June 07, 2015

010: Perry Kaufman discusses applications of market noise, mitigating price shocks, volatility and using the Information Ratio to monitor strategy performance.

1 hour 13 minutes

Perry Kaufman discusses market noise, the impact it has on trading styles and how it can be used to determine which strategies suit a particular market. We also talk about price shocks and how to mitigate their effects, how to use volatility in your favour, volatility parity for position sizing, the information ratio for strategy performance and some strategy ideas you can test yourself.

Topics discussed

How market noise impacts trend following and mean reversion
The effects of money flow during a crisis
The types of strategies that work best in new markets and why
How the efficiency ratio can be used to determine the best type of strategy for a market
The best markets for trend following and mean reversion
What strategy style to choose if you're just starting out
Using Volatility Parity for position sizing
Impacts and dangers of price shocks on backtesting and how to handle them
Mitigating the risk of price shocks
Using the Information Ratio to measure strategy performance and detect possible over-fitting
The effects of volatility on strategies and how to use volatility in your favour
Fractal Geometry
High Frequency Trading
And some strategy ideas you can test

Disclaimer: Trading in the financial markets involves a substantial risk of loss and is not suitable for everyone. All content produced by Better System Trader is for informational or educational purposes only and does not constitute trading or investment advice. Past performance is not necessarily indicative of future results.

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By Andrew Swanscott chats with professional traders Larry Williams, Ernest Cha

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June 07, 2015

010: Perry Kaufman discusses applications of market noise, mitigating price shocks, volatility and using the Information Ratio to monitor strategy performance.

1 hour 13 minutes

Topics discussed

How market noise impacts trend following and mean reversion
The effects of money flow during a crisis
The types of strategies that work best in new markets and why
How the efficiency ratio can be used to determine the best type of strategy for a market
The best markets for trend following and mean reversion
What strategy style to choose if you're just starting out
Using Volatility Parity for position sizing
Impacts and dangers of price shocks on backtesting and how to handle them
Mitigating the risk of price shocks
Using the Information Ratio to measure strategy performance and detect possible over-fitting
The effects of volatility on strategies and how to use volatility in your favour
Fractal Geometry
High Frequency Trading
And some strategy ideas you can test