031 - PJ Sutherland - The Complementary Dynamics of Mean Reversion and Trend-Following Strategies скачать в хорошем качестве

031 - PJ Sutherland - The Complementary Dynamics of Mean Reversion and Trend-Following Strategies

In the domain of quantitative finance, the juxtaposition of mean reversion and trend-following strategies constitutes a pivotal dialogue in the formulation of robust trading paradigms. Each methodology is underpinned by unique theoretical and empirical foundations, presenting distinct opportunities and inherent vulnerabilities. However, when synthesized within a cohesive portfolio framework, these strategies reveal a profound synergy that not only enhances diversification but also attenuates systemic risks. This discourse delves into the nuances of each strategy and elucidates their integrative potential. www.thealgorithmicadvantage.com Contents: 0:00 - Introduction to The Algorithmic Advantage 4:00 - Rich Brennan’s Farewell and Trading Insights 8:00 - PJ Southernland: Trading Mentor and Surfer 12:00 - PJ’s Journey into Quant Trading 16:00 - Emotional Trading and Short-Term Strategies 20:00 - Behavioral Finance and Market Efficiency 24:00 - Leptokurtic Distributions and Market Edges 28:00 - Mean Reversion vs. Trend Following Explained 32:00 - Building Robust Mean Reversion Strategies 36:00 - Diversifying Across the Mean Reversion Curve 40:00 - Risks of Mean Reversion and Tail Events 44:00 - Managing Tail Risk in Mean Reversion 48:00 - Shorting in Mean Reversion Strategies 52:00 - Volatility-Based Position Sizing 56:00 - Combining Mean Reversion and Trend Following 1:00:00 - Execution Challenges in Short-Term Trading 1:04:00 - Building a Custom Backtesting Engine 1:08:00 - Behavioral Biases in Trading and Investing 1:12:00 - Future Plans: Relaunching Sutherland Research 1:16:00 - Closing Thoughts on Trading and Surfing