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Ep. 361: Francisco Vaca Interview with Michael Covel on Trend Following Radio

Francisco Vaca
Francisco Vaca

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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

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