The Algorithmic Advantage

• 033 - Rob Carver - The Comprehensive Guide to a Diversified Futures Strategy

  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 elements of his strategy, from market selection to dynamic optimization and continuous trading. A couple of interesting things came up, there's a lot of detail in here, and luckily you can go to his blog and books for all the technical detail.For the long-term futures trader with a smaller account, this is essential listening. How much diversification across markets and models is enough? How can we capture the benefits of this diversification with a limited account size? Rob has innovative approaches to both market diversification and model diversification to generate a highly capital efficient approach.For futures data, check out Norgate on our site: https://thealgorithmicadvantage.com/tools/www.thealgorithmicadvantage.com for more!

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• 032 - Dr Ernest Chan - The Breakthrough Uses of Machine Learning in Risk Management

  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 approach. The machine learning techniques and computer power needed to make them work are, however, quickly catching up, so how long we have is anyone's guess. For now, however, even Ernie is on the same page: that causal strategies (ones you can say 'why' they work) are still superior, more robust, easier to tweak if they should begin to decay. Furthermore, diversification across strategy types is key, merging long and short vol strategies, diversifying between trend and mean reversion. Avoiding over-fitting these strategies is best done by applying the scientific method: create a hypothesis of what should work in the market, then try to invalidate it with a logical analysis of the data. Well, that's nicely validating for my approach, so I'm happy. More detail / notes over at www.thealgorithmicadvantage.com

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• 031 - PJ Sutherland - The Complementary Dynamics of Mean Reversion and Trend-Following Strategies

  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 strategies reveal a profound synergy that not only enhances diversification but also attenuates systemic risks. This discourse delves into the nuances of each strategy and elucidates their integrative potential. www.thealgorithmicadvantage.com

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• 030 - Wayne Himelsein - Logica Capital Advisors

  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 calls "scalping to fund long vol." This process leverages mean-reverting market behaviours to offset the inherent costs of options while maintaining asymmetric risk-reward structures like straddles and strangles. Supported by extensive quantitative analysis and adaptability to varying volatility regimes, Wayne’s strategies exemplify a nuanced blend of art and science in trading. More over at www.thealgorithmicadvantage.com

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• 029 - Jason Buck - Mutiny Funds - Building a Cockroach Portfolio

  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’s version of a diversified, all-weather portfolio therefore combines defensive-minded strategies, such as long volatility and trend, with offensive-minded strategies, such as stocks and bonds. Ensuring survival, and reducing draw-downs through time, provides the best opportunity for long-term capital growth. This show is all about risk management. If you don’t know what ergodicity is, or how you can drown in a river that is 2 feet deep on average, listen in. Loads more, including contact links and a detailed write-up over at www.thealgorithmicadvantage.com

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