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.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

In this episode, we discuss:

How behavioural finance leaves investors under-allocated to Trend Following strategies
How to perceive momentum data
Why the steady flow of market news often has little value for Trend Followers
Embracing simplicity
The need to avoid too many filters in your system
How much should be risked per trade

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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

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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

Disclaimer

SI149: Model Anxiety & Algorithm Aversion ft. Mark Rzepczynski

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