Top Traders Unplugged

"My background really is in fixed income quant and macro and I have a pretty good grounding in discretionary trading, but I've been moving in a more systematic direction for a number of years." (Tweet) Today on Top Traders Unplugged, I'm joined by my cohost Moritz Seibert to speak with Doug Greenig, the Founder, CEO, and CIO at Florin Court Capital. Doug's early experiences in economics at Princeton and UC Berkeley helped kick off his career in finance, and his work at BARRA in Berkeley started his eventual dive into the CTA space. Trading in exotic markets has helped Doug and his firm capitalize on unique opportunities and fully utilize the systematic trading model. Listen in to today's episode to learn how Doug got started in systematic trading and exotic markets, how he built his team at Florin Court, and how he has utilized exotic markets to their fullest potential. Thanks for listening and please welcome our guest Doug Greenig. Subscribe on: In This Episode, You'll Learn: How Doug got started in finance Why Doug got into the CTA space How systematic trading intrigued Doug more than discretionary trading The inspiration behind the name Florin Court Capital "The discipline of following the models and following the process [in systematic trading] is invaluable." (Tweet) Who influenced Doug in his financial career What Doug learned from working with Fischer Black  (co-inventor of the Black-Scholes model) How Doug found such an experienced team in the early days of Florin Court Capital The exotic markets that Doug is trading "I try to learn from as many people as I can, and some people have a lot to offer." (Tweet) What makes these exotic markets easier, or better to trade Where to find the right balance of exotic versus traditional markets What gives an asset more or less momentum, and why crypto is so special in this regard How Doug selects his markets, and his long-term strategy for maintaining that collection "I would rather have real economic players with different motives on the other side, than to be facing off against other CTA's with slightly different frequencies and other systematic shops." (Tweet) Why Florin Court Capital has stayed out of trading spot crypto How to adapt the different markets to the standard models Connect with Florin Court Capital: Visit the Website: Florin Court Capital Call Florin Court Capital: +44 207-016-3473 E-Mail Florin Court Capital: info@florincourt.com Follow Doug Greenig on LinkedIn "Systematic trading has a number of advantages over discretionary trading. It forces you to figure out ahead of time what you believe and what you're going to do in a given set of market circumstances." (Tweet)

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...not least by sending us questions that we can discuss. Please send your questions to info@toptradersunplugged.com Episode Summary 0:00 - Intro 0:50 - Weekly review 8:50 - Top tweets 24:30 - Question 1: Brian; What makes a trend follower a trend follower (are there variations on TF)? 32:20 - Question 2: Seth; What is the best way to achieve diversification in the fixed income/rates sector? 38:45 - Discussion papers: Winton, Tim Price 49:30 - Performance recap Subscribe on:

During a conversation I had with expert Bill Dreiss, we discussed many topics, all with great value. One part in particular I found really interesting, and which I would like to share with you, was when I asked Bill how he defines risk. If you would like to l know what Bill said then read on! If you would like to listen to the full conversation just go click here. How Bill Dreiss Defines Risk Niels:  Let’s shift gears to a very important topic namely risk management. How do you define risk? I know that you are not a big fan of standard deviation, so how do you define risk in your own methodology?  Bill:  I think, again, from my philosophical position I’m very suspicious of any kind of… things like VAR or any kind of standard risk metrics. I just think that risk is out there and your worst drawdowns always in the future.   I find if you look back over time, you find again some pretty standard risk profiles. You look at anybody who has been around for say 20 years or so, or maybe even 10, almost every one of those managers has had a major drawdown, which I would characterize as 50% or more, and usually just one, right?   "If you believe that your guy’s going to stay the course, then you should probably stay the course too. " The people who’ve survived in this business are people who have been able to weather drawdowns without losing their nerve. That’s exactly it. So that’s where the risk comes in. The risk comes in - is your manager going to lose it? That’s where the ultimate risk is. If you believe that your guy’s going to stay the course, then you should probably stay the course too.  Neils: I’m going to quote someone that you may be familiar with and who wrote a few years ago. It’s David Druz, and he wrote a few years ago that, “here’s an amazing thing about robust systems, the more robust a system, the more volatile it tends to be. This is because robust systems are not optimized to particular markets or market conditions. The converse is also true. You can design systems with excellent returns and low volatility on historical testing but which work only for a given period or given market. These systems tend to be curve fit and market fit and not robust.”  This is completely probably against what most people will feel that robust systems are the ones that are more volatile. I sense from our conversation today that, that is the conclusion that you’ve come to as well.  Bill:  Yeah, I know David and he’s right, and I think this is a conclusion that most people have been in the business for a while would come to. It’s what I call… This is in contrast to perhaps the dominant quant paradigm which is picking up nickels in front of a steamroller. In other words, you can design systems like Long Term Capital or whatever that can give you smooth returns for a while but what those systems are doing, in my opinion, are what I call warehousing risk.   So essentially it’s like… And I think it’s the same sort of thing that Dave is talking about, you can design a system that essentially accumulates risk in some sense, and that when it finally breaks out it happens in a big way. This is, of course, what happened in the lead up in the financial crisis. You had all these people developing these securitizations and all these sorts of things and they were just setting the system up for a major break. In the short term, while that was going on, everybody was happy because everybody was making money and the apparent risk was very low. That’s what I think a trend follower tends to do. I’m essentially taking risk - on an ongoing basis I’m realizing risk. I’m not warehousing it, I’m recognizing it and realizing it and that’s just part of the game. I think any sort of viable, long-term investment has to do that because otherwise it’s a disaster waiting to happen.  Niels:  Sure, A lot of people say,

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...not least by sending us questions that we can discuss. Please send your questions to info@toptradersunplugged.com Episode Summary 0:00 - Intro 0:50 - Weekly recap 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? 1:01:30 - Question 5: Robert; Do you typically trade the front month contract or use proprietary methods to select contracts? 1:04:30 - Performance recap Subscribe on:

It’s not often you get to sit down with a Turtle, let alone the father of the Turtle Experiment, and when I do I find it fascinating learning about the different experiences and outcomes that emerged from what really can be boiled down to 2 to 3 weeks of training in how to use trading rules to make money in the markets.  What was truly unique about the conversation I want to share a few key takeaways from today, is that Richard Dennis was joined by two of his Turtles, namely Jerry Parker and Brian Proctor, where they shared some of their personal impressions from their time together…things that has not really ever been discussed publically. We even discussed their research in to “counter-trend” models…not something you would think the Turtles would spend time on…and of course just having Richard Dennis share his wisdom was huge. If you want to catch the full conversation then just click here Turtle Takeaways Niels:  Brian and Jerry, what are the key takeaways from the whole Turtle experience when you think back on those years?  Jerry:  Hmmm, the takeaways? I think I learned a lot and it was just a magical time. Those were four great years. I had no expectation of future business. I think we all would have been incredibly happy to continue managing money for Rich for the rest of our lives and that would have been a good idea. "...is proper trading a real business?" I think that some of the other guys that we competed against at other CTAs, in my opinion, probably did not have nearly the training and support that we had and yet they have large businesses. A lot of these guys went out together and worked together so I think that was maybe an opportunity that we missed - most of us going out on our own. So I really wish, in some kind of crazy way, that we had the best training, the best experience, the best four years that anyone could ever hope for, but I don't know that I personally...  I went to a good business school, even though it doesn't really look like it. Maybe part of my problem was that... I suggested a question for Rich because I've asked this question many times to myself (maybe it's a bad question) but, is proper trading a real business? To some degree, I've tried to trade properly and not pay attention to clients as much as maybe I should have and not vol targeted and not taken profits and not made it a better experience. I think to some degree that was one of the Turtle characteristics that clients and others are going to lead you down the bad path so stick with your system. Stick with what you believe to be true, but maybe a little more compromise would have made me have a larger business. Niels:  Hmmm, yeah.  What about you, Brian?  Brian:  I would say that the most important concepts and things that always resonated with me were that you just have to have really strict risk management, don't overtrade, take lots of losing trades, don't get out of your winning trades until the trend is confirmed that it's over.  I think risk management was rule/key concept number one. Then, concept number two was: keep looking at new systems, blending different values together, different timeframes, to see if you can come up with something better than you already have. So, we've invested a lot of money in our research infrastructure, and we're always searching for the next best, great systems. I think those were the two concepts that I took away from the Turtle program were system development and risk management.  Niels:  Now, just going back to you, Rich. I can imagine you telling Jerry and Brian and all the other Turtles, "Trade small, follow the system, do the hard thing, do the right thing, and innovate and so on." What if you were to teach a Turtle Program today, would you teach them the same thing or is there anything different to what you would teach them in 2017?  Richard:  Well,

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...not least by sending us questions that we can discuss. Please send your questions to info@toptradersunplugged.com Episode Summary 0:00 - Intro 1:15 - Weekly recap 8:30 - Discussion of recent articles 21:30 - Top tweets 36:10 - Question 1: Mohit; Discuss moving averages as a TF device; position sizing; correlations 43:20 - Question 2; Paul; How many investors are out there who use TF but their AUM doesn’t show up in the official industry AUM #s 47:10 - Question 3: John; Asked about industry jargon and definitions: alpha; smart beta, implied vol, crisis alpha, convexity 51:30 - Question 4: Mohit; Is looking at correlations in the rearview mirror fallible? 52:50 - Question 5: Dave; What is the average time in trade of winners in a medium-term system? 57:10 - Question 6: What software do you use for backtesting/system management? 1:01:40 - Performance recap Subscribe on:

“It's all about learning and staying on the learning curve, that's the best advice you can give to your children.” - Jean Jacques Duhot (Tweet) Moritz Seibert and I continue our conversation with Jean Jacques Duhot and further discuss his contrarian and multi-part model, how his management company has stayed lean, and how the due diligence of investors and managers has changed the trading space for the better. Listen in to learn the unique properties of Jean Jacques new equities program, what he sees in the future of trend following, and who has influenced him most. Thanks for listening and please welcome our guest Jean Jacques Duhot. Subscribe on: In This Episode, You'll Learn: How Jean Jacques knows when to change his position in his "all-in" approach Why Arctic Blue's acquisition by H2O has been such a positive experience How H2O is helping Arctic Blue stay lean and focused What is unique about Arctic Blue's new equities program “We look at volatility as being a very good measure of the risk and therefore, it is difficult to get confirmation of sustainable volatility regime versus the noise.” - Jean Jacques Duhot (Tweet) What Jean Jacques defines as risk in his model What excites and scares Jean Jacques about about the future The most useful information Jean Jacques has learned about trend following “On the daily basis, I think it's all about habits that create processes that help you to stick with a very disciplined approach.” - Jean Jacques Duhot (Tweet) Why Jean Jacques believes the due diligence of managers by investors is the best it's been What books Jean Jacques recommends for anybody in the trend following and investing space Who influenced Jean Jacques in his journey into trend following   Connect with Arctic Blue Capital: Visit the Website: Arctic Blue Capital Call Arctic Blue Capital: +44 207 292 1608 E-Mail Arctic Blue Capital: ABC.Investors@h2o-am.com Follow Jean Jacques Duhot on Linkedin “The protection role and the ability to generate de-correlated returns by CT and trend following seems promising.” - Jean Jacques Duhot (Tweet)

In any systematic trading strategy choosing the right combination of parameters for your model or approach is critical. So today, I wanted to share a valuable takeaway from a conversation with Bill Dreiss, where we discuss his thoughts, experience and approach to identifying parameter sets which I think you will find to be rather different to most managers.  Bill and I discussed this as well as many other super interesting aspects of trading from his 40+ year career and I think these lessons will benefit you immensely.  If you want to listen to the full podcast episode then just click here.  click here Identifying the right Parameter Set for Risk Management Bill:  The big trend followers, and certainly trend following dominates the CTA space, you’d think they’d all just be cannibalizing themselves. I think this gets back to what I was saying, that I’m a technical trader that believes in fundamentals. So there’s a world out there that can’t be controlled or that’s beyond the reach of market psychology or market methodology and I think that world is subject to forces - generally longer term forces - that are pretty much universal and timeless.     Niels:  Human behavior, yeah.  Bill:  That go back in history as far as you want to go and that will go into the future as far.  Niels:  You know, I agree with all that, Bill, and it’s interesting because there’s obviously still so much resistance, it’s fair to say, by a lot of people, certainly on the investor side, to embrace this and you always have to justify why trend following works. Even if it has a year or two of under average performance then it’s their case for why it has stopped working and it’s never going to work again. So certain things don’t change.  I want to go back also to another point which I think differentiates you a lot compared to the managers that we see out there. Maybe you can explain more that where I’m going with this is that I know that you, or at least part of your system is not looking at parameters, meaning you’re not trying to optimize a certain parameter set while, if you use moving averages, or price breakout, whatever it might be, clearly a big part of the research is really identifying the right parameter sets to use. Explain to me about that and why you’ve chosen this way of looking at it.  Bill:  Well, of course the idea of data fitting has been the nemesis of anyone who’s tried to design systems. So one of the attractions to the fractal approach was that you’re dealing again with very fundamental patterns, but you’re dealing with patterns as opposed to numbers. You’re dealing with pictures instead of the numerical approach. So in the first place, if you adjust the algorithm the way I’ve described it, is not a matter of optimizing on any kind of numerical parameters. It’s a matter of setting up a certain structure and then, in a sense, graphically utilizing that structure to translate that into patterns.   "... went through and tried all the different possibilities and picked out the best one."   Now there’s certainly data fitting in the sense that you’re fitting what patterns that you think are significant versus those that you don’t. You’ve obviously got to have some choice there. For instance, trading weekly charts versus daily charts, that’s obviously a parameter that you’ve selected. But these might be numerical parameters but they’ve been selected on a qualitative criterion. They haven’t been selected because I went through and tried all the different possibilities and picked out the best one. It was a much broader type of judgement that was made.   So the advantage, again is that, in terms of designing a system, you’re not really focusing. You’re coming into it with an analysis that’s based upon, shall we say, qualitative judgements about how the markets work and so on and so forth.

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...not least by sending us questions that we can discuss. Please send your questions to info@toptradersunplugged.com Episode Summary 0:00 - Intro 1:15 - Weekly recap 5:30 - Top tweets 34:30 - Question set 1: George; Please discuss system optimization/backtesting details 43:30 - Question set 2: George; How do you determine when a system is broken? Do you keep losing markets in a system? 49:50 - Question set 3: George; How do you avoid curve fitting? How do you choose best parameters? 55:55 - Performance recap Subscribe on:

“I thought that trend-following was an amazing part of the story, but maybe it could be complemented by some contrarian approach. And also, taking the trend by cutting it into parts.” - Jean Jacques Duhot (Tweet) Today on Top Traders Unplugged, I'm joined by my co-host Moritz Seibert to speak with Jean Jacques Duhot, the Chief Investment Officer at Arctic Blue Capital. Jean Jacques's observations of different discretionary trading teams has given him valuable insight into a variety of trading methods and has allowed him to develop a unique multi-part model that utilizes the role of a contrarian mindset to great success. Listen in to today's episode to learn about the beginnings of Arctic Blue Capital, how Jean Jacques developed his multi-part model, and how he tested it using a specifically "agnostic" outlook. Thanks for listening and please welcome our guest Jean Jacques Duhot. Subscribe on: In This Episode, You'll Learn: How Arctic Blue Capital got it's start What influenced Jean Jacques in how he developed his unique "contrarian" trend following system How Jean Jacques shaped his multi-part trend-following model “You have your very reactive traders, your very patient traders, and your contrarian traders. And you want to empower them by giving them the same level of risk and being totally independent from each other, and not talking to each other.” - Jean Jacques Duhot (Tweet) Who the three different types of traders are in his model Why Jean Jacques took a more "agnostic" outlook when he tested his model The reason why using a relatively small portfolio of markets benefits Jean Jacques's model “We found that the VIX was acting as a good warning signal on one side, and a carry generation on the other side.” - Jean Jacques Duhot (Tweet) Why Jean Jacques prefers ETF over the futures markets How VIX can act as a warning signal Why going in full on a new signal works for Jean Jacques   Connect with Arctic Blue Capital: Visit the Website: Arctic Blue Capital Call Arctic Blue Capital: +44 207 292 1608 E-Mail Arctic Blue Capital: ABC.Investors@h2o-am.com Follow Jean Jacques Duhot on Linkedin “I think that there's amazing gains of production in the United States. The farmers have been the first benefitting from US banks to get cheap money lended to them, and they made tremendous gains in productivity, and therefore the supply is quite ample.” - Jean Jacques Duhot - (Tweet)

Kathryn Kaminski and I had the opportunity to sit down with Nigol Koulajian, the founder of Quest Partners, in which he shared his deep insights in many areas of trading. During our conversation, there were a few short segments that I particularly enjoyed and I would love to share them with you here. Below you can learn about Nigols take on the problems with Smart Beta, and also his explanation of Filtering being ͞the Holy Grail. This interview was packed with insight and wisdom so if you would like to hear the full episode then you can do so by clicking here (#101) and also here (#102). The problems with Smart Beta "Nigol: So, the short-term index is flat since inception, or negative or actually down since inception. So yes, "challenging" is, as I said, you’re being extremely gentle. So, why are short-term managers still getting allocation? This is because of diversification, but also because of convexity. If you’re long a put on the market and it’s going to cost you ten percent a year, fifteen percent a year, twenty percent a year, you can get the same protection for five percent a year negative.  Investors who are pricing these things accurately will see a great investment. "...what’s critical is that the short-term space is much more easily crowded" So, lucky for us, we’ve been able to provide substantial alpha relative to the CTA indices, whether short-term or long-term. So, in the short-term space what’s critical is that the short-term space is much more easily crowded. When you’re trading short-term, you’re typically trading more stops and trading on stops intraday rather than VWAPing (Volume Weighted Average Price) or trading market on open, market on close. So, you’re very sensitive to spikes in the market, up or down, and you’re getting whipsawed much more if you have short-term noise. So, what’s critical to do then is to have the right filtering techniques. Of course, you want to buy cheap convexity, and you want to sell expensive convexity, realized in the markets. One way to do this is, if everybody is trading a ten-day channel breakout, you want to short ten-day channel breakout. If you look at the short-term CTA index, you can have seventy percent correlation to it by trading ten-day channel breakouts. I know short-term CTAs are much more short-term than that, but ten-day channel breakout I think has seventy or eighty percent correlation. So, this is kind of like the smart beta version of the short-term CTA index. You want to be shorting that and going long momentum around it. So, if everybody wants to buy the S&P, nobody wants to buy stock number five hundred and one, short the S&P and go long small cap. It’s typical arbitrage of equity long / short. The same thing applies in the CTA space. You want to short smart beta and go long everything around it. In the short-term space, in particular, where you’re highly affected by the liquidity of the markets this becomes very, very critical. So, there are ways to trade mean reversion where it’s kind of like the “lazy man’s trading,” where you want to find the positive convexity around it, the same as I explained with the S&P. Niels: Just curious, maybe on a slightly different tack. You bring up the words “smart beta.”Of course in our industry, and in particularly the trend following space, over the years it has been... Certain firms promote trend following as being a very easy risk premia to replicate, so they sell their products very cheaply. Yet, I have not really seen that these products have outperformed the true veterans in that particular strategy. I’m just curious, but the smart beta products, some of them, have raised billions of dollars because people look at the fees and say, “Oh yeah, it’s easy so we shouldn’t pay so much for it.” So when you say you should short beta and do everything around it, what should you then do?

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...not least by sending us questions that we can discuss. Please send your questions to info@toptradersunplugged.com Episode Summary 0:00 - Intro 0:50 - Weekly recap 9:10 - Top tweets 19:51 - Niels discusses his trend barometer: (http://www.toptradersunplugged.com/resources/market-trends/) 34:00 - Question 1: Raphael; What is the optimal portfolio allocation? 39:50 - Question 2: Dave; Please explain the trend barometer (link above) 40:50 - Question 3: Dave; Do you change position sizes as a trade progresses? 45:00 - Question 4: When would a TF system be flat (no position)? 47:00 - Question 5: Mohit; What is your worst trade ever? 53:40 - Performance recap Subscribe on:

In today’s post, I would like to share with you some really great moments  and unique takeaways from  a conversation I had with Marty Bergin, the president and owner of DUNN Capital Management, where Marty shares his views on Return Dispersion and how those experiences, together with extensive research, has enabled them to produce a more robust trend following process for their clients.  If you would like to hear the full episode then you can just click here Katy:  I have a question too, one of the biggest challenges we’ve had in the industry has been return dispersion for investors too. It’s that you have one fund up, another fund down, it seems that there’s a lot of difference in terms of how performance has not been very consistent across managers in the space and that creates a lot of confusion for the investors.   How has your experience been with this? Have you encountered… Do you have some thoughts about how DUNN sees that and how you have fared in this sort of change in the industry, and what do you think drives it?  "There’s always a sweet spot for your period of time you’re looking back over. " Marty:  Gee whiz, Katy, you’re the expert in this area. You’re the one that should know these answers (laughter). This is my opinion, which you can tell me whether you agree with my opinion or not.  Katy:  I want your opinion.  Marty:  I think it really has to do with time periods that people are looking at. There’s always a sweet spot for your period of time you’re looking back over. I think one thing that has worked well for DUNN is that we don’t put any restrictions on what’s available to the program from a time constraint. It can go as short as a week and as long as four or five years if it chooses that.   Now, the parameter selection process is automated, it happens weekly, but it doesn’t matter that it happens. It’s not imperative that it happens each week. We can go eighteen months without any real difference in return, so it’s not sensitive to the parameters.   I think it’s important that you allow the system to evolve between shorter time periods and longer time periods given whatever the investment environment is. That’s the only reason I can see why… Well, that’s one of the many reasons why, I think, we’ve been able to manage this environment well. Between the ARP, between the uncorrelated revenue streams that we have, and the adaptive nature of our system, we have an exit strategy that has been implemented over the last five to seven years. All these things have made us better.  Katy:  Yeah, I mean it’s been a very… If you think about it, the reason that I’m interested is that you’ve done very well for your investors over the last few years and it has been very challenging. Quantitative easing, very low trends…  Marty:  It’s been one of the most difficult environments that I have ever seen in what we do. I thought this was going to be easy, and you look at the post-financial crisis and it has just been a hard road for trend following systematic managers. What’s happened is the central banks have created this environment where everything is correlated across all the markets. So, in reality, I ask myself, “Do we have diversity?”  What is diversity? So, people are investing in their stock portfolios. They go to a mutual fund, “Oh, we’re a diverse mutual fund. We have a hundred and fifty holdings. Nobody has more than two percent of the AUM, all these stock names, pretty diverse, right? I would proposition no. If all those stocks are highly correlated aren’t you truly only invested in one thing?  That’s the same thing that happens in the managed futures space when all the markets become correlated. It’s a lot harder for our markets to become correlated because it’s the softs, it’s the energies, it’s the metals, it’s the currencies, it’s the interest rates, it’s bonds, it’s equities,

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...not least by sending us questions that we can discuss. Please send your questions to info@toptradersunplugged.com Episode Summary 0:00 - Intro 1:00 - Weekly recap 5:15 - Top tweets (lengthy discussion of Druckenmiller interview) 35:00 - Question 1: Barry; Do you use synthetic instruments in your trading? 38:20 - Performance recap 39:15 - Jerry on Trend + Fundamentals Subscribe on:

Today I would like to share some really great and unique takeaways from  a conversation I had with the one and only Richard Dennis, the father of the Turtle Project from back in the 1980’s as well as two of his turtles, namely Brian Proctor and Jerry Parker.  In our conversation we put the record straight for the first time on a number of myths about the Turtle experiment including How the Turtles got their name, and if the original rules that were applied with great success 30+ years ago would still be relevant today, and also how long it took Jerry and Brian to make sense of them.  So let’s get straight to it, starting off with the very beginning of The Turtle story.  If you want to catch the full episode then just go  click here How The Turtle Got It's Name Niels: Now there has, over the last three decades, been so much talk about how this trading experiment was named: what the inspiration for the Turtle name really was. Some people say that it was related to you seeing a turtle farm in Singapore I think I heard, and another story I heard was it was related to a rock band called The Turtles that performed back then. Why don't you put us all out of suspense and share with us the true story about how the name came about.  "...you're going to get a "Heavens NO!" on that one" Richard:  I'm going to stick with the first story about the turtles in Singapore. That actually, that's how they got the name, it was kind of a misnomer but it sort of stuck. If I had a dollar for every plastic turtle that people have given me, I'd be indeed rich.  Niels: But also, talking about the name itself, and I wonder whether seeing the turtles in Singapore or something that happened years before you did the program, but I also wanted to talk about the inspiration for the idea behind creating the Turtle Program. Again, we hear so many stories relating to, one that seems to be very popular is that you and your partner back then, Bill Eckhardt, having seen the movie Trading Places with Dan Aykroyd and Eddie Murphy, where there was a bet made about how you could train anyone to be successful in trading.  Richard:  That you're going to get a "Heavens NO!" on that one.  Niels: Oh well good! Excellent, excellent! Well, can you share with us how the whole idea behind the Turtle Program came about?   Richard:  Sure, so one lazy Sunday afternoon I was hanging out with Johnny Walker Black, and I started to think about my own trading and realized that a lot of it was just sort of rules that were informal and that I noticed that other traders operated according to rules. Also, some of those rules were very bad, like a lot of traders at that time, their one rule was always buy soy beans.    Having thought about my trading and the rules, it seemed to me that, at that time, just to put a number on it, I thought that two-thirds of trading was following rules and maybe one-third was intuition - the dreaded flare that we talked about during the course and that. So, as the ice cubes melted, I started to make some notes about what I thought was true; what you could do to prove it. It could turn out to be one of those endless debates that never comes to any conclusion. It seemed to me that we could resolve the question by trying to train people and giving them rules and talking to them about intuition and things like that, and that was the genesis. And nobody told me it was a great idea, but nobody wanted to tell me it was stupid either, so we did it Niels: Sure, sure.  How long before the actual program started? Was this something that you reacted on very quickly and said, "Yeah, this is a great idea, let me do it." Or did it have to sink in for a while before you created the program?  Richard:  It was only a couple of months before we put the things in motion, like advertisements in newspapers, that lead to starting in January of '84.