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Better System Trader

Better System Trader

Better System Trader is the podcast and blog dedicated to systematic traders, providing practical tips from trading experts around the world.

033 – Strategy Development & Money Management – Thomas Stridsman

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StridsmanPhotoThomas Stridsman has over 20 years experience in the financial markets.

He was an editor for Futures magazine and published two books on trading system development and money management.

He is now a fund manager at Alfakraft, specialising in short-term trend following strategies with a focus on dynamic size allocation and risk distribution algorithms.

In this episode we discuss strategy testing, why you need to normalise metrics, tips to creating robust strategies and why he doesn’t test entries and exits any more (and what to focus on instead).

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Entry/exit doesn’t mean much to me, I focus all my research on money management

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Topics discussed

  • The differences between short term trend following and long term trend following
  • Why backtesting metrics should be normalised to give an accurate picture of performance
  • Why you should look to restrict the number of consecutive winners and losers
  • The difference between a good model and a profitable one
  • Tips to creating robust systems
  • Trading costs and when to include them in testing
  • Using standard deviation to determine system robustness
  • How his systems development approach has changed over the years
  • The one particular insight that propelled his trading forward
  • Applying Optimalf to position sizing
  • The future of trading

Resources mentioned in this episode

  • Thomas can be followed on his website alfakraft.se
  • Thomas recommended the Futures magazine website, particularly the work of Murray Ruggiero
  • He also mentioned the Attain Futures blog and the Tradingview website
  • Recommended books:
TradingSystemsThatWork TradingSystemsMoneyManegement

Quotes

If you really want to make this a business, grind it out, do the same thing every day

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Money management makes all the difference

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You need to learn to sit on your hands, let things take their course, stick to the system

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Top tips from this episode

Here are few of my favourite takeaways from the chat with Thomas this week:

  • Normalising metrics – something I’m sure many traders have been guilty of at times is looking at metrics in absolute terms, for example the average win as a $ amount, which can mean different things depending on the actual level of the instrument so normalised values, like percentages, may give a more accurate picture.
  • Importance of money management – we hear this often but Thomas went as far to say that he even though he runs a fund, he uses the most basic entries and exits that can be found on the internet. He has an understanding of some basic things that work and he doesn’t spend time researching entries and exits, his focus is all on money management; ‘Money management makes all the difference’.

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Episode Released:

7 November 2015

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032 - Short Selling Techniques -...
Sharpe Ratio - the right answer ...

Related Posts

  • 043 – Breakout strategies with Tomas Nesnidal
  • 022 – Prop Trading & using statistics to find an edge – Robert Bubalovski
  • 179 – Effective techniques to identify trends – Doc Ahrens
  • 013 – Trend Following (doesn’t work) – Andreas Clenow
  • 186 – “Breaking the rules for higher returns” – Scott Welsh

Trackbacks

  1. Quantocracy's Daily Wrap for 11/15/2015 | Quantocracy says:
    November 16, 2015 at 4:18 pm

    […] Interview with Thomas Stridsman [Better System Trader] Thomas Stridsman has over 20 years experience in the financial markets. He was an editor for Futures magazine and published two books on trading system development and money management. He is now a fund manager at Alfakraft, specialising in short-term trend following strategies with a focus on dynamic size allocation and risk distribution algorithms. In this episode we discuss strategy testing, […]

  2. IMHO BEST LINKS FROM QUANTOCRACY FOR THE WEEK 9 NOV 15 — 15 NOV 15 | Quantitative Investor Blog says:
    November 18, 2015 at 9:31 am

    […] Thomas Stridsman […]

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