The Algorithmic Advantage

The Algorithmic Advantage is a podcast about quantitative trading and investing. We're here 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 and experience of leading portfolio managers and other experts in the field! www.algoadvantage.io

Play

Open in

20 episodes
Avg 1 hr 17 min
English

Episodes 20

Newest Oldest Longest

All20 Unplayed20 In progress0 Played0

S1 · E55
August 14 · 1 hr 43 min
055 - Toby Crabel - Short-Term Futures Trading with Size!
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 with Victor Niederhoffer and his early connections to Monroe Trout and Paul Tudor Jones, and how zero-commission floor trading shaped his short-term edge from day one. He unpacks why the "clean open" that powered ORB for decades has eroded under 24-hour markets and institutional flow, why studying historical price shocks (1987, COVID) is non-negotiable for systematic survival, and why PhDs and machine learning are no substitute for a causal, market-structure-driven research process. For the solo systematic trader, Toby's advice is refreshingly practical: start with one market, build strict rules around a single idea, and know exactly when your edge has died. A must-watch for anyone serious about the history, robustness, and future of short-term systematic trading. Research: https://algoadvantage.substack.com Courses & Community: https://algoadvantage.io Music: Intro & Outro created by me on Suno - Algo Analogue I call it. Pre-Intro - Your Destiny from HookSounds - No subscription licensing. Contents: 0:00 AI, Quant Research and Market Regimes 5:50 Toby Crabel’s Systematic Trading Origins 13:00 How the Opening Range Breakout Was Built 18:36 Lessons from Legendary Traders 25:04 Why Traders Must Study Market History 30:22 How 24-Hour Markets Changed Trading 38:02 How Systematic Trading Has Evolved 45:17 Crabel’s Multi-Market Strategy Portfolio 53:32 Trading as a Business 59:58 Price, Volume and Wyckoff Principles 1:06:31 Trading Short-Term Strategies at Scale 1:14:00 Capacity, Execution and Market Impact 1:22:00 Systematic Risk and Portfolio Management 1:30:00 Advice for the newer trader 1:38:00 The Future of Systematic Trading
S1 · E54
July 20 · 1 hr 13 min
054 - Kieran Duff - Trading for a Living
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 down why prop firm evaluations are built for the firm to win, not you: daily loss limits, trailing drawdown, and consistency rules that quietly punish traders with genuine edge. I talk about why fixed stop-losses backfire to explain exactly why trailing drawdown is the worst offender, and why the industry's real ~10% pass rate says far more about the rules than about trader skill. Then I cover the alternative most traders never consider: platforms like Darwinex, where there's no evaluation to survive, just a certified track record and capital that's actually incentivised to see you succeed. Check it out: https://algoadvantage.substack.com/publish/post/207723117 I've just released an incredible 'Trading Breakthroughs with AI course' for members of the Collective. You'll also get the bonus chat with Kieran (and all my other guests). https://algoadvantage.io/collective Contents: 0:00 From Crypto to Systematic Trading 7:31 Switching From Discretionary to Systematic 12:44 Building a Live Track Record on Darwinex 18:05 Trading Styles That Attract AUM 25:47 FX, Breakout and Trend Following Systems 32:20 Choosing Timeframes and Trade Frequency 37:18 Mentor Lessons for Trading Psychology 42:48 Scaling Into Futures and Better Execution 49:12 Metrics Darwinex Uses to Fund Traders 57:03 How Darwinex Allocates Trader Capital 1:00:33 Track Record Length and Strategy Fit 1:06:59 Using AI and Claude Code for Trading
S1 · E53
May 26 · 1 hr
053 - Martyn Tinsley - 2 of 2 - Walk Forward Correlation: A New Tool for Robust Strategy Design!
Big discount on Martyn's tool for subscribers: https://www.algoadvantage.io/toolbox/ Watch Part 1 first! https://youtu.be/Kxvp00VbLx0 My 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 structural edge. Traditional walk-forward analysis typically optimizes a strategy on an in-sample window, picks the “best” parameter set, then tests that one choice out-of-sample. Used the wrong way, there’s a potential flaw here: one parameter set can look good out-of-sample purely by accident. That tells you very little about whether the underlying model is genuinely robust. Tinsley’s move is simple, but useful. Instead of judging one selected point, he looks at all parameter combinations in the optimisation grid and asks a harder question: does strong in-sample performance tend to map to strong out-of-sample performance across the whole space? If yes, you may have something real. If no, you’re probably flattering noise. Contents: 0:00 Walk Forward Correlation Explained 4:22 Best Metrics for Strategy Selection 9:27 Building a Combined Performance Metric 13:05 Objective Functions and Walk Forward Tests 17:30 In-Sample vs Out-of-Sample Validation 22:28 Pre-Live Optimization for Live Trading 25:14 Why Traditional Walk Forward Falls Short 28:59 Walk Forward Correlation Method 32:28 Measuring Predictive Power in Trading 39:25 Reading Correlation Chart Scenarios 41:48 Trade Counts and Statistical Significance 45:52 Go/No-Go Gates for Robust Strategies 51:03 Optimize Strategy Software Overview 56:43 Final Thoughts for Systematic Traders
S1 · E52
May 11 · 1 hr 24 min
052 - Martyn Tinsley - 1 of 2 - Building Robust Trading Strategies - The Masterclass
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/toolbox Martyn's paper on his new technique, "Walk Forward Correlation A Diagnostic for Over-Fitting and Structural Edge in Trading Strategy Optimisation": Our courses, community & toolbox: https://algoadvantage.io Contents: 00:00 Introduction and Setup 02:02 Martyn's Trading Journey 12:07 Transition to Algorithmic Trading 20:02 Common Pitfalls in Trading 30:11 Developing Robust Trading Strategies 31:55 Understanding Parameter Optimization and Performance Metrics 39:43 The Impact of Economic News on Trading Strategies 44:38 Identifying the True Edge of Trading Strategies 52:05 Noise Reduction Techniques in Algorithmic Trading 01:01:49 Research Phase vs. Optimization in Trading Strategies 01:07:33 Reassessing Trading Strategies 01:08:00 The Importance of Statistical Significance 01:09:00 Understanding Sample Size in Trading 01:10:00 Methodology for Backtesting Strategies 01:11:59 The Role of Edge in Trading Strategies 01:15:03 Randomness vs. Genuine Edge 01:17:59 Long-Term Performance and Sample Size 01:19:52 Confidence in Trading Results 01:22:00 Increasing Sample Size for Better Results 01:24:01 Testing Across Multiple Assets 01:26:04 Optimizing Across Timeframes 01:30:01 Generalizing Strategies Across Markets 01:31:57 Diversification in Trading Strategies 01:35:05 Final Thoughts on Strategy Optimization
S1 · E51
April 14 · 1 hr 3 min
051 - Samir Varma - Classify Risk Don't Chase Alpha
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 classifying market states instead: when risk is low, be exposed; when risk is high, reduce or eliminate exposure. That is a profound change in mindset. Prediction asks for precision. Classification asks for usefulness. And in markets, usefulness usually wins. My in-depth analysis and write-up: https://algoadvantage.substack.com Courses & Community: https://algoadvantage.io
S1 · E50
April 6 · 1 hr 7 min
050 – Samir Varma - When Academic Finance Theory Fails
Where Real Edge in Quant Trading Actually Comes From Do 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 of robotics and more. One of my favourite shows – but the first show I’ve done that isn’t about trading! It’s the warm-up you need to make the most of Part 2 though, and if I didn’t publish it, I’d be depriving a great many of you who will no doubt find this stuff as fascinating as myself! Still, if you only have time for strict ‘trading content’, fair warning, skip this. Let me know your thoughts…
S1 · E49
March 26 · 55 min
049 - David Bush - Build a High-Performance Quant Crypto Portfolio Without Blowing Yourself Up!
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, and building strategies that can survive extreme volatility. This pod with David Bush breaks down how to build a smarter algorithmic crypto trading portfolio using proven trading logic, better R&D, and an all-weather mindset. If you want to trade crypto like a serious systematic trader — not a gambler — this is worth your time. #CryptoTrading #AlgorithmicTrading #SystematicTrading #QuantTrading #CryptoPortfolio #PortfolioConstruction #RiskManagement #TrendFollowing #MeanReversion #TradingStrategy #Backtesting #RobustTrading #QuantResearch #Alpha #CryptoMarkets
S1 · E48
March 9 · 1 hr 7 min
048 - Michael Wallace - Dynamic Position Sizing Like You Haven't Seen Before
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 next 10 trades is not a wise way to proceed either. You want to be more ‘statistically minded’ than that – just toss a coin 10 times, and do that 10 times, the number of heads you get in each group of 10 is going to vary wildly no doubt. Toss it 10,000 times and ‘averages will tend to show up, this is the law of large numbers, but accounts can blow up a long time before averages play out. Because... sequencing risk. SEE MY FULL WRITE UP ON POSITION SIZING: https://www.algoadvantage.io/podcast/048-michael-wallace Courses, community & more: https://www.algoadvantage.io
S1 · E47
Dec 18, 2025 · 1 hr 35 min
047 - Tom Starke - The Basics of Building a Strategy Development Pipeline
Courses, community & more: https://www.algoadvantage.io This 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 briefly, don’t skimp on reviewing this stuff. It’s only in the Algo Collective that we’ll be able to take the time to deep-dive how to set this all up in a highly practical way. Believe me, once you have a pipeline for strategy development, you’re done! You churn out strategies that are more robust, quickly drop bad ideas and refine your portfolio quickly. You can focus on risk management, other research and constant review, while your trading takes place automatically in the background. At least, that’s my approach.
S1 · E46
Dec 11, 2025 · 1 hr 45 min
046 - Tom Starke - Institutional Quant Trading Fundamentals
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 their thinking, as compared to retail traders. A significant result of this is the critical role a systematic R&D process plays in strategy development. The development pipeline is a 'research first', 'hypothesis testing' laboratory, designed to invalidate bad ideas quickly, and push viable ideas through a strict robustness testing framework to ensure out-of-sample results. Applying a scientific approach (which is just good data science), means letting the data speak, rather than squeezing it for the answers we want! The result is a process designed to minimize overfitting and produce the highest risk-adjusted returns for the pre-defined objectives. Courses, Community & More: https://algoadvantage.ioContents:0:00 Introduction to Systematic Trading and Research6:47 Tom Stark’s Journey: From Physics to Trading13:16 The Scientific Approach: Pros and Cons in Trading19:30 Avoiding Analysis Paralysis in Quant Trading26:02 The Transition: Retail vs Institutional Trading32:28 The Motivation Behind Teaching and Mentoring Traders38:04 Mindset Shifts: From Retail to Institutional Thinking44:34 Risk Management: How Institutions Approach Risk51:08 Defining Trading Objectives: A Key Starting Point57:06 Portfolio Construction: Balancing Risk and Return1:03:10 Diversification: The Key to Long-Term Success1:09:30 Position Sizing: Crucial for Strategy Success1:15:00 Machine Learning’s Role in Systematic Trading1:21:10 Python: The Essential Tool for Quantitative Research1:27:00 Back-testing and Strategy Evaluation: Avoiding Overfitting
S1 · E45
Dec 3, 2025 · 1 hr 5 min
045 - Rob Hanna - Trading the VIX in a Diversified Portfolio
Detailed write-up on all of the concepts discussed here: https://www.algoadvantage.io/podcast/045-rob-hanna Rob 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 ETFs, with a focus on the shorter term (and particularly mean-reversion) models. Of particular interest to me was his VIX trading strategies due to their usefulness as a hedge in times of crises, and because they employ more than just price data (they look to the VIX futures curve - whether in backwardation or contango as a critical filter to his models). Trading volatility (through the futures, options or ETFs) can be extremely risky, but given the strong edges that are present in trading a consistent down-trending market, it's always of interest to me how traders find a way to profit while minimizing the risks inherent in these models. Rob has been trading the VIX long enough to share some invaluable insights. Enjoy! The only reliable source for trading COURSES, COMMUNITY & more: https://algoadvantage.io
S1 · E44
Oct 28, 2025 · 1 hr 30 min
044 — Nick Radge: Want Big Fish? You'll Need a Bigger Rod
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 amateur divide, per Nick: pros ride the drawdowns and are present for the next outlier. They profit from human bias—fear, greed, crowding—by refusing to trust their own emotions and by outsourcing discretion to rules they can defend under pressure. Write the plan. Build the engines. Diversify the return streams. Rebuke complexity. Then let compounding do its weird, beautiful work. COURSES, COMMUNITY & MORE OVER ON THE WEBSITE: https://www.algoadvantage.io
S1 · E43
Oct 1, 2025 · 1 hr 49 min
043 - Brent Penfold - Can Pre-Historic Strategies Still Make 30%pa?
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 trend following principles. I write an article inspired by each podcast which are full of my insights and practical tips. Check them out on the website: https://www.thealgorithmicadvantage.comLinks for Quant Strats conference in London on the 14th-15th October 2025: https://www.alphaevents.com/events-quantstratsuk --- 10% off using ALGOADVANTAGE10
S1 · E42
Aug 21, 2025 · 1 hr 27 min
042 - Laurens Bensdorp II - Building Strategies with Purpose
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 recency bias and overfitting. Plus: robust portfolio construction, capital allocation, and highlights from Laurens’ latest book, Trading Retirement Accounts. Combining losing investments into a winner: https://blog.ephorie.de/parrondos-paradox-in-finance-combine-two-losing-investments-into-a-winner "The Paradox of Diversification" paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1567126 More on our site: https://www.thealgorithmicadvantage.com #Quant #SystematicTrading #AlgorithmicTrading #PortfolioConstruction #Diversification #RiskManagement #TrendFollowing #MeanReversion #Volatility #Hedging #Backtesting #Robustness
S1 · E41
Jun 13, 2025 · 54 min
Episode 041 - Cesar Alvarez - A Novel Way to Combine Trend, Reversion, ETFs, Volatility & More!
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 return to ensure long-term trading success. Cesar’s insights highlight essential strategies for thriving in volatile markets, fine-tuning strategy components, and avoiding the trap of overfitting. Perfect for systematic traders looking for practical edges! #QuantTrading #MeanReversion #AlgorithmicTrading #ETFStrategies #QuantTrading Contents: 0:00 Cesar's Journey: Discretionary to Quant Trading 3:59 Inside Connors Research: Mean Reversion Insights 5:48 Cesar's Current Quant Trading Portfolio 8:35 Tactical ETF Strategies & Retirement Focus 14:34 Designing Quant Strategies: Goals & Principles 17:07 Robustness Testing & Avoiding Overfitting 22:49 Knowing When to Retire a Trading Strategy 29:53 Amibroker vs RealTest: Tools for Systematic Traders 34:03 Cesar’s Featured Quant Trading Strategies 37:03 Short Selling & Mean Reversion in Bear Markets 41:12 Breakout & Momentum Strategies for Stocks 43:53 Navigating Volatility: Trading VIX & SVIX ETFs 50:50 Secrets to Effective Mean Reversion TradingWhat could it be?
S1 · E40
May 27, 2025 · 1 hr 16 min
040 - Pavel Kycek - Generating Insane Returns with Quant Crypto Trading
A Smart Portfolio of Trend Following, Mean Reversion & Hedging Strategies Unlock 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. Curious? Dive into the show! #QuantTrading #CryptoTrading #Momentum #MeanReversion #Hedging #AlgorithmicTrading #CryptoStrategies
S1 · E39
May 16, 2025 · 58 min
039 - Brett Steenbarger - Mental Keys to Quantitative Trading Success
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 “psy-stuff” might be more than motivational posters. The punch-line from Brett’s research is simple: systematic trading is less “set-and-forget” and more Formula 1 pit-crew—engineering precision plus real-time human performance. Code finds edges; psychology keeps you creative enough to refresh them. Or, as one of Brett’s blog posts puts it, “We can’t run robust systems from brittle minds.” Not a bad mantra to stick on your trading monitor! #traderpsychology #tradermindset #tradinginthezone
S1 · E38
May 7, 2025 · 1 hr 46 min
038 - Andrea Unger - 672% Returns? Sure! Would You Like Some Risk with That?
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 two guests in this series were Bob Pardo and Kevin Davey. Between the three we've got a complete masterclass in shorter-term, diversified and responsive futures trading! Andrea Unger is actually a four-time World Trading Champion, and here he offers a comprehensive and structured approach to quantitative trading in futures markets, emphasizing practical methods for strategy design, robustness testing, portfolio construction, and system deployment. www.thealgorithmicadvantage.com
S1 · E37
Apr 24, 2025 · 58 min
037 - Kevin Davey II - Selecting Optimal Strategies for Peak Performance
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 common back-testing pitfalls, and build diversified, adaptive portfolios capable of weathering market uncertainties. Topics: Strategy Design Principles Walk Forward Analysis: Best Practices and Common Mistakes Robustness Testing Beyond Walk Forward Tech Stack and Automation Tools Portfolio Construction Process Monthly Maintenance and Rebalancing Risk Management and Psychological Preparedness Performance Benchmarks and Goals
S1 · E36
Apr 18, 2025 · 1 hr 9 min
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 in. 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. www.thealgorithmicadvantage.com

Showing 1–20 of 20 episodes