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...
Jun 13, 2025•55 min•Season 1Ep. 41
A Smart Portfolio of Trend Following, Mean Reversion & Hedging Strategies Unlock 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 #Algorithm...
May 27, 2025•1 hr 17 min•Season 1Ep. 40
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: syste...
May 16, 2025•58 min•Season 1Ep. 39
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 mastercl...
May 07, 2025•1 hr 46 min•Season 1Ep. 38
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 marke...
Apr 24, 2025•59 min•Season 1Ep. 37
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 t...
Apr 18, 2025•1 hr 10 min•Season 1Ep. 36
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 ...
Mar 29, 2025•1 hr 21 min•Season 1Ep. 35
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 P...
Mar 19, 2025•1 hr 28 min•Season 1Ep. 34
The A-Z of building a systematic futures portfolio In 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 intere...
Feb 19, 2025•1 hr 42 min•Season 1Ep. 33
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, qui...
Jan 24, 2025•1 hr 21 min•Season 1Ep. 32
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 sys...
Dec 12, 2024•1 hr 17 min•Season 1Ep. 31
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 t...
Dec 04, 2024•1 hr 37 min•Season 1Ep. 30
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, su...
Nov 20, 2024•1 hr 22 min•Season 1Ep. 29
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, believin...
Oct 08, 2024•1 hr 24 min•Season 1Ep. 28
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...
Sep 25, 2024•1 hr 15 min•Season 27Ep. 1
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 surp...
Sep 13, 2024•1 hr 11 min•Season 1Ep. 26
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 ...
Sep 02, 2024•2 hr•Season 1Ep. 25
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...
Aug 23, 2024•1 hr 30 min•Season 1Ep. 24
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 ...
Aug 08, 2024•1 hr 47 min•Season 1Ep. 23
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 ...
Aug 02, 2024•1 hr 28 min•Season 1Ep. 22
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...
Jul 25, 2024•56 min•Season 1Ep. 21
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 ben...
Jul 07, 2024•1 hr 37 min•Season 1Ep. 20
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, phy...
May 26, 2024•1 hr 33 min•Season 1Ep. 18
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 diversifyi...
May 10, 2024•1 hr 47 min•Season 1Ep. 18
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 ...
Apr 08, 2024•1 hr 4 min•Season 1Ep. 17
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 adaptabil...
Feb 15, 2024•1 hr 56 min•Season 1Ep. 16
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...
Jan 24, 2024•1 hr 16 min•Season 1Ep. 15
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...
Jan 16, 2024•1 hr 32 min•Season 1Ep. 14
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 implic...
Jan 01, 2024•56 min•Season 1Ep. 13
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 analy...
Dec 24, 2023•59 min•Season 1Ep. 12
