Laurens Bensdorp runs 55 non-correlated trading systems simultaneously. He trades both long and short, across trend following and mean reversion styles, fully automated. He got there by losing money, reading roughly 500 books, blowing up a mean reversion account in 2011, then spending years figuring out what a portfolio built for actual survival looks like rather than one optimized for a backtest.
Laurens is based in Portugal, having previously lived in 12 different countries. He’s written several books including “The 30-Minute Stock Trader” and “Automated Stock Trading Systems,” and has been featured in Van Tharp’s work. He also runs seminars with Tom Basso. This conversation covers his trading journey, his framework for choosing trading styles that suit your personality, how to think about drawdowns, and why boring execution is the actual goal.
Watch the full episode below, then read on for the complete breakdown.
Starting from nothing: the common story most traders skip
Laurens started trading in 2000 with a $30,000 account, convinced he could generate $100,000 a year in returns. That didn’t happen. He lost money consistently, watching news events and trading on impulse with no structure and no edge. His summary of that period: “I was basically just gambling.”
The lesson he took from it wasn’t subtle. If you have no process and no reason to expect a trade to work, you will lose. The market gives you feedback quickly. His response was to stop trading and spend years reading, with the goal of actually understanding how trading works rather than just finding something that looked good on a chart. By his count, roughly 500 books over the period.
Two books changed his direction: the Market Wizards series by Jack Schwager, and Van Tharp’s “Trade Your Way to Financial Freedom.” The key insight from Tharp’s book: there is no single holy grail strategy that works in all conditions, and your job is to find a style that matches how you actually think and feel about markets, not to find the best strategy in the abstract.
Matching trading style to personality
Laurens describes himself as a contrarian by nature. He doesn’t like following the herd. When he first read about mean reversion, where you buy when fear is driving prices down and wait for the bounce, it clicked immediately. The psychology matched how he already saw markets.
Mean reversion also had two practical features that appealed to him at the time: shorter trade duration and a high win rate. For traders starting out, particularly those who struggle with long drawdown periods between wins, a strategy that wins frequently, even if the wins are small, is easier to stick with. Trend following can go 30 trades without a winner and still be working correctly. That’s psychologically brutal if you’re not built for it.
He now trades both styles, but his advice on choosing a starting point:
- Be honest about your tolerance for losing streaks. If 20 consecutive losses would make you abandon the strategy, trend following is probably not your natural fit.
- Think about how long you want to hold positions. Short-term styles keep you more active. Longer-term styles require patience through extended quiet periods.
- Consider whether you can short sell, both practically (regulations in your market) and psychologically (some traders genuinely can’t hold short positions comfortably).
His most important observation: you don’t fully know whether a style suits you until you’ve actually traded it live with real money. A strategy that looks perfect on paper can feel completely wrong when you’re sitting through its natural drawdowns with your own capital at risk.
The 2011 wake-up call
In 2011, during the August market correction, Laurens’ mean reversion long systems got hammered. The market dropped fast and hard, without the upward pullbacks that his short mean reversion systems needed to get fills. He was fully exposed on margin and took a serious loss.
His response was to cut position sizing in half immediately to get his thinking clear, then analyze what actually happened. His conclusion: mean reversion systems trading long and short, without other styles to offset them, are exposed to fast directional moves in ways that a broader portfolio isn’t. He needed something that would make money specifically when mean reversion was losing.
That event led directly to the 55-system portfolio he runs today. Every new style he added was chosen to fill a gap he’d identified in the existing portfolio. Where is this strategy supposed to make money? When is it supposed to lose? If the answer to the second question overlaps too much with everything else in the portfolio, the diversification benefit isn’t there.
Your largest drawdown is always in the future
One of the most direct things Laurens says in the conversation: if your backtest shows a maximum drawdown of 15 percent, plan for at least 30 percent in live trading. His rule of thumb is to expect the worst live drawdown to be at least double the backtest figure.
This matters practically for position sizing. If your position sizing is calibrated to the backtest drawdown, and the real drawdown is twice that, you will reach a level of pain that makes it hard to keep trading. People don’t usually blow up their accounts all at once. They make it through half the drawdown, then abandon the system right before it recovers, locking in the loss and destroying the edge they were trying to capture.
His solution: build the expectation of a double-drawdown into your position sizing from the start. The result is that your day-to-day performance will feel more boring. That’s the point. Boring execution is what consistent trading looks like in practice.
Be a risk manager first
Laurens’ framing of this is clear: “We always need to be first a risk manager and then a trader.” The job before every trade is not to find the entry. It’s to size the position at a level where, even if it goes badly, your emotional state stays intact and your rational decision-making stays online.
He talks about position sizing in terms of your psychological profile. If a drawdown is making you anxious, it means the position is too large for where you currently are, not that the strategy is wrong. The right position size for you today might not be the right position size in three years when you’ve built more resilience through actual experience. Starting smaller than you think you need to is almost always the right move.
How to approach portfolio validation
On evaluating backtest reports: Laurens looks at far fewer metrics than most systematic traders. His primary questions are: when is this strategy supposed to make money, and when is it supposed to lose money? If those answers make sense given the strategy’s logic, and if the losing periods don’t correlate with losing periods across his other strategies, the system is worth considering.
He uses the example of long-term trend following on the S&P 500. It should have made money from 1995 to 2000. It should have lost during the dot-com bust from 2000 to 2003. If a backtest shows it performing differently during those periods, something is wrong with either the strategy or the data. The ability to explain a strategy’s results in terms of the market conditions that produced them is a much better robustness check than any single risk metric.
Building the diversified portfolio
The process Laurens describes for getting from one strategy to 55 is sequential and logic-driven. Start with one strategy. Run it long enough to see its failure modes. Then ask: what kind of strategy would make money specifically when this one is losing?
| Starting strategy | Failure condition | Complementary strategy |
|---|---|---|
| Long-term trend following (long only) | Bear markets and corrections | Short trend following or short mean reversion |
| Mean reversion (long) | Fast directional crashes | Trend following with directional filter |
| Short-term high-frequency system | Flat, low-volatility markets | Volatility-based strategy or longer-term trend |
The goal isn’t to find strategies that all make money at the same time. It’s to find strategies whose bad periods don’t coincide. When you overlay a trend following short strategy on a long mean reversion portfolio, you’re not adding more return. You’re filling the holes in the equity curve where the long mean reversion was bleeding.
Why boring is the goal
Laurens’ definition of successful trading execution: you should be completely detached from your daily P&L. Not slightly less stressed, not managing your anxiety. Genuinely detached, because the position sizes are small enough relative to your risk tolerance that the day-to-day moves don’t trigger an emotional response.
That state is only achievable through position sizing. You can’t meditate your way there. You can’t develop discipline through willpower if the position is sized at a level that genuinely threatens your financial security. The way to get consistent, confident trading is to make the risk per trade boring enough that you can follow the system without second-guessing it.
He came to this through the 2011 experience. Before that event, he was trading in a way he describes as “very exciting.” After it, he turned the portfolio boring. And consistent. And profitable over the long term.
Related episodes
- 130: Building Mean Reversion Strategies with Cesar Alvarez (Part 2)
- “How to build Mean Reversion trading strategies” with Stefan Friedrichowski
- Trend Trading Tactics with Brent Penfold
- 024: Dr Van Tharp on beliefs in trading, why traders fail and market types
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