Episode 11: FX Arbitrage, Regime Change, and the Return of Classic Trend
Join Rich Brennan, Jerry Parker, and Adam Havryliv for Episode 11 of Turtle Talk with special guest Sanjeev Lakhanpal, co-founder of Horizon3 Investment Management.
In this episode:
📊 Battle of the Trend Following Indexes – January 2026
All seven trend following benchmarks rallied in unison, with Classic Trend and Barclay BTOP50 sharing the monthly lead at +5.0%. Dispersion compressed to just 1.1 percentage points — a rare show of breadth across the entire systematic universe. Classic Trend Index surpasses 140% cumulative since January 2020 with a 15.5% CAGR, continuing to separate from the pack on the VAMI chart.
👉 Full report: https://www.aussieturtles.com/battle-of-the-trend-following-indexes-january-2026/
📈 What’s Moved the Needle
Metals dominate the conversation as Jerry walks through gold, silver, platinum, palladium and tin — including the brutal end-of-January sell-off and what it means (and doesn’t mean) for long-term trend followers. A passionate debate on vol-weighting vs fixed position sizing, why cutting winners to improve Sharpe is a trap, and why one trade doesn’t define a system built on thousands.
Adam brings the Toronto Stock Exchange, cocoa’s dramatic bear trend, and Bitcoin’s breakdown below 80,000.
Paul Mulvaney’s extraordinary January (+26%, reportedly up 72% intra-month) sparks a discussion on convexity, pyramiding, and why you can’t replicate his CAGR by simply leveraging a smooth equity curve.
🎙 Spotlight Conversation – Sanjeev Lakhanpal (Horizon3 Investment Management)
A deep dive into one of the most unique operators in the systematic space. Sanj explains: His journey from a physics degree to AHL’s trading desk, running billions through the pits with a team averaging 20 years old Working with David Beach — “the greatest trader no one’s ever written a book about” — and the six-year quest to automate his photographic pattern recognition methodology
How Digital Signal Processing extracts genuinely diversified signals from price data by analysing the frequency domain
Why linear filters throw away turning-point information that non-linear pattern recognition can recover
Horizon3’s new FX Swap Arbitrage program: a market-neutral strategy exploiting structural swap rate differentials between brokers, averaging over 2% monthly with no losing months and no losing trades
Why the opportunity exists (arbitraging an efficiency, not an inefficiency) and why it won’t be arbitraged away
How the arb strategy creates a 20-25% annual return cushion beneath the CTA, transforming the risk profile with a level of certainty research gains can’t normally deliver
Contact Sanj: sa**@**im.com | Website: www.h3im.com 📬
Shell Mail – Listener Questions from Lee
Two practical questions from a good friend of the podcast:
Opposing signals under US FIFO rules — What happens when two systems want to be long and short the same futures contract in a US retail account? Jerry, Sanj, and the team break down why netting at the portfolio level is the cleanest solution, and why it’s actually more efficient than trying to maintain separate positions.
Managing multi-currency balances as a global investor — When EM diversification leaves you holding HKD, KRW, SEK, and MYR, what do you do? Convert back to USD? Write an algo? Or follow Adam’s out-of-the-box advice: go live where your profits are.
📘 The Fractals of Finance
Rich shares the story behind his new book — a lifetime of searching for certainty in markets, finding trend following, and discovering the deeper geometry beneath it all. The book explores why extreme events are far more common than we’re taught, why traditional models built on normal distributions consistently fail, and why classic trend following isn’t just a strategy — it’s a survival mechanism. With a foreword by Jerry Parker. Available now in Kindle, paperback, and hardcover.
👉 Available on Amazon: https://www.amazon.com/dp/B0GHTH1WNK
🌐 Episode Resources
Battle of the Trend Following Indexes – January 2026 https://www.aussieturtles.com/battle-of-the-trend-following-indexes-january-2026/
Horizon3 Investment Management www.h3im.com | sa**@**im.com
The Fractals of Finance (Amazon) https://www.amazon.com/dp/B0GHTH1WNK
📩 Send questions for future episodes:
https://www.aussieturtles.com/contact
Closing Thought
We’re back in a classic CTA environment. The world is fragmenting, purchasing power is eroding, and markets are producing the kind of outlier moves that reward those who stayed positioned. Vol-weighting or loose pants, the debate continues — but the trends don’t care about your method. They care about whether you’re there.
Stay systematic. Stay patient. And may the trend be with you.
🎙️ Turtle Talk is here to equip traders and enthusiasts with the tools to succeed in the ever-evolving world of trend following. Make sure to subscribe, rate, and share the podcast!
Get the Aussie Turtles® Trend Following Guide
If you want to go deeper into the principles behind trend following and build a process that survives real market conditions, the Aussie Turtles® Trend Following Guide is now available on Amazon.
This book is a field manual for traders who want to move beyond prediction and commit to disciplined, systematic practice. Written by Adam Havryliv and Richard Brennan, it distills decades of experience into a practical and philosophical framework for navigating complex markets.
The guide challenges the myths of consistency and control. It explains why markets evolve through trader impact, serial correlation, and emergent structure rather than forecasts. It does not promise a holy grail system. Instead, it teaches the mindset required to capture the rare asymmetric outliers that drive long term performance.
If you are ready to trade with clarity, resilience, and conviction, this is the place to start. Click on the image below.
