Better System Trader

Andrew Gibbs has been involved in the financial markets since 2001 and is the founder and CEO of Halifax New Zealand. Andrew has extensive experience in all forms of equity and derivative contracts, managing millions of dollars and trading a number of markets around the world. In this episode we discuss volatility and methods to trading the VIX plus the benefits and methods of including fundamental data in technical quant models. Topics discussed Instruments you can use to trade volatility and the benefits or disadvantages of each What makes the VIX attractive to trade and why it often trends over time The types of trading styles that suit the VIX The dangers of trading volatility products Seasonality in the VIX How to get started building volatility trading models Fundamental data and the types of fundamental datasets that work well in quantitative models Why some fundamentals work better than others The frequency of fundamental data release and how that dictates trading model style How to account for revis

Jay Kaeppel has over 25 years experience in the financial markets. He has worked as the Head Trader for a CTA and published a number of popular trading books on Futures, Options and Stock Market Seasonality. He also spent a number of years writing a weekly column titled “Kaeppel’s Corner” and publishes on his blog “Jay On The Markets”. He is now Portfolio Manager for Alpha Investment Management, offering strategies such as the ‘Alpha Multi-Income Strategy’ to investors. In this episode we discuss a number of seasonal tendencies, how they can be integrated into a trading model, the applications of the Known Trend Index and the reasons why most traders fail. Topics discussed The Santa Claus rally - what it is and how to trade it How to use seasonality to complement other models Seasonality tendencies around holidays Monthly seasonal tendencies and a simple monthly seasonal system that vastly outperforms stock index returns Boiling down the trading process into 4 simple words Using leveraged ETFs for seasonalit

Laurent Bernut was a systematic short seller with Fidelity for 8 years. His mandate was to underperform the longest bear market in modern history: Japanese equities. Prior to that, he worked in the Hedge Fund world for 5 years. He now runs an automated Forex strategy and travels the world with his family. In this episode we talk all about Short selling, creating shorting strategies, the challenges of implementation and how to manage risk. We also discuss the importance of exits, insights into Bear markets, autotrading Forex and why complexity is a form of laziness. Topics discussed The benefits of developing a strategy on the short side first and why long/short symmetry is important Challenges with executing short systems and solutions The most important aspect to worry about when short selling Finding short candidates in a Bull market and why you should ignore absolute performance Tips to creating profitable short strategies The importance of exits and how to test them Insights into Bear markets The 3 wrong

Thomas Stridsman has over 20 years experience in the financial markets. He was an editor for Futures magazine and published two books on trading system development and money management. He is now a fund manager at Alfakraft, specialising in short-term trend following strategies with a focus on dynamic size allocation and risk distribution algorithms. In this episode we discuss strategy testing, why you need to normalise metrics, tips to creating robust strategies and why he doesn't test entries and exits any more (and what to focus on instead). Topics discussed The differences between short term trend following and long term trend following Why backtesting metrics should be normalised to give an accurate picture of performance Why you should look to restrict the number of consecutive winners and losers The difference between a good model and a profitable one Tips to creating robust systems Trading costs and when to include them in testing Using standard deviation to determine system robustness How his system

Greg Morris was Sr. Vice President, Chief Technical Analyst, and Chairman of the Investment Committee for Stadion Money Management, overseeing the management of over $5.5 billion in assets.  He has been featured in the media a number of times, being invited to lecture about technical market analysis around the world. He is currently semi-retired, serving as a consultant and working on a few projects, including golf. In this episode we talk about the real definition of risk and how to manage it, the applications of market breadth and how the 'Weight of the evidence' concept can be used in trading. Topics discussed Why defining risk as volatility isn't accurate and what risk really is Can diversification actually be used to minimise risk? Why Rebalancing doesn't make sense The ‘Weight of the evidence’ concept and how it can be used in trading Why it’s important to test indicators over non-standard ranges What market breadth measures can reveal in market tops Different types of breadth and their applications in

A couple of weeks ago I went back through all the guests we've had on the show so far and realised how very fortunate we've been to have so many fantastic guests on the show, sharing their knowledge and experience, some of them with more than 50 years of trading experience! To be honest, I’d actually forgotten some of the topics we’d covered so far and going back through them was an excellent reminder of all the valuable information the guests had shared, so for Episode 30 I thought it might be a good idea to revisit some of the highlights from the earlier episodes so that those that haven’t heard them will go and listen to them, and those who have already listened may get some value out of hearing the highlights again. I know when I went back through them it reminded me of some things that I wanted to test or investigate further, and I really found it a valuable exercise so I hope you do too. This episode will cover some of the highlights from episodes 1 to 20; some of my favourites and some of yours. Topics

Alan Clement is a Certified Financial Technician, full time independent trader, quantitative trading systems designer and private investment consultant. He is also a councillor with the Australian Technical Analysts Association and contributes to the technical analysis articles for Fairfax press. In this episode we talk about Rotational trading systems, the impact of stops on results and alternatives to managing risk. Alan also shares some interesting tips into measuring system health, dynamic position sizing and anticipating trading signals. Topics discussed Rotational trading - entries, exits and managing risk Methods to measure momentum in trend following strategies The impact of stop losses in trading systems and alternatives to managing risk Tips to position sizing without a stop loss Using dynamic profit targets to reduce risk and increase return Why drawdown is not a single number Using Monte Carlo analysis as a dynamic position sizing tool Methods to determining current system health Factors to consi

David Aronson is a pioneer in machine learning and nonlinear trading system development and signal boosting/filtering. He is author of “Evidence Based Technical Analysis” and his most recent book "Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments" is an in-depth look at developing predictive-model-based trading systems. He was also an adjunct professor of finance, regularly teaching MBA and financial engineering students a graduate-level course in technical analysis, data mining and predictive analytics. In this episode David shares research into the effectiveness of indicators to identify Bull and Bear markets; he’s tested a large number of indicators and combinations with some interesting results! We also discuss issues with data mining, conditions where traditional methods of measuring data mining levels can be problematic and then finish up with the future state of Technical Analysis. Topics discussed What the popular Golden and Death Cross can tell us about the probab

Dr. Gary Dayton has been an active trader since 1999 and is President of a consulting firm that specializes in developing “peak” performance in traders. His approach to trading psychology is very different to the traditional approaches used by other trading coaches, introducing traders to the practise of mindfulness to not only overcome fear and other unwanted trading emotions but to develop the concentration and focus needed to trade successfully. In this episode we discuss why traditional approaches to controlling emotions don't work, the role of emotions in trading and how mindfulness can improve trading performance. He also shares some tips on how to get started practising mindfulness, the benefits it can have outside of trading and how the approach of Mental Parking can increase focus. Topics discussed Comparisons of sports and trading performance Traditional approaches to handling emotions in trading and why they don't work Why it’s impossible to suppress your emotions Landing a plane in the Hudson Riv

Robert Carver is an independent systematic trader who spent more than seven years working for one of the worlds largest systematic hedge funds. In this episode we discuss trading rules, what makes a good trading rule and the advantages of using continuous rather than binary rules. He also shares insights into over-fitting and the challenges of walk-forward testing that can make it impractical. Topics discussed What makes a good trading rule The advantages of simple rules Why only some trading rules are profitable Walk-forward testing and some of the challenges that can make it impractical How much data you actually need to determine if a trading rule is better than another Why choosing the optimal values during a walk-forward test is not the best approach and some alternatives Weighting trading rules Steps to avoid over-fitting Should trading rules be adjusted for individual instruments? Continuous trading rules compared to binary rules The applications and advantages of continuous trading rules What makes a

Brett N. Steenbarger, Ph.D. is a trader, psychologist and trading coach who has been actively involved in the financial markets since the late 1970s. He is the author of a number of popular trading performance books and consults for hedge funds, investment banks and proprietary trading groups. Brett has an interest in using historical patterns in markets to find a trading edge publishing measures and strategies on his popular TraderFeed blog. He is also a regular contributor to Forbes. In this episode we discuss creativity, static thinking and why it's important to have unique ideas for trading success. We also cover tips to increasing our creativity, why traditional trading rules need to be updated, the challenges of daytrading and how to overcome them. Topics discussed Three important components of successful traders Why the traditional rules of trading need to be updated Why traders get stuck in static thinking and need to be more like entreprenuers The two different types of trading brains and how unders

In this episode Dr Van Tharp talks about beliefs and their impact on trading, the qualities of successful traders, adapting trading to market types, position sizing, trading mistakes and overcoming fear, perfectionism and impatience. Topics discussed How Van got started in the markets and the issues he faced initially The main reasons the majority of trades are unsuccessful How traders can identify the type of strategies that suits them What it means to trade your beliefs in the market How to assess whether your beliefs are useful or limiting The real importance of psychology in trading Your collection of parts and how they interact The process of transformation in a trader Qualities of losing traders and how to test yourself for them The impact mistakes could be having on your results without even knowing How to cope with larger trade sizes as your account grows PLUS listener questions on: Using position sizing to meet your objectives The 6 market types, how to measure them and how to apply it to your tra

Michael Himmel is a Founding Partner, Portfolio Manager and Director of AI Research for Essex Asset Management. He has been actively trading and designing systems since the 1980s, managing the No.1 Global Macro Hedge fund in the world in 1999. He now uses large doses of AI and Machine Learning in his current practice. In this week’s episode we discuss Artificial Intelligence, the challenges and applications of AI in trading, criticisms of Machine Learning, event studies and the importance of selecting datasets. He also shares insights from starting out as a runner for some of the biggest players in the 1980s, to managing the no. 1 global macro hedge fund in 1999 to using AI in his practise today. Even if you’re not into AI and machine learning, the stories and insights Michael shares are invaluable. Topics discussed Lessons from running orders for some of the big players in the 1980s Transitioning from discretionary to systematic trading The challenges of applying Artificial Intelligence (AI) and Machine Lea

Robert Bubalovski is the Managing Director and Head Trader at TradeView investments, a privately held proprietary trading firm located in Melbourne, Australia. Since 1996 Robert has been actively involved in the financial markets and trading, in 2012 he decided to set up his own Proprietary Trading Firm to concentrate on his own trading strategies. His team of professional proprietary traders specialize in the trading of Equities, Futures, Options, FX and Money Markets across multiple exchanges around the globe and around the clock. In this weeks episode we discuss prop trading, the challenges and lessons from beginner trader to starting an investment firm and what it takes to be a successful trader. We also discuss arbitrage and pairs trading strategies, statistical rather than indicator-based trading and the importance of simplicity. Topics discussed The pros and cons of prop trading The progress of a prop trader How long it takes to become a successful prop trader The attributes of successful traders Advi

Tim Rea is a proprietary trader, trading his own money with well over 100 automated systems across 25 different Futures contracts. He is a past winner of the World Cup trading championship, along with being a CTA and broker but gave that away to focus on trading his own money. In this weeks episode we discuss various aspects of trading multiple strategies, including monitoring performance, money management, correlation, technology and trading in markets not in your timezone. We also discuss the impacts of the MFGlobal and PFG collapses and how Tim overcame the heavy losses to continue trading. Topics discussed How poor experiences investing with others drove Tim to figure it out for himself Becoming a systems vendor, CTA and broker and why he then left it all behind to just trade his own money How shorter term trading can increase confidence in a system How many strategies he’s currently trading (hint: its more than 100!) Keeping track of the performance of multiple strategies Why you shouldn't just stop tra

In this weeks episode Larry Williams talks about conditional trading, understanding what drives prices, the misuse of indicators and how to apply them correctly. We also discuss cycles, forecasting markets, what to look for in market tops plus loads of listener questions where Larry shares tips and insights from 50 years of trading. Topics discussed What it means to be a conditional trader Why buy and sell signals need to be analysed in the context of market conditions Fundamental factors that drives markets Interpreting the COT reports correctly The buying differences between retail and commercial traders and how it can indicate future market direction Why you should approach trading like a combination lock Coming up with unique indicator ideas The mis-use of indicators and how to use them correctly Trading styles of successful traders Forecasting markets based on technical factors Characteristics of stock market tops and bottoms The fundamentals to watch during market tops Listener questions Issues with

Scott Andrews 'The Gap Guy' shares his expertise in gaps, why they work, what factors to take into account when trading gaps and what to avoid. We also discuss gap zones, when to fade and when to follow and calculating stops and targets. PLUS, for those that aren't into Gap trading, we cover some important concepts that can impact all styles of trading, include one concept called 'Ensemble Systems' which may just change the way you look at trading strategies. Topics discussed Why it’s important to trade a style that matches your own strengths rather than follow someone else Why gap trading works Markets where gaps work best and those that don't The best type of stocks to trades gaps and the stocks to avoid The benefits of trading gaps in indices vs stocks The 3 market conditions to look at when analysing a gap How seasonality impacts gap trading Signs of gaps to avoid Using ATR to determine the probability of gap size closing Gap zones and how the location of the gap can provide useful information The worst

Jerry Parker, Turtle Trader and CTA, talks about trend following, how to approach wins and losses, dealing with drawdowns, managing correlations in asset classes and how changing market dynamics have impacted trend following and the solution. He also gives us some tips on systematic trading including how he trades without relying on optimal values of the past. Topics discussed What types of characteristics Dennis and Eckardt were looking for in the Turtle traders program How the Turtles were taught to approach losses Common traits amongst the most successful Turtles The hardest part of trading as a Turtle How Jerry overcame the fear of taking trades The biggest lesson being a Turtle What Jerry did with the Turtles approach after the program ended The impact managing other peoples money can have on trading The key factors that make trend following work Managing correlations between asset classes Long-term vs short-term trend following Dealing with drawdowns How changes market dynamics have impacted trend foll

World Cup Trading champion Andrea Unger discusses how to create robust strategies, the role of indicators in trading, principles to strategy creation, Forex trading strategies and optimising to understand market behaviour. Topics discussed The strategies and position sizing Andrea used to win the world cup trading championship 4 times The role of luck in trading Controlling risk when trading multiple strategies Where to find trading ideas The principles Andrea uses in the Forex and Futures markets to develop profitable strategies The role of indicators in strategy development Matching strategy type to market characteristics Why you should analyse your biggest winners as well as your biggest losers Forex trading tips and changes in the Forex market Using longer timeframes to filter trades in shorter timeframes When to optimise or tweak a strategy and how to ensure you don’t over-optimise The drawbacks of trend following and the solution Tips to handling drawdowns Intraday vs End-of-day trading The key to trad

Stuart McPhee discusses the common mistakes traders make, the single biggest factor to trading success, the counter-intuitive side to trading and tips to improving trading discipline. Topics discussed Why trading can be simple but not easy Common mistakes traders make Factors to consider when choosing a trading strategy that suits you Common Money Management mistakes The single biggest factor to trading success Common mindset issues traders experience Tips to improving discipline and changing trading behaviour How the Petronas towers can be applied to trading The counter-intuitive side to trading The Chinese Bamboo story