SI152: Love Your Rules, But Not Your Positions ft. Jerry Parker

Jerry Parker is on the show with us today to discuss Ethereum’s recent rise after a new ‘hard fork’, auto-correlation and its effects on Trend Following strategies, how trading extra markets can improve performance, drawdowns as a key to profiting from huge trends, how Trend Following firms who try to be too unique often end up underperforming, the power of pure Trend Following versus over-optimisation, why ESG investing should also take into account human rights issues, why you should love your trading rules but not your positions, and how trading in smaller sizes can lead to much bigger returns.

Also check out my interview with Turtle Trading legendary mentor Richard Dennis here.

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In this episode, we discuss:

• The recent comeback in crypto markets and trading crypto futures
• Thoughts on autocorrelation
• The benefits of trading a wide range of markets
• How over-optimisation can result in underperformance
• Why ESG investing should consider human rights issues as well as environmental
• Why your rules are more important than any one position
• How decreasing position size can increase a system's profits

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Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.

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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]

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Episode TimeStamps:

00:00 - Intro

04:11 - Macro recap from Niels

04:44 - A huge thank you to our listeners for leaving 5-star reviews in iTunes

05:25 - Discussion on Ethereum

08:34 - Weekly review of returns

10:21 - Where does the edge in Trend Following really come from?

17:13 - Market selection and utilising auto-correlation

26:40 - Q1; Mark: What are some of the things about Systematic Trading that you can only learn from experience?

34:48 - Q2; Stacius: When do you know that a strategy is robust, without doing a backtest?

38:19 - Jerry’s favourite measurement of risk-to-reward

51:21 - ‘Loose pants fit everyone’

53:51 - Deciding whether to trade in the Chinese futures markets

55:56 - CTAs utilising ETFs 

01:02:05 - The benefits of being an amazing ‘quitter’

01:05:29 - Trend Following performance during different interest-rate periods

01:07:22 - Winton’s positive recent positive comments on Trend Following 

01:08:57 - Transtrend’s recent article on volatility and how it should affect your models

01:12:59 - Benchmark performance update

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2. Daily Trend Barometer and Market Score

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3. Other Resources that can help you

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