Niels Kaastrup-Larsen in conversation with Alistair Philip: With an emphasis on systematic trading and trend following
March’s STA Monthly Meeting was yesterday, Tuesday the 9th, via Zoom webinar. Introduced by Jeff Boccaccio (who apologised for his long hair) our guest speaker, Niels Kaastrup-Larsen in Zug, Switzerland, was looking very dapper with neat greying hair, while his host, Alistair Philip MSTA, sported a fashionable hairstyle and sat at a typical black, high-backed, dealer-style swivelling chair.
Niels, speaking from what must be his regular virtual meeting/TV studio/ podcast recording space, encouraged us to go to www.TopTradersUnplugged.com for his podcasts (and from where you can also download a virtual book on the subject) to hear the wide range of interviews and charts available on his site.
He then scampers cleverly through a brief potted history of the hedge fund industry and the money managers more generally, from trend following in the early 1970’s, to stock selection based on price and fundamentals, to smart beta, high frequency and AI. Note to self: he means artificial intelligence, a term bandied around a lot at the moment. However, if you’re from an animal husbandry background, it’s artificial insemination. CTA also has some very different meanings.
He flits briefly over Intelligence Quotient (IQ) where research suggests that, rather worryingly, this drops by 13-17% when we approach investment decisions. In an effort to counter this – and other natural flaws and biases – he suggests ‘’trade small’’ and that diversification is a good thing – and it delivers returns. He also recommends a book by Dr Daniel Crosby called ‘The Behavioural Investor’.
With a background in the futures industry, he stresses that market liquidity is terribly important. He worries that the next financial crisis will show up the limitations of some products, for example, Over The Counter (OTC) products. Here I would also add Exchange Traded Products (ETPs). He showed us some topical and interesting charts, the Donchian Channel a new one for me. Investopedia.com says: Donchian Channels are three lines generated by moving average calculations that comprise an indicator formed by upper and lower bands around a mid-range or median band.
Allowing plenty of time for questions, Alastair moves in with lots of questions of his own, moderating those which had been previously emailed in, and the ones written via Zoom. The session finally ends at 20:15 after a few too many questions.
When asked ‘what causes trends?’ Niels answers: ‘’it doesn’t matter. Data tells us all that we need’’ and that it suggests ways in which we might participate, adding: ‘’when the press call for the end of trend-following, it’s usually a good buying opportunity’’. A technician through and through!
Tags: AI, Donchian Channel, momentum
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