Tag: performance data

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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

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