Finding the Optimal Trend Following Rules | Systematic Investor 300
Вставка
- Опубліковано 17 чер 2024
- Together with Richard Brennan, we discuss the optimal way of doing trend following and how to find the optimal set of rules to use in different market regimes, how to examine market states through Markov models and how artificial intelligence will impact trend following and make short-term trading incredibly competitive. Lastly, we ask ChatGPT what the optimal way of doing trend following is.
#toptraders #investing #trendfollowing
Episode Summary
01:04 - What has been on our radar recently?
04:03 - Industry performance update
07:50 - Q1, Dennis: Given the nature of lengthy hold periods, do you recommend trading cash CFD's accounting for the overnight costs?
11:40 - Q2, Ramki: Using ATR for position sizing when backtesting a trend following system
14:47 - Optimal rules to use in different kinds of market regimes
18:46 - How to use Markov models and mathematical algorithms to optimize trend following strategies
41:17 - Is trend following threatened by AI?
51:39 - "ChatGPT, what is the optimal way of doing trend following?"
Full episode can be found here:
toptradsersunplugged.com/si300
Subscribe to our podcast:
iTunes: itunes.apple.com/us/podcast/t...
Spotify: open.spotify.com/show/2OnOvLb...
Follow us on social media:
TWITTER: / toptraderslive (@TopTradersLive)
FACEBOOK: / toptradersunplugged
INSTAGRAM: / toptradersunplugged
SOUNDCLOUD: / toptradersunplugged-com
Follow Richard on Twitter: / richb118
Dr Tom Starke's UA-cam review of the Zakamulin and Giner paper is titled "Optimal Trend-Following Rules In Different Regimes with Dr. Tom Starke" on the Quantopian channel.
can we please have the link to the markov model paper discussed?
Google the title "Optimal Trend Following Rules in Two-State Regime-Switching Models" by Zakamulin and Giner. SSRN has the latest version dated November 4th 2023.
@@OzDelphi thank you!! going through it right now...
@@yms9892 see my other comment about the Dr Tom Starke review video.