34 The Systematic Investor Series – May 6th, 2019

In today’s episode, we discuss how much central banks or political events, can prevent or create market trends in the future.  We also discuss AQR Capital Management’s recent study on Trend Following performance in the current decade, and whether or not we have seen the end of large market trends. We wonder if technology prevents Commodities from having bull runs like Equities have had in the last decade, and we answer questions on scaling in and out of trades, where to get back-adjusted data, and if the US stock market will eventually stagnate like Japan’s in the 1990s.
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Episode Summary
0:00 - Intro
1:50 - Weekly review
8:45 - Top tweets
37:30 - Question 1: Todd; What are your thoughts on adjusting stops based on price changes/volatility?
45:50 - Question 2: Paul; Have you considered the strength of a trend in your models?
53:05 - Question 3: Brian; How do you scale position sizes up and down based on performance?
1:02:15 - Questions 4/5/6: Sanjay; Aside from central bank (CB) action are there other reasons for the lack of trends in the last decade? If CB action is to blame and continues, will a lack of trends persist? What are indicators to watch to measure overall market trendiness?
1:22:45 - Question 7: George; What are your thoughts on data (back adjusting, roll methods, cleaning, etc.)?
1:30:15 - Performance recap
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