The Algorithmic Advantage

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

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 #QuantTradingContents:0:00 Cesar's Journey: Discretionary to Quant Trading3:59 Inside Connors Research: Mean Reversion Insights5:48 Cesar's Current Quant Trading Portfolio8:35 Tactical ETF Strategies & Retirement Focus14:34 Designing Quant Strategies: Goals & Principles17:07 Robustness Testing & Avoiding Overfitting22:49 Knowing When to Retire a Trading Strategy29:53 Amibroker vs RealTest: Tools for Systematic Traders34:03 Cesar’s Featured Quant Trading Strategies37:03 Short Selling & Mean Reversion in Bear Markets41:12 Breakout & Momentum Strategies for Stocks43:53 Navigating Volatility: Trading VIX & SVIX ETFs50:50 Secrets to Effective Mean Reversion TradingWhat could it be?

040 - Pavel Kycek - Generating Insane Returns with Quant Crypto Trading

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. Curious? Dive into the show! #QuantTrading #CryptoTrading #Momentum #MeanReversion #Hedging #AlgorithmicTrading #CryptoStrategies

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

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