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.

050 – Tribute to Nelson Freeburg

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Nelson Freeburg was the editor of Formula Research, a newsletter that developed systematic timing models for the stock, bond, and commodity markets.

He was also a research consultant working with institutional money managers to design proprietary timing models.

Nelson had been an active trader since 1980 and occasionally spoke about his work to audiences around the world.

In this episode, Linda Raschke shares the work of Nelson, his approach to model development and what we can learn by studying his work.

Open up your mind to different things you can include in your models

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Topics discussed

  • Timing models and the components Nelson used in his models
  • Russell growth vs Russell value model
  • Out of sample testing and sample size
  • Why Nelson focused so much on reducing drawdown
  • Nelsons biggest strengths in modelling and what we can learn from his approach
  • Using voting systems for trading
  • The benefits of overlaying models

Resources mentioned in this episode

  • The formula research paper Linda mentions in our chat can be downloaded from here
  • Nelson also did an interview with Larry Connors on developing the perfect trading system, here is part 1 and part 2

Watch this presentation by Nelson for the MTA

Share a quote with your trading friends

People need to take a much deeper look at some of the things that affect the risk

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Methods are deficient if they rely on subjective judgement

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There is more room for theoretical debate amongst the quant community

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If you do find something, find a way to make it your own

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Transcript

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Episode Released:

29 May 2016

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Comments

  1. Larry P.

    Hi Andrew, I was a subscriber to Nelson Freeburg’s Formula Research since early 2000. And I had purchased every back issue he had ever published. It was the best bargain in this entire financial services industry.

    It began as a monthly newsletter but quickly became an irregular publication as he decided to only publish if he felt that he had found something worthwhile.

    It is unfortunate that people can’t just purchase old issues and I have considered scanning my copies and making this resource available but am uncertain about copyright issues, etc. The markets are always changing and many of the models may no longer be of use but there is a lot of learning material in there.

    Thanks to Linda and you for the podcast that helps give some recognition to a very modest man who was many years ahead of his time in the realm of quantitative analysis.

    Larry P.

    • Andrew Swanscott

      Thanks Larry, it is a shame his material is no longer easily accessible so we’re more than happy to provide some recognition of Nelson and his work.

      Glad you enjoyed it.

      Regards,
      Andrew.

    • JP

      Thanks for this!

      I bought several reports from Nelson. I also got his free sample report which was a great case study in proper system development and testing. In addition, I called him a few times. He was happy to discuss ideas and systems with me. That was quite nice, since I was a nobody and he was a guy who had given closed-door presentations to Paul Tudor Jones and spoken all over the world.

      Nelson was a true gentleman and scholar in the trading world–the opposite of a snake oil salesman. He is certainly missed.

  3. Siuta

    Hi Andrew,

    I love your podcast. I found it recently and has been listening through them one by one. That’s extra ordinary works!

    The transcript that you provided in the recent episode are really helpful. As there’s tons of great points being discussed and usually I have to re-visit some of those which I found interesting. Having a transcript would help me quicker to re-visit those discussions.

    Thanks a lot for that!

    • Andrew Swanscott

      Thanks Siuta, we’re working on making the other transcripts available soon. Thanks for listening!

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  1. […] Podcast: Tribute to Nelson Freeburg [Better System Trader] Nelson Freeburg was the editor of Formula Research, a newsletter that developed systematic timing models for the stock, bond, and commodity markets. He was also a research consultant working with institutional money managers to design proprietary timing models. Nelson had been an active trader since 1980 and occasionally spoke about his work to audiences around the world. In this episode, Linda […]