The Algorithmic Advantage

Dive into the deep experience of quantitative trading with Cesar Alvarez (trader first, martial artist second), a veteran trader known for his mastery in mean reversion, breakouts, momentum, ETF and volatility strategies. Discover his innovative methods building a dynamic portfolio, retiring strategies, parameter sensitivity tests, strategy robustness checks, and the art of balancing risk and return to ensure long-term trading success. Cesar's insights highlight essential strategies for thriving in volatile markets, fine-tuning strategy components, and avoiding the trap of overfitting. Perfect for systematic traders looking for practical edges!#QuantTrading #MeanReversion #AlgorithmicTrading #ETFStrategies #QuantTradingContents:0:00 Cesar's Journey: Discretionary to Quant Trading3:59 Inside Connors Research: Mean Reversion Insights5:48 Cesar's Current Quant Trading Portfolio8:35 Tactical ETF Strategies & Retirement Focus14:34 Designing Quant Strategies: Goals & Principles17:07 Robustness Testing & Avoiding Overfitting22:49 Knowing When to Retire a Trading Strategy29:53 Amibroker vs RealTest: Tools for Systematic Traders34:03 Cesar's Featured Quant Trading Strategies37:03 Short Selling & Mean Reversion in Bear Markets41:12 Breakout & Momentum Strategies for Stocks43:53 Navigating Volatility: Trading VIX & SVIX ETFs50:50 Secrets to Effective Mean Reversion TradingWhat could it be?

A Smart Portfolio of Trend Following, Mean Reversion & Hedging StrategiesUnlock insane returns with quant crypto trading! Discover how Pavel from Robuxio builds robust portfolios combining mean reversion, momentum, and hedging strategies—even with limited historical data. Learn essential techniques for managing crypto volatility, optimizing execution, and leveraging diversified strategies. Curious? Dive into the show! #QuantTrading #CryptoTrading #Momentum #MeanReversion #Hedging #AlgorithmicTrading #CryptoStrategies

Psychology for Quant Traders? Really?Quantitative futures traders like to think in code, not clichés—but Dr Brett Steenbarger makes a compelling case that mindset is part of the edge. In this interview, Brett argues that the same statistical rigor quants apply to markets should be applied to the grey matter behind the keyboard. Here's a guide for the advanced systematic trader who suspects “psy-stuff” might be more than motivational posters.The punch-line from Brett's research is simple: systematic trading is less “set-and-forget” and more Formula 1 pit-crew—engineering precision plus real-time human performance. Code finds edges; psychology keeps you creative enough to refresh them. Or, as one of Brett's blog posts puts it, “We can't run robust systems from brittle minds.” Not a bad mantra to stick on your trading monitor!#traderpsychology #tradermindset #tradinginthezone

Finishing our little mini-series on shorter-term futures trading we talk to Andrea Unger and happily inject some click-bait in the form of gloating about his 672% return in a single year when he won the World Trading Competition. Naturally, we know that this kind of return is generated by specifically trying to win the comp, and taking on the associated risks! If you've been asleep the first two guests in this series were Bob Pardo and Kevin Davey. Between the three we've got a complete masterclass in shorter-term, diversified and responsive futures trading!Andrea Unger is actually a four-time World Trading Champion, and here he offers a comprehensive and structured approach to quantitative trading in futures markets, emphasizing practical methods for strategy design, robustness testing, portfolio construction, and system deployment.www.thealgorithmicadvantage.com

Kevin's systematic approach melds rigorous quantitative testing with pragmatic risk management and monthly maintenance protocols. By enforcing single-pass optimizations, extensive real-time validation, and lean portfolio sizes, he constructs a robust trading framework designed for consistency and longevity. Advanced traders can draw from his workshop principles to refine strategy design, navigate common back-testing pitfalls, and build diversified, adaptive portfolios capable of weathering market uncertainties.Topics: Strategy Design PrinciplesWalk Forward Analysis: Best Practices and Common MistakesRobustness Testing Beyond Walk ForwardTech Stack and Automation ToolsPortfolio Construction ProcessMonthly Maintenance and RebalancingRisk Management and Psychological PreparednessPerformance Benchmarks and Goals

In the cutthroat world of algorithmic futures trading, a structured process is non-negotiable. Kevin Davey's approach—defining objectives, rigorous validation via walk-forward and Monte Carlo methods, live incubation, and proactive portfolio management—offers advanced quantitative traders a framework to thrive in. By blending engineering precision with market adaptability, his methodology underscores that success lies not just in the strategies themselves, but in the disciplined process behind them.www.thealgorithmicadvantage.com

Many trading strategies are developed using extensive historical data to calibrate model parameters. However, this process often leads to over-optimization, where the strategy is too finely tuned to past market conditions. Two things stand out:Noise vs. Signal: Financial markets inherently contain a high degree of randomness. A model that fits historical data exceptionally well may simply be capturing random fluctuations rather than a persistent trading edge. Regime Shifts: Markets change over time. A strategy that works during a bull market might not perform in a bear market or during periods of high volatility.Enter Walk-Forward Analysis. It's also not easy, but if done right can create an incredible method to solve for over-fitting in a systematic manner, leading to:Realistic Performance Metrics: By testing on entirely out-of-sample data (not just one out of sample period), traders can obtain performance metrics that are closer to what would be experienced in real-world trading. Adaptive Strategies: Walk forward analysis inherently forces a re-optimization process. This means the model is continually updated to reflect more recent market conditions, thereby reducing the risk that it's built solely on outdated historical data. Robust Parameter Selection: Instead of selecting a single “optimal” parameter set that may be an outlier, traders can identify a plateau of robust parameters that perform consistently across multiple windows. This approach minimizes the risk of curve fitting, ensuring the strategy's parameters are not overly sensitive to one specific dataset.

Of the two biggest problems quantitative traders probably face, the first is over-optimization and the second is likely finding inspiration for new ideas. In-depth interviews with market wizards surely has to be one of the best ways to learn quickly, avoid common pitfalls and find untold amounts of inspiration hidden between the lines. Listening to experts that have been at it for decades, for me anyway, is an incredible education. In this show I invite you to again spend over an hour with Bob Pardo on the ins and outs of his trading, his philosophy and his edge. And the best bit is, this is just part 1 of 2. In the second part I'm going to deep-dive walk forward analysis with him and I'm sure I'll be walking away with some highly practical tips and tricks. Bob's career spans several decades of evolving market dynamics, groundbreaking system development, and a philosophy rooted in adaptability and robustness. His journey—from early days on the trading floor to pioneering walk forward analysis and working with the likes of Solomon Brothers, Dunn Capital, Daiwa Securities & Goldman Sachs—offers a compelling narrative for quantitative traders seeking both inspiration and technical insights.Intra-day Futures Traders and others - grab a chamomile tea and enjoy!www.thealgorithmicadvantage.com for contacts and more.

The A-Z of building a systematic futures portfolioIn this episode, seasoned trader Rob Carver shared his nuanced approach to building and managing a diversified futures portfolio—a methodology that appeals to advanced, technical traders, while we also covered off some of the 'basics' of futures trading, such as rolling, back-adjusting, and so on. I did my best to break down the key elements of his strategy, from market selection to dynamic optimization and continuous trading. A couple of interesting things came up, there's a lot of detail in here, and luckily you can go to his blog and books for all the technical detail.For the long-term futures trader with a smaller account, this is essential listening. How much diversification across markets and models is enough? How can we capture the benefits of this diversification with a limited account size? Rob has innovative approaches to both market diversification and model diversification to generate a highly capital efficient approach.For futures data, check out Norgate on our site: https://thealgorithmicadvantage.com/tools/www.thealgorithmicadvantage.com for more!

Building Better Strategies with Good Science It was strangely comforting talking to Ernie Chan. Whilst I was completely out of my depth talking about AI and Machine Learning, I came away broadly reinforced in my own belief that great trading still requires a human touch, and that the best niche's in the market are best discovered by applying a certain kind of wisdom, experience and competitive approach. The machine learning techniques and computer power needed to make them work are, however, quickly catching up, so how long we have is anyone's guess. For now, however, even Ernie is on the same page: that causal strategies (ones you can say 'why' they work) are still superior, more robust, easier to tweak if they should begin to decay. Furthermore, diversification across strategy types is key, merging long and short vol strategies, diversifying between trend and mean reversion. Avoiding over-fitting these strategies is best done by applying the scientific method: create a hypothesis of what should work in the market, then try to invalidate it with a logical analysis of the data. Well, that's nicely validating for my approach, so I'm happy. More detail / notes over at www.thealgorithmicadvantage.com

In the domain of quantitative finance, the juxtaposition of mean reversion and trend-following strategies constitutes a pivotal dialogue in the formulation of robust trading paradigms. Each methodology is underpinned by unique theoretical and empirical foundations, presenting distinct opportunities and inherent vulnerabilities. However, when synthesized within a cohesive portfolio framework, these strategies reveal a profound synergy that not only enhances diversification but also attenuates systemic risks. This discourse delves into the nuances of each strategy and elucidates their integrative potential. www.thealgorithmicadvantage.com

Wayne Himelsein, President and CIO of Logica Capital Advisors, has developed a robust approach to options trading centred on long volatility strategies that balance systematic rigor with human oversight. His methodology involves "gross long volatility," rejecting short volatility trades to ensure full protection during market downturns, and dynamically adjusting positions through a technique he calls "scalping to fund long vol." This process leverages mean-reverting market behaviours to offset the inherent costs of options while maintaining asymmetric risk-reward structures like straddles and strangles. Supported by extensive quantitative analysis and adaptability to varying volatility regimes, Wayne's strategies exemplify a nuanced blend of art and science in trading. More over at www.thealgorithmicadvantage.com

The concept of the “Cockroach Portfolio” is a novel take on building a robust investment strategy that thrives across diverse market conditions. Drawing inspiration from one of nature's most resilient creatures, this approach emphasizes adaptability, diversification, and risk mitigation. Jason Buck runs Mutiny Funds with a core belief that: “Offense wins games. Defense wins championships.” Mutiny's version of a diversified, all-weather portfolio therefore combines defensive-minded strategies, such as long volatility and trend, with offensive-minded strategies, such as stocks and bonds. Ensuring survival, and reducing draw-downs through time, provides the best opportunity for long-term capital growth. This show is all about risk management. If you don't know what ergodicity is, or how you can drown in a river that is 2 feet deep on average, listen in. Loads more, including contact links and a detailed write-up over at www.thealgorithmicadvantage.com

One of the standout points from Eric's approach is the focus on constructing a durable, all-weather portfolio. Eric designed his fund with the idea that it should be able to endure the most uncertain future scenarios, a goal he finds essential for long-term wealth preservation. His strategy blends managed futures, global equities, and laddered treasury bills, with a focus on equal risk contribution across futures & equities. Eric emphasizes simplicity and robustness over complexity, believing that this provides the best opportunity for consistent performance in both good times and bad. For Eric, effective trading is a blend of art and science—knowing when to trust the data and when to recognize that the future will always hold surprises. It was extremely interesting to hear Eric's wisdom that “direct attempts to create a smoother equity curve usually cause more harm than good. They create more problems than they solve”, adding that it is akin to asking for “more infrequent iceberg risk” in order to avoid “frequent, survivable, nuisance risk”. The solution being to build something that is robust and durable on a stand-alone basis, then something else, and then something else. Pick the ones that play well together and combine into a portfolio! More detail, tools and so on over at www.thealgorithmicadvantage.com Reach out with questions / suggestions!

Today we spoke with Corey Hoffstein, a well-known market practitioner with a deep and broad knowledge across quantitative trading & trend following, but also across developing investment products for wider advisor distribution. I'm super interested in almost every aspect of the financial markets, because I feel like a broad and generalist knowledge helps me make better trading and business decisions. Corey hits the nail on the head when he says that a given industry participant may be making optimal business decisions which are sub-optimal trading decisions. If we are aware of this kind of behaviour, it can help shape the way we trade. More than that, understanding market participants, infrastructure, technology, business motivations, and so on, is critical to effective trading. At a basic level, this would include knowing the exact differences between the execution of a market versus a limit order for example. It builds from there, but the point is, it doesn't hurt you to gain more and more knowledge of how the markets ‘actually work'. So much more over on the website: www.thealgorithmicadvantage.com

Gary Antonacci is back on the show after having released a new research paper with Carlo Zarattini from Concretum Research which constitutes a 100-year study on trend following US sectors. The strategy deployed in the paper has an impressive long-term track record, averaging an annual return of 18.2% with 12.6% volatility and a Sharpe Ratio of 1.39. Using Keltner and Donchian channels for entries & edits, volatility-based position sizing and a universe of 48 sectors, the simple model is surprisingly robust and a testament to the enduring power of trend following. Get all the links over at www.thealgorithmicadvantage.com

The Power of Multi-Strategy Diversification Laurens Bensdorp's trading philosophy revolves around diversification—not just in markets, but primarily in the strategies themselves. He is famous for referring to the art of building new strategies which compliment his existing suite as “designing models to fill potholes”. He trades across various styles, including trend following, rotational momentum and mean reversion, and he manages these strategies across both long and short strategies. By doing this, Laurens aims to capture profits in all market conditions, whether they are bullish, bearish, or sideways. So much more over at www.thealgorithmicadvantage.com

In our second Trading Think Tank round table discussion we bring together two exceptional minds in the trading technology space to talk about building back-testing applications: in the blue corner representing Python - Jason Strimpel, an experienced quantitative risk manager, trader and technology leader, and in the red corner representing his own application (Real Test), Marsten Parker, a legendary systematic trader and bona fide Market Wizard. The discussion dives deep into the nuances of back-testing proficiently, highlighting the importance of understanding the underlying mechanisms in your chosen engine and the diverse approaches to creating robust trading strategies with the powerful tools we have on hand in the modern era. Discounts on the Python for Finance course as well as links to the software and data providers are all on our site: www.thealgorithmicadvantage.com/tools

Tom Basso, famously coined 'Mr. Serenity' in Jack Schwager's "New Market Wizards" book, joins us for an enlightening and entertaining discussion. On a particularly turbulent day in the market, with the VIX making one of its largest ever moves, Tom shares his calm and collected approach to trading. Tom's trading approach is like a finely tuned orchestra, using seven different strategies across multiple markets and timeframes. He doesn't let any single position dominate his portfolio. Instead, he balances everything out, making sure he's ready for whatever the market throws at him. Whether it's ETFs or futures, Tom adapts his diversified strategies to fit the market and the investor. Tom shares some great stories and wisdom from his trading journey. From his interactions with Jack Schwager to Van Tharp, he emphasizes the importance of self-awareness and staying balanced. His philosophy is all about being cool, calm, and collected—just like him. Tom's all-weather trading approach is a blend of multiple strategies and extensive diversification. He's always ready for anything the market can throw at him. His ability to adapt and stay serene in the face of market volatility is a lesson for traders of all levels. www.thealgorithmicadvantage.com www.thealgorithmicadvantage.substack.com

Andreas Clenow needs no introduction and has a lengthy history in the algorithmic trading industry. A Swed who has lived in Switzerland for quite some time he has recently published a fiction novel set in the underworld of the secretive Swiss banking industry. He says you can learn more about finance from that than his textbooks! His contribution to the field of systematic trading has been enormous, with his three absolutely invaluable books: Following the Trend; Stocks on the Move; and Trading Evolved. The books cover everything from futures trading to stocks and then to programming it all in Python yourself. Clenow's books go into great detail and give you all the strategy detail needed to get you moving. We had an insightful discussion with him about the strategies in his books and then about his latest venture: a new mobile app called Hush. It's essentially a fund for the broader audience so we were particularly keen to uncover the strategies he is deploying in there. Trade well & prosper!

Keep It Simple! In our latest podcast, we had the pleasure of speaking with Dave Aspell, the Senior Portfolio Manager from Mt Lucas Management. Dave shared invaluable insights into his trading journey, the history and evolution of Mount Lucas, and the firm's unique approach to trading equities and futures. In this show we explore how Dave and his team trade, the super simple strategies they employ, and the key philosophies underpinning their approach. www.thealgorithmicadvantage.com

In this absolute cracker of an interview, Perry highlighted how increased market participation and technological advancements have influenced the efficacy of trend following strategies. He also provided insights into the shifting dynamics of the market, emphasizing the need for longer calculation periods and more sophisticated risk management practices as the markets mature and become more volatile. Perry's view on trading many markets versus concentrating on only a few involves weighing the benefits of diversification against the potential for higher returns through focused trading. Rich and I tend to think that there are ways of having your cake and eating it too – whereby there are ways to expand your universe while increasing profits. However, there are significant differences to the approach whether trading futures or equities, and this became a key part of the discussion. Futures offer market diversification and leverage that is very different to equities. Stocks, on the other hand, consist of an enormous universe, making a ‘relative' selection (and ranking) more necessary. Interestingly though, Perry essentially trades the same strategies on both futures and stocks. The absolutely critical part of Perry's strategies, in both the futures and stocks, is the nature of his ranking process. He effectively rotates candidates in and out of the portfolio based on their recent system performance. Importantly, ranked by their absolute returns only, and not any risk-adjusted method. Tune in for a deep dive on all his models, his portfolio construction & risk management process!

All the secrets of the Medallion fund revealed! Well, our speculations about the secret sauce anyway. Today, in a special tribute to Jim Simons, we are privileged to welcome the multi award winning journalist & author Greg Zuckerman to our podcast. Greg's detailed chronicle of Jim Simons' life in his book, "The Man Who Solved the Market," offers invaluable insights into Jim's genius and the remarkable team he assembled. Simons' strategy of bringing together the best minds in mathematics, physics, engineering, and other disciplines created a powerhouse of talent that drove Renaissance Technologies to unparalleled success. With gross returns of over 68% from 1988 through to 2022, this quant firm rules them all. Head on over to www.thealgorithmicadvantage.com for a full write up on the Medallion fund.

If you have questions, all the answers are here! In this first episode of a new series we are calling the 'Trading Think Tank' we sit down with a panel of experts and really deep-dive a single topic. In this show it's all things diversification. What do we really mean by diversification anyway? How many markets do we need to trade? If 'more is better', why exactly is that? What is the relative value of diversifying across markets (such as stocks, bonds, currencies, commodities) versus diversifying across strategies (having multiple models of different types, time-frames or parameters)? Can a basket of stocks be 'diversified' or is the risk of their auto-correlation too high, particularly in an extreme event (the one we really care about that can send us broke)? How much capital is required if one wants to trade a diversified range of futures contracts? Are there alternatives, such as trading CFD's? Is it all too complex? Should we overlay volatility smoothing techniques into our models? In this episode, literally jam-packed with actionable intel, Rich and Simon are joined by Moritz Seibert and Jerry Parker to discuss all of this in detail in the context of trend following.

In an insightful episode of "The Algorithmic Advantage" podcast, we are joined by Gary Antonacci, a notable figure in the finance sector, best known for his innovative dual momentum investment strategy. With an illustrious background that includes an MBA from Harvard and substantial experience in various facets of the financial industry, Gary shares his journey from working in brokerage to collaborating with trading legends in managed futures, and ultimately to his pivotal discovery of momentum investing. This strategy, which he meticulously developed and shared through his influential book, Dual Momentum, has significantly impacted the investment models used today by many family offices and significant investors. I thought it was interesting to hear Gary clarify, post-show, why he chose the terms he did for absolute and relative momentum, and I thought it would be well worth sharing here. Essentially, he prefers ‘relative' to ‘cross-sectional' and ‘absolute' as opposed to ‘time series' momentum. Cross-sectional applies when you segment a single market into group rankings such as deciles based on returns over a given lookback period. Relative momentum is more inclusive. It includes this but also can be applied when you compare the performance of different assets. It makes no sense to refer to that as cross-sectional momentum. Absolute momentum makes more sense than time-weighted momentum since all momentum looks at economic time series in the form of asset returns. Investors are familiar already with relative and absolute returns. Referring to momentum the same way makes intuitive sense. Visit the website for links to resources discussed on the show: www.thealgorithmicadvantage.com Please share the show with someone and help us get the word out there!

In this engaging podcast episode, Joris Bastien shares his unconventional journey into the world of quantitative trading, originating from his mathematical background and leading to innovative roles in the finance sector. Bastien discusses his transition from IT development to becoming a pivotal figure in trading system design, emphasizing his unique approach of leveraging quantitative hedge fund strategies to create versatile trading systems. His narrative highlights the importance of adaptability and seizing opportunities in the evolving financial landscape. Delving deeper, Bastien reveals his methodical approach to trading, prioritizing system diversification over traditional asset diversification to manage risk more predictably. He also shares his insights into the future of trading, particularly the role of cryptocurrencies like Bitcoin as alternative investment vehicles. Bastien's story is not just about his professional evolution but also a testament to the power of innovation and strategic thinking in the dynamic world of finance. Get in touch with Joris: x: https://twitter.com/quantaraxia li: https://www.linkedin.com/in/jorisbastien/ w: https://www.quantaraxia.com/

Recorded: 12 Dec 2023 In this episode of the Algorithmic Advantage podcast, we chat with our friend, legend ‘original turtle trader', Jerry Parker. The discussion traverses Jerry's remarkable journey, beginning with his foundational experiences in the renowned Turtle Program, where he gained invaluable knowledge in trend following and risk management under the guidance of expert mentors. Jerry shares his transition from learner to leader as he recounts the challenges and triumphs of starting his own fund, Chesapeake, highlighting the importance of adapting trading strategies, managing investor expectations, and the crucial interplay of trading skills with essential business acumen. The conversation then shifts to explore the evolution of Jerry's trading methodologies. He talks about his team's relentless pursuit of refining their trend-following strategies, incorporating a wider array of markets, and experimenting with innovative approaches like trend-following spreads. Jerry's commitment to the core principles of trend following, balanced with a willingness to embrace new market opportunities, is a recurring theme. He also candidly addresses the psychological aspects of trading, emphasizing the mental resilience required to navigate market pressures and maintain unwavering faith in one's system. Throughout the episode, Jerry's insights offer a deep dive into the complexities and nuances of professional trading, making it a must-listen for anyone interested in the art and science of market trends.

In this episode of The Algorithmic Advantage podcast, we dive into the fascinating world of quantitative trading with Dr. Tom Starke, a renowned expert in the field. With a rich background in physics (PHD) and engineering, Tom shares his unique journey from academic institutions and engineering firms to the dynamic arena of stock trading. His transition from a structured scientific career to the unpredictable financial markets offers invaluable lessons for anyone intrigued by the intersection of technology and finance.   Throughout the episode, Tom delves into the nuances of quant trading, discussing the blend of art and science in strategy development, the importance of micro alphas for diversification, and the challenges of risk management in today's volatile markets. He also sheds light on the potential of AI and machine learning in trading and offers a glimpse into the future role of quantum computing in finance. His insights not only illuminate the complexities of algorithmic trading but also emphasize the necessity of continuous learning and adaptability in the ever-evolving world of finance. Recorded: 12 Dec 2022. www.thealgorithmicadvantage.com

In this insightful second episode with Horizon3, Sanj and Paul delve into the complexities of systematic trading and the evolving landscape of the financial markets. The discussion kicks off with a critical look at traditional trading dogmas, emphasizing the importance of diversification and the challenges faced in adapting strategies to the dynamic post-Global Financial Crisis environment. The conversation then pivots to a nuanced analysis of current macroeconomic trends, focusing on the implications of central bank policies, the nuances of inflation, and the need to move beyond conventional wisdom in risk management. As the episode progresses, listeners are treated to an in-depth exploration of Horizon3's unique trading model, highlighting the integration of advanced risk controls, pattern recognition, and digital signal processing. This is followed by a compelling segment on the potential impact of quantum computing on financial markets. The speakers share their macroeconomic outlook, predicting a severe recession and a resurgence of inflation, urging investors to be strategic in their approach. The episode concludes with a teaser about Horizon3's upcoming initiatives and technological innovations, inviting listeners to stay updated through their website and LinkedIn. This podcast is a must-listen for anyone interested in understanding the intricacies of trading and investment in today's rapidly shifting economic landscape. Get in touch with Sanj & Paul from Horizon3: w: https://h3im.com/ li: https://www.linkedin.com/in/stayfrosty/ li: https://www.linkedin.com/in/paulnetherwood/

In this engaging episode of The Algorithmic Advantage, we explore the fascinating world of quantitative trading with experts Sanjeev Lakhanpal and Dr. Paul Netherwood from Horizon3 Investment Management. The discussion highlights Sanjeev's unique journey from physics to finance and Dr. Netherwood's transition from scientific research to trading systems development, illustrating the diverse skill sets in the field. Key focuses include the innovative use of Digital Signal Processing (DSP) to analyse market trends and the integration of adaptive pattern recognition in trading strategies, showcasing Horizon Capital's unique approach to navigating the complex financial markets.   Get in touch with Sanj & Paul from Horizon 3:   w: https://h3im.com/ li: https://www.linkedin.com/in/stayfrosty/ li: https://www.linkedin.com/in/paulnetherwood/

In this enlightening episode, we tackle the often-misunderstood topic of discerning genuine trading opportunities from the noise in market data. We challenge the traditional reliance on visual methods like Technical Analysis, which can be misleading, and argue for the superiority of quantitative methods. We delve into the intricacies of serial correlation and its importance in identifying enduring trends, which are essential for successful trend-following strategies. Through a detailed examination of real versus randomized market data, we demonstrate that a trend's visual appearance is not a reliable indicator of its tradability. The episode goes further to reveal that while numerous price series may visually present as viable for trend-following, only those with a quantifiable bias—verified through rigorous statistical methods—can provide traders with a substantial edge. Our discussion underscores the profound implications of trading on trends backed by actual market bias versus those that are the product of random movements. These insights are indispensable for traders seeking to elevate their strategies from gambling on visual cues to capitalizing on statistically validated trends, making this episode a must-watch for anyone serious about trading in the financial markets. Buy the data randomizing tool: https://www.buymeacoffee.com/algorithmicadvantage/extras https://www.thealgorithmicadvantage.com

In Episode 10 of "The Algorithmic Advantage," Alan Clement, a seasoned trader and strategy developer, joins the hosts for a deep dive into the world of systematic trading in equity markets. With his rich background in software development and finance, Alan shares invaluable insights into developing and implementing various trading strategies, including mean reversion, trend following, and volatility trading. Each strategy is uniquely designed to exploit specific market inefficiencies, highlighting the importance of diversification to achieve a balanced and effective trading experience. Alan also discusses the nuances of trading equities, the importance of adapting strategies to different market conditions, and the art of risk management. He sheds light on his approach to building and testing strategies, emphasizing the need to avoid overfitting and to ensure robustness through methods like in-sample and out-of-sample testing, and Monte Carlo simulations. The episode offers both new and experienced traders a comprehensive understanding of systematic trading, stressing the need for individual research and tailored strategies in the dynamic world of finance. Alan can be hailed at: x: @helixtrader w: www.helixtrader.com & www.smartsystematictrading.com e: alan@helixtrader.com li: www.linkedin.com/in/alanclement/

The financial Markets are in a perpetual state of flux, constantly evolving with changes in technology, shifts in regulatory landscapes, and the dynamic entry and exit of market players, all while business cycles ebb and flow.   In the face of such uncertainty, how do we navigate these turbulent waters? How can we effectively process the barrage of information available? Does the conventional wisdom of "buy and hold" withstand scrutiny when faced with substantial drawdowns of 50% or more? How do we truly maximize returns and minimise draw-downs? Are there secrets to investing hidden in plain sight?   Within the intricate tapestry of the market's daily dance, where buyers and sellers engage in the complex choreography of the free-market system, noise and confusion abound. Yet, amid this chaos, certain traders and investors have thrived over extended periods. They've capitalized on discerning patterns amidst the clamor, leveraging systems and methodologies that exploit fundamental, enduring human behaviors such as fear, greed, and the propensity to follow the crowd...  and follow trends.   There are some time-tested, quantitative processes that were refined by the legendary Chicago traders Rich Dennis and Bill Eckhart and they passed these skills on to a group of budding naïve traders in the 1980s. These traders became known as 'the turtles'. With us today is one of those trainees, who now has a track record that extends many decades, and a new breed of adherents to these principles…   Enter the modern-day "turtles" that adhere to a "classic trend-following" approach. How do they navigate the markets, and what adaptations have they made? What principles guide their actions? Well, what better way to unravel these mysteries than to spend a few days in Sydney with them, which is exactly what we've done, and here we are on beautiful Pittwater Harbour, at the offices of ECCM on Scotland Island, talking 'classic trend following' around the barbie with the legends of the game! …

Today we stepped away from talking specifically about trading strategies and chatted with Linus Nilsson about the database of about 4000+ hedge funds / CTA's that he maintains and makes available to the public. We thought this would be an important discussion because we all want to benchmark ourselves against other expert managers. It's an important aspect of 'setting our expectations' and also 'considering what is achievable'. So while we step away from the excitement of creating robust trading strategies in this episode, many will find it interesting to know about the average returns and statistics of the best funds globally. What kinds of track records are out there? What kinds of funds survive the longest? What kinds of statistical metrics (or qualitative attributes) are best to compare return profiles? What does it take to succeed as a new fund? What are the hurdles? There's a lot that can be done with the raw data that NilssonHedge provides and we will deep-dive into that in a follow-up episode. For those who are 'business minded' about their trading, we think you'll enjoy the show. Happy trading & investing. Get in touch with Linus: Web: www.nilssonhedge.com Twitter: @nilssonhedge Linked In: www.linkedin.com/in/nilssonhedge/

On Episode 7 after a number of discussions with trend followers we peek over the fence at how the other half live and talk to David Bush about Mean Reversion. David trades mega-cap US equities with a very strong focus on risk management. He includes a specific strategy in his portfolio that kicks in to profit and hedge his positions when other strategies might be entering a difficult regime. David is an accomplished musician, and we have an interesting chat about the relationship between music and trading! He mentions a very interesting style of music which I was keen to look up, so I'll include the links here. Enjoy the show! Music:  https://en.wikipedia.org/wiki/Johannes_Ockeghem https://open.spotify.com/album/7e6VZeeGFOe74KT78DAM85   Get in touch with David here: Crypto Substack: https://rektelligence.substack.com Website: https://alphatative.com Twitter: https://twitter.com/Alphatative LinkedIn: https://www.linkedin.com/in/davidtbush/ Back-testing Engine Mentioned: RealTest (mhptrading.com) Data Supplier Mentioned: Norgate Data - Overview

Learn from the best & make it even better! Another fascinating show with Art Holly who has decades of quant trading wisdom on offer. Art has a rich experience as a Portfolio Manager but also as an Allocator and brings over 30 years of incredible experience to the table. His strategies are best in class, diversified across instruments, time-frames and methodologies. He's an outlier hunter seeking positive skew. He doesn't want to warehouse risk, and he incorporates fundamental data & market profile in his algorithms in a very unique fashion. His all-weather portfolio has truly stood the test of time and he shares his philosophy, his 4 strategies, his 'logic-first' mentality and so much more. When you've been doing this from the early days, who needs to back-test? Get in touch with Art on X @artjholly3 & on Linked In www.linkedin.com/in/art-holly

A fascinating discussion with Marc Malek of Conquest Capital Partners that covers: short term trend following; diversified strategies; regime based dynamic strategy allocation; building behavioral & logic driven models; being an early adopter of new ideas; the mathematics of positioning tanks on a battlefield; breaking the HKD peg; replication & much, much more. "If you can't explain your models in plain English to a reasonably intelligent person in 5 minutes or less then we don't want it."

Part II of our discussion with the Two Quants of Takahe Capital (make sure you go back and listen to Part I first!). In the back half of our chat with Moritz Seibert and Moritz Heiden we delve into their funds, the strategies they trade and the guiding philosophy for all their trading. Their website: takahe.capital Our website: thealgorithmicadvantage.com Enjoy!

On episode 3 we cover a lot of ground with the two very sharp quants from Takahe capital. We cover numerous topics related to their trend following strategies, get into some deep discussion about their philosophy & generally try to unpack some practical tips for the rest of us!

On our second show we continue getting to know your hosts - this time chatting to Rich about his systematic trend following.

Kicking off the podcast learning about how Simon himself approaches the markets. We get into mean reversion, trend following and strategy specifics.

A very brief introduction to the show, who we are and what to expect! Get in touch at www.thealgorithmicadvantage.com Enjoy the ride!