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Apr 18, 2025
By Simon M

036 - Kevin Davey Part I - It's All About Process in Algo Trading

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. 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.
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Mar 30, 2025
By Simon M

035 - Bob Pardo Part 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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Mar 19, 2025
By Simon M

034 - Bob Pardo Part I - Intra-Day, High-Octane, Robust Futures Trading

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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Aug 09, 2024
By The Algo Advantage

023 - Tom Basso - Trading Serenity Within the Chaos

The Calm Within the Chaos - Tom Basso on Reaching Trading Enlightenment. Tom, 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 […]
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Aug 02, 2024
By The Algo Advantage

022 - Andreas Clenow - A Most Private Discussion on Sensible Trading for the Long Term

Trading Strategies, Books, Programming and the underworld of Swiss Private Banking. Andreas Clenow needs no introduction and has a lengthy history in the algorithmic trading industry. A Swede 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 […]
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Jul 25, 2024
By The Algo Advantage

021 - Dave Aspell of Mt Lucas - An Institutional Perspective on the Simplicity of Trend Following

A Deep Dive into Mount Lucas Management's Trading Philosophy and Strategies. In our latest podcast, we had the pleasure of speaking with Dave Aspell, the Senior Portfolio Manager from Mount 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 […]
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Jul 07, 2024
By The Algo Advantage

020 - Perry Kaufman - A Wealth of Experience - Trading Diversified Strategies in Futures & Equities

Getting into the Details of the Unique Approach of Perry Kaufman - Trading a Diversified Portfolio of Both Futures & Equities. In this episode of The Algorithmic Advantage, we had the pleasure of diving deep into the world of trading with the legendary Perry Kaufman. With a career spanning back to the 1970s, Perry's insights […]
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