020 - Perry Kaufman - A Wealth of Experience: Trading Diversified Strategies in Futures & Equities
The Algorithmic Advantage7 Juli 2024

020 - Perry Kaufman - A Wealth of Experience: Trading Diversified Strategies in Futures & Equities

In this absolute cracker of an interview, Perry highlighted how increased market participation and technological advancements have influenced the efficacy of trend following strategies. He also provided insights into the shifting dynamics of the market, emphasizing the need for longer calculation periods and more sophisticated risk management practices as the markets mature and become more volatile.

Perry's view on trading many markets versus concentrating on only a few involves weighing the benefits of diversification against the potential for higher returns through focused trading. Rich and I tend to think that there are ways of having your cake and eating it too – whereby there are ways to expand your universe while increasing profits. However, there are significant differences to the approach whether trading futures or equities, and this became a key part of the discussion.

Futures offer market diversification and leverage that is very different to equities. Stocks, on the other hand, consist of an enormous universe, making a ‘relative’ selection (and ranking) more necessary.

Interestingly though, Perry essentially trades the same strategies on both futures and stocks. The absolutely critical part of Perry’s strategies, in both the futures and stocks, is the nature of his ranking process. He effectively rotates candidates in and out of the portfolio based on their recent system performance. Importantly, ranked by their absolute returns only, and not any risk-adjusted method. Tune in for a deep dive on all his models, his portfolio construction & risk management process!

Avsnitt(52)

051 - Samir Varma - Classify Risk Don't Chase Alpha

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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. H...

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048 - Michael Wallace - Dynamic Position Sizing Like You Haven't Seen Before

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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 i...

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047 - Tom Starke - The Basics of Building a Strategy Development Pipeline

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046 - Tom Starke - Institutional Quant Trading Fundamentals

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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 trade...

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045 - Rob Hanna - Trading the VIX in a Diversified Portfolio

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Detailed write-up on all of the concepts discussed here: https://www.algoadvantage.io/podcast/045-rob-hannaRob Hanna has been trading since the mid 90's and has slowly progressed from discretionary sw...

3 Dec 20251h 5min

044 — Nick Radge: Want Big Fish? You'll Need a Bigger Rod

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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...

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