Better System Trader

033: Fund manager Thomas Stridsman discusses strategy development, 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


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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).

Topics discussed

  • The differences between short term trend following and long term trend following
  • Why backtesting metrics should be normalised to give an accurate picture of performance
  • Why you should look to restrict the number of consecutive winners and losers
  • The difference between a good model and a profitable one
  • Tips to creating robust systems
  • Trading costs and when to include them in testing
  • Using standard deviation to determine system robustness
  • How his systems development approach has changed over the years
  • The one particular insight that propelled his trading forward
  • Applying Optimalf to position sizing
  • The future of trading
  • ...more
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