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,...

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...

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...

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...

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...

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....

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...

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...

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...

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...

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...

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...

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...

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...

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...

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)...

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...

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,...

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?...

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...

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...

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 &...