In this episode of The Algorithmic Advantage, we are joined by Dave Aspell from Mt Lucas Management LP. Dave brings a wealth of experience in trading and risk management, having started his career at Man Group before moving to Mt...
Financial market prices are determined by the collective actions of traders and investors, not solely by fundamental values. Each participant brings a distinct perspective on price behaviour, leading them to deploy different models, discretionary or systematic, to inform their...
A prevailing assumption in trend following is that highly correlated assets should not be traded together, as they are unlikely to provide diverse opportunities. This assumption overlooks a critical distinction: the difference between price correlations and trade correlations. Examining...
A Trip Down Memory Lane I took a brief respite the other day, following the tumultuous June period for Trend, to recount my trading history and identify any seminal writings that sparked my desire to become a classic trend...
We have just released a must-listen episode with the legendary Perry Kaufman from KaufmanSignals on The Algorithmic Advantage!. Simon and I dive deep into Perry‘s trading wisdom, his famous Kaufman Efficiency Ratio, and the secrets behind his models that...
Massive diversification serves as a crucial tool for Outlier Hunters, not only to provide correlation benefits in chaotic regimes but also to increase the chances of capturing rare market events. It is the frequency of these Outliers in the...
A single correlation coefficient is a summary statistic. Like all summary statistics, it compresses a complex, time-varying relationship into a single number, and in doing so it discards the information that matters most for understanding how that relationship actually...
The dominant framework in traditional economics rests on an assumption so embedded it is rarely examined: that complex systems, left to their own devices, tend toward equilibrium. Disruptions are absorbed, imbalances self-correct, and efficiency drives the system toward a...
Portfolio risk management contains a conservation law that most discussions of diversification fail to acknowledge: risk cannot be eliminated from a portfolio. It can only be transferred within it. The only mechanism for actually releasing risk from a portfolio...
Join me as I discuss with Chris Gosselin, CEO of FundMonitors.com, the world of diversified, systematic trend-following. Dive into this video and discover how East Coast Capital Management masters this powerful strategy. Get an inside look at our process...
