial—it’s essential for those determined to carve a successful path through its capricious waves. Drawing on the revolutionary insights from Benoit Mandelbrot’s “The Misbehaviour of Markets,” and marrying these...
Niels and I got into the weeds of Trend Following again where we discussed why we prefer medium to long term trend following models, how system ensembles help to produce less correlated portfolios and how Outliers are viewed as emergent...
