Running 55+ Systematic Trading Strategies Simultaneously · Laurens Bensdorp

Core Trading Philosophy

• Lawrence Bensdorp advocates for a "portfolio of 55 different systematic systems" to achieve robustness and smooth equity curves, rather than relying on a single high-growth strategy.
• The primary objective is wealth preservation over pure wealth accumulation; he explicitly avoids drawdowns of 50% because they are psychologically difficult to endure with personal capital.
• Diversification across uncorrelated return streams ensures that if four or five systems underperform, others compensate, creating a more resilient overall strategy.
• Higher trade frequency resulting from multiple systems allows the portfolio to recover from drawdowns faster than a concentrated, low-frequency approach.

Evolution of Strategy and Systems

• Initial Phase (2000–2007): After entering finance in April 2000 during the dot-com crash, Bensdorp initially focused on mean reversion strategies, which performed well during 2007–2009.
• Catalyst for Change (August 2011): A significant drawdown occurred where long mean reversion losses were twice as large as backtest projections, revealing the strategy's vulnerability to "fat tail" risks in rapidly falling markets.
• Diversification Shift: To mitigate the negative skew of mean reversion and capture long-term trends, he integrated trend-following systems (both long and short) into his suite.
• Current Suite: He currently runs 55 automated systems spanning mean reversion, trend following, short-term, and long-term timeframes across U.S. stocks, futures, commodities, and metals.

System Architecture and Automation

• Full Automation: Managing 55 systems requires 100% automation via proprietary software to execute trades and prevent human error ("fat finger" mistakes).
• Human Limit: Manual trading is feasible for roughly 10–12 systems; anything beyond that introduces unacceptable risk of execution errors.
• Equal Weighting: Bensdorp employs equal weighting across all 55 systems to avoid recency bias and the danger of over-allocating capital to recently outperforming strategies.
• Strategy Specifics:
  • Trend Following: Includes simple breakout rules (e.g., NASDAQ 100 top 10 stocks by rate of change) with trailing stops; effective in bull markets but prone to drawdowns when trends reverse.
  • Mean Reversion: Designed to capture short-term bounces; uses wider stop losses to allow "falling knife" scenarios to revert to the mean before exiting.
  • Timeframes: Ranges from day trading strategies to long-term systems with look-back periods up to 300 days.

Risk Management and Validation

• Backtest Realism: Bensdorp stresses that a robust backtest must include "big fat tails" (large losing trades); a strategy that looks "too good to be true" likely has filtered out these catastrophic events.
• Expectation Adjustment: Traders should anticipate live drawdowns to be at least double the simulated drawdowns due to market slippage and changing conditions.
• Position Sizing: Stop losses and position sizes are calibrated to ensure that even the worst-case scenario of a single strategy does not threaten the total capital.
• Handling Correlations: While he trades uncorrelated assets (e.g., commodities) to diversify, he acknowledges that in extreme systemic crashes, correlations can converge, making the multi-system approach essential for survival.

Psychology and Implementation

• System Ownership: He argues traders must build their own systems from the ground up; buying pre-packaged strategies often leads to psychological discomfort and premature suspension during drawdowns because the trader lacks deep knowledge of the "why" behind the losses.
• Drawdown Tolerance: A system designed to withstand a 20% drawdown allows the trader to remain consistent during adverse periods, whereas unknown systems cause traders to exit at the bottom of a cycle.
• Time Investment: Developing a foundational suite of 5–7 systems (trend long/short, mean reversion long/short) can take 1–2 months for experienced individuals, though it often requires mentorship or software for others.

Future Outlook and Resources

• Current Focus: Bensdorp is actively developing new strategies specifically designed to profit from "unexpected" market events (e.g., sharp sell-offs within a bull market).
• Upcoming Publication: He is working on a third book regarding Individual Retirement Accounts (IRA) slated for release in the first quarter of next year.
• Contact: His platform, tradingsystems.com, offers his proprietary software, books, and mentorship programs for those interested in systematic trading.