No Pain, No Long-Term Gain

Don’t let volatility confuse you, because the world and the markets are far more random than we’d like to think and can imagine. Read why we believe it’s prudent and necessary to accept volatility and drawdowns rather than following an investment approach that seeks to achieve the opposite but is hazardous to our capital.

The Sydney Turtle Special

A stimulating Saturday morning conversation about systematic, rules-based trend following and market risks featuring Jerry Parker (Chesapeake Capital), Adam Havryliv (ECCM), Moritz Heiden, and Moritz Seibert. Hosted by Simon Mansell and Richard Brennan. Recorded on November 18, 2023 on Scotland Island north of Sydney.

Podcast on “The Derivative” with Jeff Malec

RCM’s Jeff Malec, host of the popular “The Derivative” podcast, invited Moritz Seibert to his show to talk about all things trading and trend following. It’s been a fun conversation! Recorded on May 10, 2023.

Trading the Night Effect

Or: The dream of making money while you sleep. We comment on an article published by the Financial Times about the so-called “night effect” in stocks, which refers to a recurring pattern of higher stock returns during overnight periods compared to intraday trading sessions.

Bloomberg Is Making Stuff Up

Authors at Bloomberg claim that a disruptive group of traders, namely trend following CTAs, have seized control of the oil market. Really?

Why We Trade Systems

We trade systems for two primary reasons: First, because trading involves emotions, we’d be our own worst enemy if we didn’t follow a rules-based approach. Second, we (and most others) are really terrible when it comes to making predictions.

R-Multiples and Expectancy

Expectancy in trading refers to the average R-multiple that a trading system generates over a series of trades. An R-multiple is a way of expressing profits and losses as a multiple of the initial risk taken on a trade (R, as R=Risk).

Volatility vs. Average True Range

The utilization of average true range (ATR) by systematic trend following CTAs to determine position sizes and stop levels is an effective and valuable means of normalizing expected P&L.