Welcome to The Algorithmic Advantage

Our mission is to expand the toolkit of the quant-trading community and introduce investors to the many advantages of systematic trading. Our goal is to educate and inspire as we embark on a captivating journey into the vast knowledge & experience of leading portfolio managers and other experts in the field!

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Latest Episodes

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035 - Bob Pardo II - Building Trading Strategies that Work with Walk Forward Analysis - Part 2 of 2

I had a thought this week about what constitutes my "trading edge". You know, the question every trader is expected to be able to answer. It's supposed to constitute some kind of evidence that you can out-perform the market, your peers, or whatever. Something Bob Pardo mentioned made me think differently about this when he reminded me that when trading pits were around, every trader "had to have their edge" to stay ahead of the other guy or gal. Back then, on the floor, it was necessary to have some kind of "insider knowledge" so to speak in order to carve out success.
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034 - Intra-Day, High-Octane, Robust Futures Trading - Bob Pardo - Part 1 of 2

Of the biggest problems quantitative traders probably face, the first is no-doubt 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.
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033 - Rob Carver - The Comprehensive Guide to a Diversified Futures Strategy

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 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.
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032 - Dr Ernest Chan - The Breakthrough Uses of Machine Learning in Risk Management

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.
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031 - PJ Sutherland - The Complementary Dynamics of Mean Reversion and Trend-Following Strategies

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.
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030 - Wayne Himelsein - Trading from the Bunker

In our latest interview, Wayne Himelsein, President and CIO of Logica Capital Advisors, shared profound insights into the intricate dance between human expertise and systematic trading strategies. Himelsein highlighted how his firm integrates quantitative rigor with adaptive human oversight to create resilient, long-volatility-focused strategies.
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029 - Jason Buck - Mutiny Funds - Building a Cockroach Portfolio

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.
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028 - Eric Crittenden - A Portfolio for All Seasons

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.
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