Top Traders Unplugged

By Niels Kaastrup-LarsenBusiness News Investing Business News

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Top Traders Unplugged episodes

October 24, 2018 Best of TTU – Identifying the Right Parameter Set
In any systematic trading strategy choosing the right combination of parameters for your model or approach is critical. So today, I wanted to share a valuable takeaway from a conversation with Bill Dreiss, where we discuss his thoughts, experience and approach to identifying parameter sets which I think you will find to be rather different to most managers. Bill and I discussed this as well as many other super interesting aspects of trading from his 40+ year career and I think these lessons will benefit you immensely. If you want to listen to the full podcast episode then just click here. click here
Identifying the right Parameter Set for Risk Management

Bill: The big trend followers, and certainly trend following dominates the CTA space, you’d think they’d all just be cannibalizing themselves. I think this gets back to what I was saying, that I’m a technical trader that believes in fundamentals. So there’s a world out there that can’t be controlled or that’s beyond the reach of market psychology or market methodology and I think that world is subject to forces - generally longer term forces - that are pretty much universal and timeless.

Niels: Human behavior, yeah.
Bill: That go back in history as far as you want to go and that will go into the future as far.
Niels:  You know, I agree with all that, Bill, and it’s interesting because there’s obviously still so much resistance, it’s fair to say, by a lot of people, certainly on the investor side, to embrace this and you always have to justify why trend following works. Even if it has a year or two of under average performance then it’s their case for why it has stopped working and it’s never going to work again. So certain things don’t change.
I want to go back also to another point which I think differentiates you a lot compared to the managers that we see out there. Maybe you can explain more that where I’m going with this is that I know that you, or at least part of your system is not looking at parameters, meaning you’re not trying to optimize a certain parameter set while, if you use moving averages, or price breakout, whatever it might be, clearly a big part of the research is really identifying the right parameter sets to use. Explain to me about that and why you’ve chosen this way of looking at it.
Bill: Well, of course the idea of data fitting has been the nemesis of anyone who’s tried to design systems. So one of the attractions to the fractal approach was that you’re dealing again with very fundamental patterns, but you’re dealing with patterns as opposed to numbers. You’re dealing with pictures instead of the numerical approach. So in the first place, if you adjust the algorithm the way I’ve described it, is not a matter of optimizing on any kind of numerical parameters. It’s a matter of setting up a certain structure and then, in a sense, graphically utilizing that structure to translate that into patterns.

"... went through and tried all the different possibilities and picked out the best one."

Now there’s certainly data fitting in the sense that you’re fitting what patterns that you think are significant versus those that you don’t. You’ve obviously got to have some choice there. For instance, trading weekly charts versus daily charts, that’s obviously a parameter that you’ve selected. But these might be numerical parameters but they’ve been selected on a qualitative criterion. They haven’t been selected because I went through and tried all the different possibilities and picked out the best one. It was a much broader type of judgement that was made.
So the advantage, again is that, in terms of designing a system, you’re not really focusing. You’re coming into it with an analysis that’s based upon, shall we say, qualitative judgements about how the markets work and so on and so forth.
9 min
October 24, 2018 Best of TTU – Identifying the Right Parameter Set
In any systematic trading strategy choosing the right combination of parameters for your model or approach is critical. So today, I wanted to share a valuable takeaway from a conversation with Bill Dreiss, where we discuss his thoughts, experience and approach to identifying parameter sets which I think you will find to be rather different to most managers. Bill and I discussed this as well as many other super interesting aspects of trading from his 40+ year career and I think these lessons will benefit you immensely. If you want to listen to the full podcast episode then just click here. click here
Identifying the right Parameter Set for Risk Management

Bill: The big trend followers, and certainly trend following dominates the CTA space, you’d think they’d all just be cannibalizing themselves. I think this gets back to what I was saying, that I’m a technical trader that believes in fundamentals. So there’s a world out there that can’t be controlled or that’s beyond the reach of market psychology or market methodology and I think that world is subject to forces - generally longer term forces - that are pretty much universal and timeless.

Niels: Human behavior, yeah.
Bill: That go back in history as far as you want to go and that will go into the future as far.
Niels:  You know, I agree with all that, Bill, and it’s interesting because there’s obviously still so much resistance, it’s fair to say, by a lot of people, certainly on the investor side, to embrace this and you always have to justify why trend following works. Even if it has a year or two of under average performance then it’s their case for why it has stopped working and it’s never going to work again. So certain things don’t change.
I want to go back also to another point which I think differentiates you a lot compared to the managers that we see out there. Maybe you can explain more that where I’m going with this is that I know that you, or at least part of your system is not looking at parameters, meaning you’re not trying to optimize a certain parameter set while, if you use moving averages, or price breakout, whatever it might be, clearly a big part of the research is really identifying the right parameter sets to use. Explain to me about that and why you’ve chosen this way of looking at it.
Bill: Well, of course the idea of data fitting has been the nemesis of anyone who’s tried to design systems. So one of the attractions to the fractal approach was that you’re dealing again with very fundamental patterns, but you’re dealing with patterns as opposed to numbers. You’re dealing with pictures instead of the numerical approach. So in the first place, if you adjust the algorithm the way I’ve described it, is not a matter of optimizing on any kind of numerical parameters. It’s a matter of setting up a certain structure and then, in a sense, graphically utilizing that structure to translate that into patterns.

"... went through and tried all the different possibilities and picked out the best one."

Now there’s certainly data fitting in the sense that you’re fitting what patterns that you think are significant versus those that you don’t. You’ve obviously got to have some choice there. For instance, trading weekly charts versus daily charts, that’s obviously a parameter that you’ve selected. But these might be numerical parameters but they’ve been selected on a qualitative criterion. They haven’t been selected because I went through and tried all the different possibilities and picked out the best one. It was a much broader type of judgement that was made.
So the advantage, again is that, in terms of designing a system, you’re not really focusing. You’re coming into it with an analysis that’s based upon, shall we say, qualitative judgements about how the markets work and so on and so forth.
9 min
October 24, 2018 BO06: Identifying the best trading rules
In any systematic trading strategy choosing the right combination of parameters for your model or approach is critical. So today, I wanted to share a valuable takeaway from a conversation with Bill Dreiss, where we discuss his thoughts, experience and approach to identifying parameter sets which I think you will find to be rather different to most managers. Bill and I discussed this as well as many other super interesting aspects of trading from his 40+ year career and I think these lessons will benefit you immensely.
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
9 min
October 20, 2018 06 The Systematic Investor Series – October 21st, 2018
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
1:15 - Weekly recap
5:30 - Top tweets
34:30 - Question set 1: George; Please discuss system optimization/backtesting details
43:30 - Question set 2: George; How do you determine when a system is broken? Do you keep losing markets in a system?
49:50 - Question set 3: George; How do you avoid curve fitting? How do you choose best parameters?
55:55 - Performance recap
Subscribe on:
1 hr
October 20, 2018 06 The Systematic Investor Series – October 21st, 2018
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
1:15 - Weekly recap
5:30 - Top tweets
34:30 - Question set 1: George; Please discuss system optimization/backtesting details
43:30 - Question set 2: George; How do you determine when a system is broken? Do you keep losing markets in a system?
49:50 - Question set 3: George; How do you avoid curve fitting? How do you choose best parameters?
55:55 - Performance recap
Subscribe on:
1 hr
October 20, 2018 SI06: How to optimize your trading system
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
01:15 – Weekly recap of performance
05:30 – Top tweets
34:30 – Question set 1: George; Please discuss system optimization/backtesting details
43:30 – Question set 2: George; How do you determine when a system is broken? Do you keep losing markets in a system?
49:50 – Question set 3: George; How do you avoid curve fitting? How do you choose best parameters?
55:55 – 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
October 19, 2018 106 Implementing The Contrarian Model with Jean Jacques Duhot of Arctic Blue Capital – 1of2
“I thought that trend-following was an amazing part of the story, but maybe it could be complemented by some contrarian approach. And also, taking the trend by cutting it into parts.” - Jean Jacques Duhot (Tweet)
Today on Top Traders Unplugged, I'm joined by my co-host Moritz Seibert to speak with Jean Jacques Duhot, the Chief Investment Officer at Arctic Blue Capital. Jean Jacques's observations of different discretionary trading teams has given him valuable insight into a variety of trading methods and has allowed him to develop a unique multi-part model that utilizes the role of a contrarian mindset to great success. Listen in to today's episode to learn about the beginnings of Arctic Blue Capital, how Jean Jacques developed his multi-part model, and how he tested it using a specifically "agnostic" outlook.
Thanks for listening and please welcome our guest Jean Jacques Duhot.

Subscribe on:

In This Episode, You'll Learn:

How Arctic Blue Capital got it's start
What influenced Jean Jacques in how he developed his unique "contrarian" trend following system
How Jean Jacques shaped his multi-part trend-following model

“You have your very reactive traders, your very patient traders, and your contrarian traders. And you want to empower them by giving them the same level of risk and being totally independent from each other, and not talking to each other.” - Jean Jacques Duhot (Tweet)

Who the three different types of traders are in his model
Why Jean Jacques took a more "agnostic" outlook when he tested his model
The reason why using a relatively small portfolio of markets benefits Jean Jacques's model

“We found that the VIX was acting as a good warning signal on one side, and a carry generation on the other side.” - Jean Jacques Duhot (Tweet)

Why Jean Jacques prefers ETF over the futures markets
How VIX can act as a warning signal
Why going in full on a new signal works for Jean Jacques

Connect with Arctic Blue Capital:
Visit the Website: Arctic Blue Capital
Call Arctic Blue Capital: +44 207 292 1608
E-Mail Arctic Blue Capital: [email protected]
Follow Jean Jacques Duhot on Linkedin
“I think that there's amazing gains of production in the United States. The farmers have been the first benefitting from US banks to get cheap money lended to them, and they made tremendous gains in productivity, and therefore the supply is quite ample.” - Jean Jacques Duhot - (Tweet)
35 min
October 19, 2018 106 Implementing The Contrarian Model with Jean Jacques Duhot of Arctic Blue Capital – 1of2
“I thought that trend-following was an amazing part of the story, but maybe it could be complemented by some contrarian approach. And also, taking the trend by cutting it into parts.” - Jean Jacques Duhot (Tweet)
Today on Top Traders Unplugged, I'm joined by my co-host Moritz Seibert to speak with Jean Jacques Duhot, the Chief Investment Officer at Arctic Blue Capital. Jean Jacques's observations of different discretionary trading teams has given him valuable insight into a variety of trading methods and has allowed him to develop a unique multi-part model that utilizes the role of a contrarian mindset to great success. Listen in to today's episode to learn about the beginnings of Arctic Blue Capital, how Jean Jacques developed his multi-part model, and how he tested it using a specifically "agnostic" outlook.
Thanks for listening and please welcome our guest Jean Jacques Duhot.

Subscribe on:

In This Episode, You'll Learn:

How Arctic Blue Capital got it's start
What influenced Jean Jacques in how he developed his unique "contrarian" trend following system
How Jean Jacques shaped his multi-part trend-following model

“You have your very reactive traders, your very patient traders, and your contrarian traders. And you want to empower them by giving them the same level of risk and being totally independent from each other, and not talking to each other.” - Jean Jacques Duhot (Tweet)

Who the three different types of traders are in his model
Why Jean Jacques took a more "agnostic" outlook when he tested his model
The reason why using a relatively small portfolio of markets benefits Jean Jacques's model

“We found that the VIX was acting as a good warning signal on one side, and a carry generation on the other side.” - Jean Jacques Duhot (Tweet)

Why Jean Jacques prefers ETF over the futures markets
How VIX can act as a warning signal
Why going in full on a new signal works for Jean Jacques

Connect with Arctic Blue Capital:
Visit the Website: Arctic Blue Capital
Call Arctic Blue Capital: +44 207 292 1608
E-Mail Arctic Blue Capital: [email protected]
Follow Jean Jacques Duhot on Linkedin
“I think that there's amazing gains of production in the United States. The farmers have been the first benefitting from US banks to get cheap money lended to them, and they made tremendous gains in productivity, and therefore the supply is quite ample.” - Jean Jacques Duhot - (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
Hey everyone, and welcome to another edition of Top Traders Unplugged where today, my co-host Moritz Seibert and I are joined by Jean Jacques Duhot, who is the founder and CIO at Arctic Blue, which is part of the Fifteen Billion Dollar Plus H2O Asset Management Group.
Now JJ, thanks so much for coming on the podcast with Moritz and me today. We really appreciate you taking time out to do this, and we’re very excited about our conversation today. Now, there is an interesting story behind your firm and your journey, in particular, and the question of why you created the strategy the way you did. So, why don’t we start with that? Tell us about your journey and what you’ve been up to all these years.
JJ
Thank you first for having me, both of you. I am extremely honored to be part of this podcast that I have been listening to for many years now.
Niels
Thanks.
JJ
The journey of Arctic Blue started in Canada when I moved to the Great North in 2007 to join the Sovereign Pension Fund of Quebec. We developed and implemented systematic strategy with a specific approach, by asset class,
35 min
October 19, 2018TTU106: The Value of Being a Contrarian Trader ft. Jean Jacques Duhot of Arctic Blue Capital – 1of2
Today I’m joined by my co-host Moritz Seibert to speak with Jean Jacques Duhot, the Chief Investment Officer at Arctic Blue Capital. Jean Jacques’s observations of different discretionary trading teams has given him valuable insight into a variety of trading methods and has allowed him to develop a unique multi-part model that utilizes the role of a contrarian mindset to great success. Listen in to today’s episode to learn about the beginnings of Arctic Blue Capital, how Jean Jacques developed his multi-part model, and how he tested it using a specifically “agnostic” outlook.
-----
50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
In This Episode, You’ll Learn:
How Arctic Blue Capital got it’s start
What influenced Jean Jacques in how he developed his unique “contrarian” trend following system
How Jean Jacques shaped his multi-part trend-following model
Who the three different types of traders are in his model
Why Jean Jacques took a more “agnostic” outlook when he tested his model
The reason why using a relatively small portfolio of markets benefits Jean Jacques’s model
Why Jean Jacques prefers ETF over the futures markets
How VIX can act as a warning signal
Why going in full on a new signal works for Jean Jacques

-----

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.
Follow Jean Jacques Duhot on Linkedin
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
35 min
October 17, 2018 BO05: The Problems with Smart Beta & the Holy Grail of Investing?
Kathryn Kaminski and I had the opportunity to sit down with Nigol Koulajian, the founder of Quest Partners, in which he shared his deep insights in many areas of trading. During our conversation, there were a few short segments that I particularly enjoyed and I would love to share them with you here. Below you can learn about Nigols take on the problems with Smart Beta, and also his explanation of Filtering being ͞the Holy Grail. This interview was packed with insight and wisdom so if you would like to hear the full episode then you can do so by clicking here (#101) and also here (#102).
The problems with Smart Beta
"Nigol: So, the short-term index is flat since inception, or negative or actually down since inception. So yes, "challenging" is, as I said, you’re being extremely gentle.
So, why are short-term managers still getting allocation? This is because of diversification, but also because of convexity. If you’re long a put on the market and it’s going to cost you ten percent a year, fifteen percent a year, twenty percent a year, you can get the same protection for five percent a year negative. Investors who are pricing these things accurately will see a great investment.
"...what’s critical is that the short-term space is much more easily crowded"
So, lucky for us, we’ve been able to provide substantial alpha relative to the CTA indices, whether short-term or long-term. So, in the short-term space what’s critical is that the short-term space is much more easily crowded. When you’re trading short-term, you’re typically trading more stops and trading on stops intraday rather than VWAPing (Volume Weighted Average Price) or trading market on open, market on close.
So, you’re very sensitive to spikes in the market, up or down, and you’re getting whipsawed much more if you have short-term noise. So, what’s critical to do then is to have the right filtering techniques.
Of course, you want to buy cheap convexity, and you want to sell expensive convexity, realized in the markets. One way to do this is, if everybody is trading a ten-day channel breakout, you want to short ten-day channel breakout.
If you look at the short-term CTA index, you can have seventy percent correlation to it by trading ten-day channel breakouts. I know short-term CTAs are much more short-term than that, but ten-day channel breakout I think has seventy or eighty percent correlation.
So, this is kind of like the smart beta version of the short-term CTA index. You want to be shorting that and going long momentum around it. So, if everybody wants to buy the S&P, nobody wants to buy stock number five hundred and one, short the S&P and go long small cap. It’s typical arbitrage of equity long / short.
The same thing applies in the CTA space. You want to short smart beta and go long everything around it. In the short-term space, in particular, where you’re highly affected by the liquidity of the markets this becomes very, very critical. So, there are ways to trade mean reversion where it’s kind of like the “lazy man’s trading,” where you want to find the positive convexity around it, the same as I explained with the S&P.
Niels: Just curious, maybe on a slightly different tack. You bring up the words “smart beta.”Of course in our industry, and in particularly the trend following space, over the years it has been... Certain firms promote trend following as being a very easy risk premia to replicate, so they sell their products very cheaply. Yet, I have not really seen that these products have outperformed the true veterans in that particular strategy.
I’m just curious, but the smart beta products, some of them, have raised billions of dollars because people look at the fees and say, “Oh yeah, it’s easy so we shouldn’t pay so much for it.” So when you say you should short beta and do everything around it, what should you then do?
11 min