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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