81 The Systematic Investor Series – March 29th, 2020

Today, we discuss the benefits of focusing on highly liquid markets, why Trend Following strategies are usually less risky & volatile in any market environment,  how simple ideas can often be more robust than complex ideas, whether there’s a place for discretion in trading systems, why a manager’s true aims may not be what you were are expecting, and how emotional intelligence disappears during times of stress.  Questions we answer include: Should I have fewer positions, and risk more per trade? How do you deal with a market’s sudden loss of liquidity? How does open equity affect upcoming position sizes?
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Episode Summary
0:00 - Intro
1:21 - Macro recap from Niels
5:57 - Weekly review of returns
8:09 - Top Tweets
41:53 - Francois: Question 1: How did you handle the huge drop in Oil?
45:18 - Mike: Questions 2/3: How do you handle futures capacity constraints?  A large trend will likely attract many Trend Followers, how does this affect your position sizing?
1:00:00 - James: Question 4: How do you deal with gap-downs in a market’s liquidity?
1:01:31 - Dave: Question 5: How does open trade equity affect future position sizing?
1:04:44 - Dante: Question 6: Should I use fewer positions & risk more per trade?
1:11:08 - Performance recap
 
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