Dave Bergstrom is a quantitative trader who started out with zero experience in mathematics. Starting out as a retail trader, infatuated with chart patterns, Dave fell into fell into quantitative trading after getting a job at a High Frequency Trading firm.

It took him almost 4 years to become a profitable trader and now trades 15  fully automated systems.

In the podcast Dave shares:

  • Why simple strategies are better than more complex ones
  • What is the best way to validate your data
  • Why he prefers timed exits
  • How he diversifies his trades

Interview

60: Dave Bergstrom on Why Simple Quant Trading Strategies Often Perform Better
00:00:00 00:00:00

“Retail traders must understand that trading is a possibility of outcomes and not a single outcome” – 37:36

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Recommended Books

Interview Links

Broker & Platform

  • Tradestation
  • Ninja Trader

Key Insights

  • A good trader is a trader is a trader that sticks to a system even through tough times
  • The easiest way to ease your drawdown is to trade with more money (Account Size)
  • Test everything before applying into your system
  • Learn how to program or how to automate your trade
  • Combine strategies to optimize your trades
  • Make simple strategies that have less rules
  • Believes that volatility, price patterns, and range defines the market move
  • Remove as much emotion as possible when you trade by automation
  • Understand that trading is a possibility of outcomes and not a single outcome
  • Stops do not scale well

Dave’s Trading

  • He trades on the Daily Chart
  • He trades fully automated
  • He runs 20 – 30 trades a week
  • He diversifies on non-correlating pairs
  • He does not use a stop loss
  • He trades with more money to compensate drawdowns
  • He keeps it simple

Dave’s Strategy

You can find a bunch of free trading strategies on Dave’s Twitter feed here. Below you can find the pseudo code for the one mentioned in the show:

 

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HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

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CFTC RULE 4.41 – HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.