026 - Gary Antonacci - New Models & Research Updates

Gary Antonacci is back on the show after having released a new research paper with Carlo Zarattini from Concretum Research which constitutes a 100-year study on trend following US sectors. The strategy deployed in the paper has an impressive long-term track record, averaging an annual return of 18.2% with 12.6% volatility and a Sharpe Ratio of 1.39. Using Keltner and Donchian channels for entries & edits, volatility-based position sizing and a universe of 48 sectors, the simple model is surprisingly robust and a testament to the enduring power of trend following. Get all the links over at www.thealgorithmicadvantage.com

Om Podcasten

The Algorithmic Advantage is a podcast about quantitative trading and investing. We're here to expand the toolkit of the quant-trading community and introduce investors to the many advantages of systematic trading. Our goal is to educate and inspire as we embark on a captivating journey into the vast knowledge and experience of leading portfolio managers and other experts in the field!