Subscribe to Trend Following Radio on iTunes
My guest today is Francisco Vaca. Vaca can be called a second generation turtle trader. He worked with Richard Dennis at C & D Commodities, and for the last 15 years has been closely associated with Paul Rabar. He is now the Co-Chief Investment Officer at Rabar Market Research. Before he became a trader, Vaca was a particle physicist and worked at the famous Fermi lab. This is not an insignificant fact, as his background in mathematics and statistics became very useful in his career as a trader.
The topic is Trend Following.
In this episode of Trend Following Radio we discuss:
- The importance of distinguishing between long term and short term track records
- “Alpha” and “beta” trading strategies
- How the holding period length affects the risk-reward profile and return streaks
- The benefits of diversification across different holding times
- Using high frequency trading technology in long term trend following
- How correlations are often misinterpreted
- Knowing the limitations of your tools
“The best performing system historically is not necessarily the best system going forward” – Francisco Vaca
Mentions & Resources:
- Turtle trader Richard Dennis
- Turtle trader Paul Rabar
- The Sharpe Ratio
- The Sortino Ratio
- Daniel Kahneman Interview on Trend Following Radio
Listen to this episode:
- Listen to this podcast on iTunes. (Please leave a rating!)
- Listen on Spotify.
- Listen on Stitcher.
- Libysn RSS.
- Download as MP3 by right-clicking here and choosing “save as.”
- Free Video.
Jump in!
Rate and Review Trend Following Radio on iTunes
Get the foundation to making money in up, down and *surprise markets on the Trend Following mailing list.
Have a question or comment about this episode? Post it below.