Top Traders Unplugged

By Niels Kaastrup-LarsenBusiness News Investing Business News

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Top Traders Unplugged episodes

February 04, 2019 21 The Systematic Investor Series – February 4th, 2019
Welcome to The Systematic Investor series. It's a great privilege for me to invite you to a behind the scenes conversation between some of my favorite systematic investors namely Jerry Parker and Moritz Seibert. We get on a "call" each week to discuss the events that took place through the lens of a Systematic Investor and how the trading strategies we work with are reacting. It's a raw and honest exploration and we hope you will join and be part of...not least by sending us questions that we can discuss. Please send your questions to [email protected]

Episode Summary
0:00 - Intro
3:30 - Weekly review
14:00 - Top tweets
26:55 - Question 1: Samuel; What is a good CTA trading cost hurdle rate?
34:10 Question 2: Samuel; Why do people say your biggest drawdown is always in front of you?
41:10 - Question 3: Michael; How much has your parameter set changed (and related questions)?
50:10 - Question 4: Francois; What do you know about Renaissance Technologies (Jim Simons)?
56:30 - Miami conference review+TF thoughts
1:10:00 - Performance recap
Subscribe on:
1 hr 14 min
February 04, 2019 SI21: Why the biggest drawdown is always ahead of you or so they say
Welcome to The Systematic Investor series. It’s a great privilege for me to invite you to a behind the scenes conversation between some of my favorite systematic investors namely Jerry Parker and Moritz Seibert. We get on a “call” each week to discuss the events that took place through the lens of a Systematic Investor and how the trading strategies we work with are reacting. It’s a raw and honest exploration and we hope you will join and be part of…not least by sending us questions that we can discuss.
-----
50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
-----

Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.
IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.
And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.
Learn more about the Trend Barometer here.
Send your questions to [email protected]
And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.
Episode TimeStamps:
00:00 – Intro
03:30 – Weekly review of performance
14:00 – Top tweets
26:55 – Question 1: Samuel; What is a good CTA trading cost hurdle rate?
34:10 Question 2: Samuel; Why do people say your biggest drawdown is always in front of you?
41:10 – Question 3: Michael; How much has your parameter set changed (and related questions)?
50:10 – Question 4: Francois; What do you know about Renaissance Technologies (Jim Simons)?
56:30 – Miami conference review+TF thoughts
01:10:00 – Benchmark performance update
Copyright © 2025 – CMC AG – All Rights Reserved
----
PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:
1. eBooks that cover key topics that you need to know about
In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here
2. Daily Trend Barometer and Market Score
One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here
3. Other Resources that can help you
And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here
Privacy Policy
Disclaimer
1 hr 14 min
January 30, 2019 Best of TTU – Simplicity is the Ultimate Sophistication
A few years back, I had a great discussion with die-hard Trend Follower, Scot Billington. I would like to share some key moments with you, including how to perceive past track records, and also some of the differences between the long side and the short side. If you would like to listen to the full conversation, just go to Top Traders Episode 25.
Deciding between Systematic and Discretionary Trading
Scot: ...I started putting together a trading model. In my opinion, they were three big picture decisions that somebody had to make when you talk about what kind of trader you are going to be. The first was discretionary or systematic and mechanical.

So I would define discretionary as I bring in different inputs, whatever those inputs might be. I weigh them in a non-standard fashion, meaning that I don't weigh them necessarily the same way every time. I might bring in the same inputs, I might look at different ratios, but sometimes input A overwhelms input B, and sometimes input B might overwhelm input A. Regardless of what that might be, and then I would make the trade decisions in that fashion. Systematic I define as I do the exact same thing every time. I might argue that, if you have any discretion, then you are discretionary. So that even if I have a mechanical model, but I decide 7 times a year to override it, I suspect those seven times a year are going to be 7 of the more volatile and the larger outcome periods, and in essence you have a discretionary model, which is fine but you are a discretionary trader.

"The primary reason that we wanted to be systematic is that we felt like we wanted the emotions taken out of the trading process."

The reason that I and we have gone with systematic is three-fold. The first is that we wanted something that the efficacy of which could be at least estimated through historical modeling and backtesting and the like. So if I'm a discretionary trader, one of the difficulties that we found was how do I know that my theory is accurate? I think that XYZ, whatever XYZ is, it might make perfect sense, but what I have there is a good hypothesis that will be interesting to test, but I really have no method of testing it. Therefore, no way to prove that at least my idea had worked in the past. The second reason that we went with a more systematic model is that we felt that it would be much easier to apply to a wide variety of markets. If I was going to be..and that also ties into the inputs we might use...but if I were going to be discretionary, and I was attempting to trade the Yen and cotton, it would perhaps be very difficult to be an expert in both of those two markets. Now you could be discretionary and not necessarily have fundamental inputs, but that will be the second part of this answer. The primary reason that we wanted to be systematic is that we felt like we wanted the emotions taken out of the trading process. We wanted something that was repeatable, so that I could say the same decisions that I made in June of 2004 I'm going to make in December of 2018. It's the same process. It's a much more repeatable process than my weighing all these different factors. The other thing is that we think that it's...I don't know about impossible, but extraordinarily difficult to separate your decision-making process from your own emotional state at any given time. I think it's probably a bit fanciful to say that I would make the exact same decisions on the day that my wife left me as the day that my son won an Olympic gold medal. (This applies) also within trading: If I've just had 4 straight up 15% months I think it's extremely difficult to bring the same analysis as if I just lost...if I'm in the middle of a 30% drawdown. What we basically said was that my wife has just walked out on me should not have any effects on the trades that I take.

So the second thing that we looked at was what kind of timeframe are...
17 min
January 30, 2019 Best of TTU – Simplicity is the Ultimate Sophistication
A few years back, I had a great discussion with die-hard Trend Follower, Scot Billington. I would like to share some key moments with you, including how to perceive past track records, and also some of the differences between the long side and the short side. If you would like to listen to the full conversation, just go to Top Traders Episode 25.
Deciding between Systematic and Discretionary Trading
Scot: ...I started putting together a trading model. In my opinion, they were three big picture decisions that somebody had to make when you talk about what kind of trader you are going to be. The first was discretionary or systematic and mechanical.

So I would define discretionary as I bring in different inputs, whatever those inputs might be. I weigh them in a non-standard fashion, meaning that I don't weigh them necessarily the same way every time. I might bring in the same inputs, I might look at different ratios, but sometimes input A overwhelms input B, and sometimes input B might overwhelm input A. Regardless of what that might be, and then I would make the trade decisions in that fashion. Systematic I define as I do the exact same thing every time. I might argue that, if you have any discretion, then you are discretionary. So that even if I have a mechanical model, but I decide 7 times a year to override it, I suspect those seven times a year are going to be 7 of the more volatile and the larger outcome periods, and in essence you have a discretionary model, which is fine but you are a discretionary trader.

"The primary reason that we wanted to be systematic is that we felt like we wanted the emotions taken out of the trading process."

The reason that I and we have gone with systematic is three-fold. The first is that we wanted something that the efficacy of which could be at least estimated through historical modeling and backtesting and the like. So if I'm a discretionary trader, one of the difficulties that we found was how do I know that my theory is accurate? I think that XYZ, whatever XYZ is, it might make perfect sense, but what I have there is a good hypothesis that will be interesting to test, but I really have no method of testing it. Therefore, no way to prove that at least my idea had worked in the past. The second reason that we went with a more systematic model is that we felt that it would be much easier to apply to a wide variety of markets. If I was going to be..and that also ties into the inputs we might use...but if I were going to be discretionary, and I was attempting to trade the Yen and cotton, it would perhaps be very difficult to be an expert in both of those two markets. Now you could be discretionary and not necessarily have fundamental inputs, but that will be the second part of this answer. The primary reason that we wanted to be systematic is that we felt like we wanted the emotions taken out of the trading process. We wanted something that was repeatable, so that I could say the same decisions that I made in June of 2004 I'm going to make in December of 2018. It's the same process. It's a much more repeatable process than my weighing all these different factors. The other thing is that we think that it's...I don't know about impossible, but extraordinarily difficult to separate your decision-making process from your own emotional state at any given time. I think it's probably a bit fanciful to say that I would make the exact same decisions on the day that my wife left me as the day that my son won an Olympic gold medal. (This applies) also within trading: If I've just had 4 straight up 15% months I think it's extremely difficult to bring the same analysis as if I just lost...if I'm in the middle of a 30% drawdown. What we basically said was that my wife has just walked out on me should not have any effects on the trades that I take.

So the second thing that we looked at was what kind of timeframe are...
17 min
January 30, 2019 BO11: Simplicity is the Ultimate Sophistication
A few years back, I had a great discussion with die-hard Trend Follower, Scot Billington. I would like to share some key moments with you, including how to perceive past track records, and also some of the differences between the long side and the short side.
Listen to the full episode here.
-----
50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
-----

Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.
IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.
And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.
Learn more about the Trend Barometer here.
Send your questions to [email protected]
And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.
Copyright © 2025 – CMC AG – All Rights Reserved
----
PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:
1. eBooks that cover key topics that you need to know about
In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here
2. Daily Trend Barometer and Market Score
One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here
3. Other Resources that can help you
And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here
Privacy Policy
Disclaimer
17 min
January 28, 2019 20 The Systematic Investor Series – January 28th, 2019
Welcome to The Systematic Investor series. It's a great privilege for me to invite you to a behind the scenes conversation between some of my favorite systematic investors namely Jerry Parker and Moritz Seibert. We get on a "call" each week to discuss the events that took place through the lens of a Systematic Investor and how the trading strategies we work with are reacting. It's a raw and honest exploration and we hope you will join and be part of...not least by sending us questions that we can discuss. Please send your questions to [email protected]

Subscribe on:
1 hr 7 min
January 28, 2019 20 The Systematic Investor Series – January 28th, 2019
Welcome to The Systematic Investor series. It's a great privilege for me to invite you to a behind the scenes conversation between some of my favorite systematic investors namely Jerry Parker and Moritz Seibert. We get on a "call" each week to discuss the events that took place through the lens of a Systematic Investor and how the trading strategies we work with are reacting. It's a raw and honest exploration and we hope you will join and be part of...not least by sending us questions that we can discuss. Please send your questions to [email protected]

Subscribe on:
1 hr 7 min
January 28, 2019 SI20: Crisis Alpha...To Love or Not To Love
Welcome to The Systematic Investor series. It’s a great privilege for me to invite you to a behind the scenes conversation between some of my favorite systematic investors namely Jerry Parker and Moritz Seibert. We get on a “call” each week to discuss the events that took place through the lens of a Systematic Investor and how the trading strategies we work with are reacting. It’s a raw and honest exploration and we hope you will join and be part of…not least by sending us questions that we can discuss.
-----
50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
-----

Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.
IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.
And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.
Learn more about the Trend Barometer here.
Send your questions to [email protected]
And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.
Copyright © 2025 – CMC AG – All Rights Reserved
----
PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:
1. eBooks that cover key topics that you need to know about
In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here
2. Daily Trend Barometer and Market Score
One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here
3. Other Resources that can help you
And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here
Privacy Policy
Disclaimer
1 hr 7 min
January 23, 2019 19 Top Traders Round Table with Andrew Lo and Sol Waksman – 2of2
"If someone wants a better return, they have no choice but to take additional risk, no matter how they feel about risk or how risk averse they may be." - Sol Waksman (Tweet)
Welcome to Top Traders Round Table, a podcast series on managed futures brought to you by CME Group, where host Niels Kaastrup-Larsen continues his conversation with Andrew Lo, the Charles E. and Susan T. Harris Professor at the MIT Sloan School of Management, and Sol Waksman, the Founder and President of BarclayHedge, Ltd. Listen in to learn the effects of politics in the financial markets and how trend following fits in, the state of cryptocurrency in the current market, and the advice our guests have for investors and their future.

Subscribe on:

In This Episode, You'll Learn:

Why relatively so few investors have added managed futures and trend following to their portfolio, despite all the evidence
The lessons different groups of people can still learn from the economic crisis of 2008
How political uncertainty affects where investors put their money

"[Many of these finance] technologies are now creating new sub-industries. Who would have thought that cryptocurrencies would be a separate asset class, but it seems like it's emerging as such." - Andrew Lo (Tweet)

What Sol sees as the constant lesson we should be learning from these periodic economic events
Why investors have a hard time grasping the advantages of the liquidity that trend following brings to investments
The present and future impact of artificial intelligence on the finance industry

"What have we learned from this last stock market crash? I think we keep learning the same lesson, and that lesson is that when liquidity dries up, all correlations go to 1." - Sol Waksman (Tweet)

Why Andrew believes the centralization to one cryptocurrency is inevitable
The advice Andrew and Sol have for investors to prepare for the future

This episode was sponsored by CME Group:

Connect with our guests:
Learn more about Andrew Lo and MIT Sloan School of Management
Learn more about Sol Waksman and BarclayHedge, Ltd.
"I think there were a lot of lessons that were offered by the financial crisis, but the real question is who actually took those lessons to heart." - Andrew Lo (Tweet)
42 min
January 23, 2019 19 Top Traders Round Table with Andrew Lo and Sol Waksman – 2of2
"If someone wants a better return, they have no choice but to take additional risk, no matter how they feel about risk or how risk averse they may be." - Sol Waksman (Tweet)
Welcome to Top Traders Round Table, a podcast series on managed futures brought to you by CME Group, where host Niels Kaastrup-Larsen continues his conversation with Andrew Lo, the Charles E. and Susan T. Harris Professor at the MIT Sloan School of Management, and Sol Waksman, the Founder and President of BarclayHedge, Ltd. Listen in to learn the effects of politics in the financial markets and how trend following fits in, the state of cryptocurrency in the current market, and the advice our guests have for investors and their future.

Subscribe on:

In This Episode, You'll Learn:

Why relatively so few investors have added managed futures and trend following to their portfolio, despite all the evidence
The lessons different groups of people can still learn from the economic crisis of 2008
How political uncertainty affects where investors put their money

"[Many of these finance] technologies are now creating new sub-industries. Who would have thought that cryptocurrencies would be a separate asset class, but it seems like it's emerging as such." - Andrew Lo (Tweet)

What Sol sees as the constant lesson we should be learning from these periodic economic events
Why investors have a hard time grasping the advantages of the liquidity that trend following brings to investments
The present and future impact of artificial intelligence on the finance industry

"What have we learned from this last stock market crash? I think we keep learning the same lesson, and that lesson is that when liquidity dries up, all correlations go to 1." - Sol Waksman (Tweet)

Why Andrew believes the centralization to one cryptocurrency is inevitable
The advice Andrew and Sol have for investors to prepare for the future

This episode was sponsored by CME Group:

Connect with our guests:
Learn more about Andrew Lo and MIT Sloan School of Management
Learn more about Sol Waksman and BarclayHedge, Ltd.
"I think there were a lot of lessons that were offered by the financial crisis, but the real question is who actually took those lessons to heart." - Andrew Lo (Tweet)
Full Transcript
The following is a full detailed transcript of this conversion. Click here to subscribe to our mailing list, and get full access to our library of downloadable eBook transcripts!
Niels
Welcome back to Top Traders Round Table, a podcast series on managed futures brought to you by CME group where I continue my conversation with Andrew Lo, who is a professor at MIT Sloan School of Management and Director of MIT’s laboratory for financial engineering, as well as the founder, and, since 2018, the Chairman Emeritus at AlphaSymplex Group, and of course, the most recent winner of the Managed Futures Pinnacle Award. I’m also joined by another industry veteran, namely Sol Waksman, who is the founder and President of Barclayhedge.
So let me set up this question, the same question (more or less) to you Sol. My questions would be, as far as I’m aware, and you probably know this even better than I do, but, as far as I am aware of, there has never been a white paper written that does not conclude that adding managed futures or trend following to a portfolio of stocks and bonds does not improve the risk and return profile.
So, with that in mind, why do you think that still so relatively few investors, on a global scale, have added these strategies to their portfolio?
Sol
I think that when you look at stocks and bonds, you have a very strong argument for why stocks should go up over time and for the safety of bonds. These arguments, they are almost taken as a matter of faith.
42 min