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  • 3 years ago
010: Perry Kaufman discusses applications of market noise, mitigating price shocks, volatility and u

010: Perry Kaufman discusses applications of market noise, mitigating price shocks, volatility and u

Perry Kaufman discusses market noise, the impact it has on trading styles and how it can be used to determine which strategies suit a particular market. We also talk about price shocks and how to mitigate their effects, how to use volatility in your favour, volatility parity for position sizing, the information ratio for strategy performance and some strategy ideas you can test yourself.
Topics discussed

How market noise impacts trend following and mean reversion
The effects of money flow during a crisis
The types of strategies that work best in new markets and why
How the efficiency ratio can be used to determine the best type of strategy for a market
The best markets for trend following and mean reversion
What strategy style to choose if you're just starting out
Using Volatility Parity for position sizing
Impacts and dangers of price shocks on backtesting and how to handle them
Mitigating the risk of price shocks
Using the Information Ratio to measure strategy performance and detect

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