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Ep. 253: Perry Kaufman Interview with Michael Covel on Trend Following Radio

Perry Kaufman
Perry Kaufman

My guest today is Perry Kaufman, an American systematic trader, index developer, and quantitative financial theorist. He is considered a leading expert in the development of fully algorithmic trading programs.

The topic is systematic trading.

In this episode of Trend Following Radio we discuss:

  • How Kaufman came to the idea of 100% algorithmic trading systems
  • The difference between being systematic and being automated
  • Optimization vs. validation
  • The biggest advantages of testing
  • Why discretion is not part of Kaufman’s toolbox
  • The problem of tail events
  • Why discipline is the most important characteristic of a systematic trader
  • The “loose pants fit everyone” philosophy
  • Preparing yourself for uncertainty
  • Comparisons between risk management and risk measurement
  • The Sharpe ratio
  • High volatility trades vs. low volatility
  • Why Kaufman places equal weight on both risk management and the underlying system
  • Systematic trading in established mature markets vs. emerging markets

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