The Algorithmic Advantage

Critical formulas for Bollinger Band trading - John Bollinger - 056 Sep 3, 2026 01:03:57 What does 46 years in markets teach you about building trading systems that actually last?John Bollinger joins me to discuss simplicity, robustness, volatility, market breadth, position sizing and why traders are paid to accept risk.We also cover Bollinger Bands inside Keltner Channels, price-pattern confirmation, geometric growth, risk of ruin, the danger of optimisation and why old systems can s

055 - Toby Crabel - Short-Term Futures Trading with Size! Aug 14, 2026 01:43:44 Toby Crabel — founder of Crabel Capital Management (~$5B AUM) and author of the legendary *Day Trading with Short Term Price Patterns and Intraday Breakouts* (1990), the book that gave the world the opening range breakout and NR4/NR7 patterns — joins the show for a rare, wide-ranging conversation. Toby traces his path from a pro tennis career to the Chicago trading floors, his formative stints wit

054 - Kieran Duff - Trading for a Living Jul 20, 2026 01:13:16 Trading your own account was never going to replace a salary — the compounding you need gets wiped out by the withdrawals you need to live on. The more commercial option is to trade investor capital, but the options are limited.In this video we get a look inside a trader's journey with Darwinex, quickly establishing a track record and attracting external capital.In the Substack article I break

053 - Martyn Tinsley - 2 of 2 - Walk Forward Correlation: A New Tool for Robust Strategy Design! May 26, 2026 01:00:08 Big discount on Martyn's tool for subscribers: https://www.algoadvantage.io/toolbox/Watch Part 1 first! https://youtu.be/Kxvp00VbLx0My detailed write up on Walk Forward Correlation Analysis: https://www.algoadvantage.io/podcast/053-martyn-tinsley-2/Martyn introduces Walk Forward Correlation (WFC) as a diagnostic for two problems that sit at the heart of systematic trading: over-fitting and str

052 - Martyn Tinsley - 1 of 2 - Building Robust Trading Strategies - The Masterclass May 11, 2026 01:24:56 Martyn's process. Dealing with common trader pitfalls. Defining steps and methods for avoiding over-fitting."Opt My Strategy" the Robustness Testing Application built by Martyn Tinsley. Up to 25% off for Algo Advantage Subscribers!! https://www.algoadvantage.io/toolboxMartyn's paper on his new technique, "Walk Forward Correlation A Diagnostic for Over-Fitting and Structural Edge in Trading Strateg

051 - Samir Varma - Classify Risk Don't Chase Alpha Apr 14, 2026 01:03:29 What does a quantum physicist & inventor bring to quant trading? He thinks differently and is purposefully anti-alpha - instead focusing on risk management. After years of trying conventional risk models, Samir’s conclusion was not that risk is impossible to model. It was that most people are solving the wrong problem. They try to predict exact future risk levels. His approach shifted to class

050 – Samir Varma - When Academic Finance Theory Fails Apr 6, 2026 01:07:49 Where Real Edge in Quant Trading Actually Comes FromDo not watch this podcast. This is Part 1 with Samir Varma, and in Part 2 we go into great detail about his quantitative trading. In the Collective, he gives our members some specific instructions on how to measure risk differently – this stuff isn’t fluff. But in Part 1, I got derailed into quantum physics, determinism, AI, Asimov’s three laws o

049 - David Bush - Build a High-Performance Quant Crypto Portfolio Without Blowing Yourself Up! Mar 26, 2026 00:55:16 Crypto Trader's Edge Course: https://www.algoadvantage.io/academy/crypto-traders-edge/Most crypto traders are still thinking like coin pickers when they should be thinking like portfolio architects. High-performance systematic crypto trading is not about chasing narratives — it is about robust portfolio construction, trend following, mean reversion, risk management, alpha stacking, diversification

048 - Michael Wallace - Dynamic Position Sizing Like You Haven't Seen Before Mar 9, 2026 01:07:21 This interview with Michael Wallace (who was inspired by Larry Williams & Ralph Vince) brings a few things to mind. First is the absolute centrality of the role of position sizing in trading, second is the nature of ‘probabilities’ in trading. They are highly related obviously. Sizing is not an afterthought; it can change everything. Presuming an ‘average win rate’ is going to apply to your ne

047 - Tom Starke - The Basics of Building a Strategy Development Pipeline Dec 18, 2025 01:35:17 Courses, community & more: https://www.algoadvantage.ioThis is part II, part I is Episode 46.I know we all want “quick, actionable take-aways”, but the reality is that foundational principles of strategy development process is at the core of successful trading, and you more than likely do not have half of this in place like you should. So, while this is ‘foundational’, and can only be covered

046 - Tom Starke - Institutional Quant Trading Fundamentals Dec 11, 2025 01:45:17 Detailed write up on how institutions trade differently: https://www.algoadvantage.io/podcast/046-tom-starke/Part 2: coming soon!Dr Tom Starke trades significant institutional capital as a quant trader for a private fund. In Part 1, we cover the common pitfalls of 'retail' or newer traders. Tom makes the case that institutions 'think differently', applying an extra dimension to the

045 - Rob Hanna - Trading the VIX in a Diversified Portfolio Dec 3, 2025 01:05:30 Detailed write-up on all of the concepts discussed here: https://www.algoadvantage.io/podcast/045-rob-hannaRob Hanna has been trading since the mid 90's and has slowly progressed from discretionary swing trading to a systematic, research driven approach, while still carrying some of those qualitative features into his quant trading. He trades a diversified set of strategies in equities and ETF

044 — Nick Radge: Want Big Fish? You'll Need a Bigger Rod Oct 28, 2025 01:30:33 I think Nick Radge’s edge is actually an architecture: robust, simple, momentum-driven systems stitched together into a portfolio that survives, adapts, and compounds. Across nearly four decades, he’s traded through crashes, chop, and melt-ups; shifted from futures to equities for business reasons; and kept his build-process stubbornly logic-first and comfortingly boring—by design. The pro vs amat

043 - Brent Penfold - Can Pre-Historic Strategies Still Make 30%pa? Oct 1, 2025 01:49:23 Can caveman-simple trading rules still work in today’s markets? Brent Penfold says yes. In this interview, he reveals why old strategy rules remain powerful, why portfolio-level thinking is the real edge, and how diversification and discipline create timeless success.Brent talks about trading patterns in a range of 30 futures markets, deploying 20 strategies diversified across mean reversion and t

042 - Laurens Bensdorp II - Building Strategies with Purpose Aug 21, 2025 01:27:41 Round II of a systematic trading masterclass with Laurens Bensdorp: architect non-correlated, purpose-built portfolios—mix trend following, mean reversion, and long-volatility hedges to drive smoother, higher risk-adjusted returns.We unpack the “paradox of diversification” (Parrondo’s paradox) to turn “ugly” equity curves into compounding machines, and when (not) to switch systems off to avoid rec

Episode 041 - Cesar Alvarez - A Novel Way to Combine Trend, Reversion, ETFs, Volatility & More! Jun 13, 2025 00:54:47 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 retu

040 - Pavel Kycek - Generating Insane Returns with Quant Crypto Trading May 27, 2025 01:16:46 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. Cur

039 - Brett Steenbarger - Mental Keys to Quantitative Trading Success May 16, 2025 00:58:18 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 “ps

038 - Andrea Unger - 672% Returns? Sure! Would You Like Some Risk with That? May 7, 2025 01:46:01 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 t

037 - Kevin Davey II - Selecting Optimal Strategies for Peak Performance Apr 24, 2025 00:58:44 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

036 - Kevin Davey Part I - It's All About Process in Algo Trading Apr 18, 2025 01:09:51 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 undersco

035 - Bob Pardo II - Building Trading Strategies that Work with Walk Forward Analysis Mar 29, 2025 01:21:27 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 captu

034 - Intra-Day, High-Octane, Robust Futures Trading - Bob Pardo - Part 1 of 2 Mar 19, 2025 01:28:18 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

033 - Rob Carver - The Comprehensive Guide to a Diversified Futures Strategy Feb 19, 2025 01:42:13 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 element

032 - Dr Ernest Chan - The Breakthrough Uses of Machine Learning in Risk Management Jan 24, 2025 01:21:05 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

031 - PJ Sutherland - The Complementary Dynamics of Mean Reversion and Trend-Following Strategies Dec 12, 2024 01:17:16 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

030 - Wayne Himelsein - Logica Capital Advisors Dec 4, 2024 01:37:20 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 ca

029 - Jason Buck - Mutiny Funds - Building a Cockroach Portfolio Nov 20, 2024 01:22:10 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

028 - Eric Crittenden - A Portfolio for All Seasons Oct 8, 2024 01:23:59 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 contributio

027 - Corey Hoffstein - Return Stacking, ETFs & Trend Replication Sep 25, 2024 01:14:31 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 dec

026 - Gary Antonacci - New Models & Research Updates Sep 13, 2024 01:10:32 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

025 – Laurens Bensdorp - Balancing 55 Super Models Sep 2, 2024 02:00:02 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

024 – Trading Think Tank 02 – Battle of the Back-Testers Aug 23, 2024 01:30:08 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 legenda

023 - Tom Basso - The Calm Within the Chaos Aug 8, 2024 01:47:24 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

022 - Andreas Clenow - A Most Private Discussion on Sensible Trading for the Long Term Aug 2, 2024 01:28:09 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 enormou

021 - Dave Aspell - Mt Lucas Management - Keep It Simple! Jul 25, 2024 00:56:07 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 em

020 - Perry Kaufman - A Wealth of Experience: Trading Diversified Strategies in Futures & Equities Jul 7, 2024 01:36:59 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 volatil

019 - The Trading Strategies of Jim Simons' Medallion Fund with Greg Zuckerman May 26, 2024 01:33:05 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&

018 - Trading Think Tank - Diversification in Trend Following May 10, 2024 01:46:38 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? Wh

017 - Gary Antonacci - Absolute & Relative Momentum: Trading ETFs & Mega Caps Apr 8, 2024 01:03:33 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

016 - Joris Bastien of Quantaraxia - Multi Model ETF Trend Strategies Feb 15, 2024 01:55:45 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

015 - Jerry Parker of Chesapeake Capital - The Trend Commandments Jan 24, 2024 01:16:18 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. Jerr

014 - Dr Tom Starke - Combining Alphas in a Diversified Quant Portfolio Jan 16, 2024 01:32:08 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 u

013 - Horizon3 Investment Management (Part II) Jan 1, 2024 00:55:54 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 c

012 - Sanjeev Lakhanpal & Dr Paul Netherwood of Horizon3 (Part I) Dec 24, 2023 00:59:07 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 diver

011 - Into the Quant Lab - Fooled by Randomness in the Markets Dec 18, 2023 01:09:47 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

010 - Alan Clement - Fortified & Diversified Quantitative Equities Strategies Dec 5, 2023 01:32:15 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, a

009 - The Sydney Special - The New Turtle Traders & The Genius of Classic Trend Following Nov 30, 2023 01:23:26 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 wisd

008 - Linus Nilsson - The Nilsson Hedge CTA Database Oct 26, 2023 01:09:45 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&

007 - David Bush of Alphatative - Mean Reversion Rhythms Oct 14, 2023 01:45:39 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

006 - Art Holly - Who Needs to Back Test? Oct 10, 2023 01:48:56 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 s

005 - Marc Malek of Conquest Capital Partners Oct 3, 2023 01:28:14 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 expl

004 - Two Quants - Moritz Seibert & Moritz Heiden (Part II) Sep 21, 2023 00:47:03 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!

003 - Two Quants - Moritz Seibert & Moritz Heiden (Part I) Sep 18, 2023 01:11:15 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!

002 - Validate for Yourself! The Science of Trend Following - Richard Brennan Aug 22, 2023 01:10:50 On our second show we continue getting to know your hosts - this time chatting to Rich about his systematic trend following.

001 - Diversified Quant - Mean Reversion + Trend - Simon Mansell Aug 22, 2023 00:50:31 Kicking off the podcast learning about how Simon himself approaches the markets. We get into mean reversion, trend following and strategy specifics.

000 - Welcome to The Algorithmic Advantage Aug 17, 2023 00:07:05 A very brief introduction to the show, who we are and what to expect! Get in touch at www.thealgorithmicadvantage.com Enjoy the ride!

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