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Dear Michael,
“Trend Following” and “The Complete TurtleTrader” shaped how I think about systematic trading — the idea that a clearly defined, mechanistic edge, executed with discipline, can compound into real returns over time. Your podcast, with over 1,300 episodes featuring everyone from Ed Seykota to Jerry Parker, is the most comprehensive oral history of systematic trading that exists. You’ve spent two decades documenting what separates real systematic edges from noise.
I’m [nmae], 16, from McKinney, Texas. I’ve analyzed 16 years of CBOE S&P 500 options data and found that daily changes in IV skew (25-delta put minus ATM call) predict index returns at 1-5 day horizons with a t-stat of -3.87. The Q5-Q1 quintile spread is 14.2 bp/day. The mechanism: dealer gamma hedging of institutional put demand creates temporary directional pressure on the underlying.
The signal I’ve found operates at a much shorter timescale (1-5 days) than the trend-following systems you’ve written about, but the underlying philosophy is identical: identify a persistent market structure that creates predictable price behavior, define rules around it, and execute systematically. The mechanism — dealer hedging forcing directional moves — is structural, not behavioral, which is why I believe it persists. Your books emphasize that the best systematic strategies exploit a counterparty who trades for reasons other than profit (hedgers, index rebalancers). In my signal, the counterparty is options dealers who hedge not because they want to, but because risk management requires it. That’s exactly the kind of forced, non-discretionary flow that creates durable edges.
I’m actively seeking a summer internship at a CTA, systematic trading firm, or quant fund. Through your podcast and your teaching across 76+ countries, you’ve built relationships with hundreds of systematic traders and fund managers worldwide. If you know of any firm that might consider a high school student with completed systematic trading research, I’d be deeply grateful for any introduction or guidance.
Thanks for the nice note, but I have no connection to that time frame. Zero!
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Learn the rules behind trend following, and the systems to apply them.
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