Uploaded June 2024 | Updated September 2026, 4 hours ago
Consistent trading strategies across 55 non-correlated systems: Laurens Bensdorp on portfolio diversification, drawdown planning, and why boring execution is the actual goal.
► Full article: bettersystemtrader.com/5-common-trading-traps-and-how-to-avoid-them-with-laurens-bensdorp
In this episode:
• Why Laurens reads about 500 books and still blew up a mean reversion account in 2011 - and what that taught him
• The rule of thumb every trader ignores: your worst live drawdown will be at least double your backtest figure
• How to validate a backtest by checking if results make sense during periods you already know - dot-com bust, 2008, etc.
• Why position sizing is a psychology tool, not just a math problem
0:00 Introduction - 55 non-correlated systems in real terms
0:53 Laurens' background: Netherlands, Portugal, 12 countries
3:30 Starting from nothing in 2000 with a $30,000 account
8:15 Reading 500 books - what actually helped
9:00 How Van Tharp's book changed everything
10:00 Matching trading style to personality: why mean reversion clicked
12:50 Short selling: practical and psychological considerations
13:05 Validating backtest beliefs
17:00 The 2011 wake-up call - blowing up mean reversion in August
22:00 Your largest drawdown is always in the future (the 2x rule)
28:00 Be a risk manager first, trader second
32:00 How to validate a backtest by historical period
38:00 Building from one strategy to 55 - filling the holes
45:00 Why boring execution is the point
Related episodes:
• Building Mean Reversion Strategies Part 2 - Cesar Alvarez: youtu.be/u_S0n1khkDs
• How to build Mean Reversion trading strategies - Stefan Friedrichowski: youtu.be/qQ84Ycu45YY
• Dr Van Tharp on beliefs in trading and market types: youtu.be/5w-yQMQt_fM
Consistent trading strategies require portfolio diversification across styles that lose at different times - not just adding more strategies. Laurens Bensdorp runs 55 non-correlated systems simultaneously, trading both long and short across trend following and mean reversion on full automation. In this episode he walks through how the 2011 August correction exposed gaps in his original portfolio, why he expects live drawdowns to be at least twice the backtest figure, and how he validates new strategies by checking whether their historical returns make sense given what actually happened during those periods - rather than just looking at the final performance numbers.
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► Better System Trader: bettersystemtrader.com
► Follow on X: twitter.com/bettersystrader
#TradingPortfolio #SystemTrading #AlgoTrading
Disclaimer:
Trading in the financial markets involves a substantial risk of loss. All content produced by Better System Trader is for informational or educational purposes only and does not constitute trading or investment advice.
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Consistent trading strategies across 55 non-correlated systems: Laurens Bensdorp on portfolio diversification, drawdown planning, and why boring execution is the actual goal.
► Full article: bettersystemtrader.com/5-common-trading-traps-and-how-to-avoid-them-with-laurens-bensdorp
In this episode:
• Why Laurens reads about 500 books and still blew up a mean reversion account in 2011 - and what that taught him
• The rule of thumb every trader ignores: your worst live drawdown will be at least double your backtest figure
• How to validate a backtest by checking if results make sense during periods you already know - dot-com bust, 2008, etc.
• Why position sizing is a psychology tool, not just a math problem
0:00 Introduction - 55 non-correlated systems in real terms
0:53 Laurens' background: Netherlands, Portugal, 12 countries
3:30 Starting from nothing in 2000 with a $30,000 account
8:15 Reading 500 books - what actually helped
9:00 How Van Tharp's book changed everything
10:00 Matching trading style to personality: why mean reversion clicked
12:50 Short selling: practical and psychological considerations
13:05 Validating backtest beliefs
17:00 The 2011 wake-up call - blowing up mean reversion in August
22:00 Your largest drawdown is always in the future (the 2x rule)
28:00 Be a risk manager first, trader second
32:00 How to validate a backtest by historical period
38:00 Building from one strategy to 55 - filling the holes
45:00 Why boring execution is the point
Related episodes:
• Building Mean Reversion Strategies Part 2 - Cesar Alvarez: youtu.be/u_S0n1khkDs
• How to build Mean Reversion trading strategies - Stefan Friedrichowski: youtu.be/qQ84Ycu45YY
• Dr Van Tharp on beliefs in trading and market types: youtu.be/5w-yQMQt_fM
Consistent trading strategies require portfolio diversification across styles that lose at different times - not just adding more strategies. Laurens Bensdorp runs 55 non-correlated systems simultaneously, trading both long and short across trend following and mean reversion on full automation. In this episode he walks through how the 2011 August correction exposed gaps in his original portfolio, why he expects live drawdowns to be at least twice the backtest figure, and how he validates new strategies by checking whether their historical returns make sense given what actually happened during those periods - rather than just looking at the final performance numbers.
---
► Better System Trader: bettersystemtrader.com
► Follow on X: twitter.com/bettersystrader
#TradingPortfolio #SystemTrading #AlgoTrading
Disclaimer:
Trading in the financial markets involves a substantial risk of loss. All content produced by Better System Trader is for informational or educational purposes only and does not constitute trading or investment advice.
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