Quant Mashup - Algorithmic Advantage Rob Hanna - Trading the VIX in a Diversified Portfolio [Algorithmic Advantage]For members of the Algo Collective (https://www.algoadvantage.io/collective) I’ll produce an even more detailed research report (it’s already 14 pages) on Rob’s strategies. Over time I’ll generate more actionable code in there as well, as I know that’s always in hot demand! See you on the(...) Laurens Bensdorp - Building Strategies with Purpose [Algorithmic Advantage]There’s a special place in trading graveyards reserved for the back-test that looked gorgeous on paper and then detonated in production. I’ve been there. If you trade long enough, you will too. We all know the over-fittings issues, and I’ll get into that, but there’s another reason why(...) Cesar Alvarez - A Novel Way to Combine Trend, Reversion, ETFs, Volatility & More [Algorithmic Advantage]When I sat down recently with Cesar Alvarez of Alvarez Quant Trading, I knew I'd be tapping into a deep reservoir of quantitative trading wisdom. Cesar’s journey into systematic trading began similarly to many of us—starting with discretionary trades, dabbling in mutual funds, and(...) Cesar Alvarez - A Novel Way to Combine Trend, Reversion, ETFs, Volatility & More [Algorithmic Advantage]When I sat down recently with Cesar Alvarez of Alvarez Quant Trading, I knew I'd be tapping into a deep reservoir of quantitative trading wisdom. Cesar’s journey into systematic trading began similarly to many of us—starting with discretionary trades, dabbling in mutual funds, and(...) Andrea Unger - 672% Returns? Sure! Would You Like Some Risk with That? [Algorithmic Advantage]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(...) Kevin Davey II - Selecting Optimal Strategies for Peak Performance [Algorithmic Advantage]In Part II with Kevin, he delves into the intricate mechanics behind his systematic futures trading approach, offering advanced quantitative traders a window into the finer points of strategy design, walk forward analysis, robustness testing, and portfolio construction. Drawing on decades of(...) 036 - Kevin Davey Part I - It's All About Process in Algo Trading [Algorithmic Advantage]I trust everyone is having a relaxing Passover week and is ready to devour some trading wisdom from Kevin Davey, an algorithmic trader with over 30 years of experience and a background in aerospace engineering and quality assurance, who exemplifies the importance of a disciplined process in trading.(...) Bob Pardo - Building Trading Strategies that Work with Walk Forward Analysis - Part 2 of 2 [Algorithmic Advantage]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(...) Rob Carver - The Comprehensive Guide to a Diversified Futures Strategy [Algorithmic Advantage]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,(...) Dr Ernest Chan - The Breakthrough Uses of Machine Learning in Risk Management [Algorithmic Advantage]We’re back! It’s 2025 and we are planning a cracker of a year! Stay tuned! 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(...) PJ Sutherland - Complementary Dynamics of Mean Reversion and Trend Following [Algorithmic Advantage]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(...) Return Stacking, ETFs & Trend Replication with Corey Hoffstein (@choffstein) [Algorithmic Advantage]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(...) Battle of the Back-Testers [Algorithmic Advantage]Allow me to share a few thoughts that came up as we brought together two exceptional minds in the trading technology space to talk about their back-testing applications. In the blue corner representing Python - Jason Strimpel, an experienced quantitative risk manager, trader and technology leader,(...) Diversification for Trend Following Models [Algorithmic Advantage]In the realm of trend following, one prevailing assumption is that highly correlated assets should not be traded together, as they are unlikely to provide diverse opportunities. However, this article will challenge this notion by delving into the nuances of trade correlations versus price(...) The Lifting Power of Outliers [Algorithmic Advantage]In previous posts, we’ve explored how massive diversification serves as a crucial tool for outlier hunters—not only to provide correlation benefits in chaotic regimes but also to increase our chances of capturing rare market events. It’s the frequency of these outliers in our trade(...)