SI08: How to tell if you system has stopped working?
Episode description
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.
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Episode TimeStamps:
00:00 – Intro
00:50 – Weekly recap of performance
20:15 – Top tweets
38:50 – Question 1: Kyle; What’s the preferred method of dynamically adjusting/rebalancing a portfolio?
49:30 – Question 2: Dave; Please describe ways to reduce risk in drawdowns
52:50 – Question 3: Dimitry; What time frames do you consider too long to be effective (ex. quarterly)
57:45- Question 4: Dimitry; At what point in drawdown (%) do you say something is wrong with the system?
01:01:30 – Question 5: Robert; Do you typically trade the front month contract or use proprietary methods to select contracts?
01:04:30 – Benchmark performance update
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