149 Systematic Investor Series ft Mark Rzepczynski – July 18th, 2021

Mark Rzepczynski joins us this week to discuss ‘algorithm aversion’ and the science of how ‘model anxiety’ shows investors to be naturally wary of rules-based systems.  We also discuss how to evaluate momentum data, how a busy week for market news can still be a quiet week for Trend Followers, the benefits of moving away from ‘peak complexity’ as soon as possible, why having too many filters can expose a trader to large opportunity costs, the optimal percentage amount of risk per trade, as well as portfolio construction versus signal generation and which is more important.
You can find Mark’s latest writings here.
If you would like to leave us a voicemail to play on the show, you can do so here.
Check out our Global Macro series here.
Learn more about the Trend Barometer here.
IT's TRUE 👀 - most CIO's read 50+ books each year - get your copy of the Ultimate Guide to the Best Investment Books ever written here.
And you can get a free copy of my latest book "The Many Flavors of Trend Following" here.
Send your questions to [email protected]
Follow Niels & Mark on Twitter:
@TopTradersLive  & @MRzepczynski
And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast.
Top Traders Unplugged wins award for ‘Best Trading Podcast’ and features among the ‘Top 20 Best Investing Podcasts in 2020’ by The Investors Podcast 🏆.

Episode TimeStamps:
00:00 – Intro
01:49 – A huge thank you to listeners of the show for leaving your 5-star reviews on iTunes
03:02 – Macro recap from Niels
04:48 – Weekly review of performance
11:59  – Q1; James: What are your views on momentum indicators diverging against price action?
24:56  – Q2; Frank: What is your view on the relationship between the stop and the look-back period?
28:52  – Q3; John: Is the 2% rule still a popular and good risk-per-trade today?
35:56  – Q4; Mark: Would you ever not take a trade because it seems so absurd logically?
40:11  – Q5; Frederick: Do you think people are underinvested in CTAs because they want to feel in more ‘in control’ than a systematic approach would allow them to?
45:34 – The calculus of business cycles
48:51 – Narrative ambiguity versus model clarity
50:53 – How to handle depreciating cash
54:04 – The power of weather shocks
58:01 – Do we need inflation futures?
59:58 – Curve play in bonds
01:02:11 – Hayek co-ordination  problem and recovery
01:04:57 – Benchmark performance update
01:05:57 – Next week we have Richard Brennan joining us on the show, so send in your questions
Subscribe on:

Mark Rzepczynski joins us this week to discuss ‘algorithm aversion’ and the science of how ‘model anxiety’ shows investors to be naturally wary of rules-based systems.  We also discuss how to evaluate momentum data, how a busy week for market news can still be a quiet week for Trend Followers, the benefits of moving away from ‘peak complexity’ as soon as possible, why having too many filters can expose a trader to large opportunity costs, the optimal percentage amount of risk per trade, as well as portfolio construction versus signal generation and which is more important.

You can find Mark’s latest writings here.

If you would like to leave us a voicemail to play on the show, you can do so here.

Check out our Global Macro series here.

Learn more about the Trend Barometer here.

IT’s TRUE 👀 – most CIO’s read 50+ books each year – get your copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “The Many Flavors of Trend Following” here.

Send your questions to [email protected]

Follow Niels & Mark on Twitter:

@TopTradersLive  & @MRzepczynski

And please share this episode with a like-minded friend and leave an honest rating & review on iTunes so more people can discover the podcast.

Top Traders Unplugged wins award for ‘Best Trading Podcast’ and features among the ‘Top 20 Best Investing Podcasts in 2020’ by The Investors Podcast 🏆.

00:00 – Intro

01:49 – A huge thank you to listeners of the show for leaving your 5-star reviews on iTunes

03:02 – Macro recap from Niels

04:48 – Weekly review of performance

11:59  – Q1; James: What are your views on momentum indicators diverging against price action?

24:56  – Q2; Frank: What is your view on the relationship between the stop and the look-back period?

28:52  – Q3; John: Is the 2% rule still a popular and good risk-per-trade today?

35:56  – Q4; Mark: Would you ever not take a trade because it seems so absurd logically?

40:11  – Q5; Frederick: Do you think people are underinvested in CTAs because they want to feel in more ‘in control’ than a systematic approach would allow them to?

45:34 – The calculus of business cycles

48:51 – Narrative ambiguity versus model clarity

50:53 – How to handle depreciating cash

54:04 – The power of weather shocks

58:01 – Do we need inflation futures?

59:58 – Curve play in bonds

01:02:11 – Hayek co-ordination  problem and recovery

01:04:57 – Benchmark performance update

01:05:57 – Next week we have Richard Brennan joining us on the show, so send in your questions

Subscribe on: