QuantMechanic

[AlgoAdvantage | Simon @algo_advantage]

Most traders start with:

“I have a strategy. Is it robust?”

That’s already too late.

The first question is whether the effect you’re trying to capture actually exists at all.

Build the model first and you become its advocate. Research the phenomenon first and you’re still free to kill the idea.

Part 2 of my Momentum series is out:
https://t.co/084h5dH4gx

[AlgoAdvantage | Simon @algo_advantage]

No leverage. No optimization. John Bollinger’s robustness test is simple: check the neighbouring parameters. If they don’t tell the same story, throw the system out. #Robustness #Trading

[AlgoAdvantage | Simon @algo_advantage]

A trading system you can describe in two lines may be robust. One that needs 150 lines may just be hiding fragility. John Bollinger on simplicity and elegance. #Trading #QuantTrading

[AlgoAdvantage | Simon @algo_advantage]

What does 46 years in markets teach you about building trading systems that actually last?

John Bollinger joins me to discuss simplicity, robustness, volatility, market breadth, position sizing and why traders are paid to accept risk.

We also cover Bollinger Bands inside Keltner Channels, price-pattern confirmation, geometric growth, risk of ruin, the danger of optimisation and why old systems can still be incredibly valuable.

John even reveals a “secret sauce” trading system along the way.

https://t.co/P260cpiaXy

[AlgoAdvantage | Simon @algo_advantage]

Systematic trading & the boring (smart) way to get started. The first of a series. The two quick wins of momentum & mean reversion and the third real win: combining them.
https://t.co/gqU1JxheQJ

[Concretum Research @ConcretumR]

Can short-term trading scale to $5B? Toby Crabel proves it can.

We just listened to an great interview by @algo_advantage with Toby Crabel considered by many one of the pioneers of Opening Range Breakout (ORB) strategies.

Today, Crabel Capital Management manages approximately $5 billion, trading over 300 global markets with systematic techniques spanning from sub-1-hour holding periods (for highly liquid indices) to a couple of days.

This episode is an absolute must-watch for anyone involved in quantitative and short-term trading.

Here are the main takeaways:

1️⃣ Short-Term Trading Scales: Toby is living proof that systematicshort-term trading is not only viable but highly scalable when executed with institutional-grade rigor and discipline.

2️⃣ Surviving Transaction Costs: Short-term alpha doesn't have to be eaten up by slippage. The key lies in continuous execution research and understanding order book dynamics

3️⃣ The Power of the "Ensemble" Approach: Instead of searching for multiple unrelated ideas, Toby advocates for taking a single, robust alpha concept and running multiple parameter variations around it. By combining these slight variations of the same core strategy, traders can naturally smooth out their overall equity curve, spread execution risk to better manage capacity and slippage, and significantly reduce their reliance on any single parameter set.

As a Bonus Section for the Algo Collective community, Toby dives deep into the Wyckoff-based "Effort vs. Result" framework. By comparing relative price range (result) to relative volume (effort), you can spot "laboring" (heavy volume with narrow ranges) versus "ease of movement".

Based on Toby's research, it is a powerful diagnostic tool for timing market reversals and confirming trends.

Highly recommend checking out the full episode!

https://t.co/BwvEnQq2rr

#QuantitativeTrading #SystematicTrading #SystematicMacro #TradingStrategies #Algos #Trading #Wyckoff #TobyCrabel

[QuantMechanic @QuantM3chanic]

@thechartist @GaryStoneSWS The weekend trend trader system has been free for years. The best value for free info came from taking the system and making it my own

[QuantMechanic @QuantM3chanic]

@thechartist Yes, refer to "Tickers" under the help section for reference of data length
https://t.co/QMkVPbu9DN

[QuantMechanic @QuantM3chanic]

@Dan_Trend @EliteOptions2 😆

[AlgoAdvantage | Simon @algo_advantage]

Back to basics - how do institutional quants think differently? Stop wasting time and get the foundations right with a genuine professional @DrTomStarke !

https://t.co/dcZykMqAb9

[QuantMechanic @QuantM3chanic]

@pigeon_chess Why not create more supply instead of controlling existing supply? If done incorrectly it could have the opposite effect

[AlgoAdvantage | Simon @algo_advantage]

Enter a deep dive into @QuantifiablEdgs systematic trading. Not just the interview but the extensive write-up inspired by our chat!
- Strategies Rob Hanna trades
- Trading the VIX safely!
- Recent research
- Rob's philosophy on systematic trading & more!
https://t.co/orZzTWvjP2

[QuantMechanic @QuantM3chanic]

@thechartist @morganhousel Have a listen on Spotify. He has a good podcast

[AlgoAdvantage | Simon @algo_advantage]

For the majority of stock traders trying to follow a systematic approach, this ... one ... thing ... : )

That is, if you want a 10 year CAGR = 22% like @thechartist ; )

Full Show: https://t.co/hIfVE85w0F

[The Chartist @thechartist]

Here's a snippet from my recent chat with @algo_advantage . Link there to the full discussion.

[AlgoAdvantage | Simon @algo_advantage]

🧵 Nick Radge: Trading Lessons Hidden Between the Lines

A wonderful chat on the podcast with @thechartist here: https://t.co/KID8l2LNjR

For serious system traders only. Subtle, but powerful. Don't skim this.

Nick builds structural edges and lets time do the heavy lifting.

What looks simple is often deeply layered.
Here's what you might miss if you don't look at how he trades. 👇

Diversify by strategy archetype, not just asset class.

Radge combines:
* Absolute momentum (trend-following)
* Relative momentum (rotation)
* Mean reversion (short-term swing)
* All Weather Tactical Asset Allocation with ETFs

He's creating anti-correlation in the equity curve at every step, trading US and AUS markets in their own way. This is key, listen in on the pod. There are multiple layers of diversification we discuss.

Avoid the beginner cycle.

Most traders system-hop after 3–6 months of underperformance.
Radge? He’s traded some models for decades. Through multiple flat periods.
That’s not stubbornness. That’s expectation alignment.
You must map out a strategy’s likely cold streak before you fund it.

Psych capital > trade capital.

In 2008, his ASX trend system went to cash.
Clients panicked. “Why are we paying to do nothing?”
Then the market dropped 50%.
His strategy preserved not just capital—but confidence to re-engage in 2009.
That’s a rarely discussed edge: emotional solvency.

System timing is a fool’s errand.

Build systems with purpose to round out your portfolio.
Beware of trying to time a system.
His solution? Strategy stacking.
Not rotation. Simultaneous deployment.
Mean reversion draws down? Trend-following carries the torch.

He doesn’t over optimize.

Build based on the simple mathematics of non-normal distributions.
Markets must trend. (See why in the pod).
The edge isn’t in prediction—it’s in asymmetry.
Winners will overrun.
Losers get cut.
Edge = right tail exposure + small loss certainty.

Low touch, not low effort.

Radge runs longer term models now. Push a button. Done.
But it took 30 years to design it that way.
Simplicity is not “easy.”
It’s compression of complexity by knowing how to ensure robustness & durability.

Final thought:

Nick's success isn’t from flashy models or endless curve fitting.
It’s from consistency, structural robustness, and psychological realism.
It's treating trading as a business, staying focused.
If you're hunting alpha through novelty, you’ll miss him.
But if you're building longevity—you’ll see him as a blueprint.

Let it run for a couple of years and be pleasantly surprised by how much you can out-perform.

Thanks Nick for an excellent chat!

https://t.co/KID8l2LNjR

[QuantMechanic @QuantM3chanic]

@priceinaction Daytrading

[AlgoAdvantage | Simon @algo_advantage]

When I sat down recently with @AlvarezQuant of Alvarez Quant Trading, I knew I'd be tapping into a deep reservoir of quantitative trading wisdom. Cesar’s journey into systematic trading began similarly to many of us—starting with discretionary trades, dabbling in mutual funds, and eventually stumbling into the quant world. From his early days at Connors Research to managing sophisticated portfolios today, as well as building strategies for probably thousands of private clients over the years, Cesar has seen it all. Still, he remains a humble and down-to-earth guy. Here’s what he shared about strategy creation, testing, and portfolio management in ETF and equities markets:

https://t.co/T6n2OKLTf4

[Peter - Cracking Markets @SystematicPeter]

You ask: “How can I back-test a portfolio of intraday strategies—no coding marathons?”
Here’s my 3-step workflow:

1️⃣ FREE minute bars from Alpaca markets —no funded account.
2️⃣ Pre-written Python helper → stamps every entry/exit, exports a clean CSV.
3️⃣ Import into RealTest → event filters + position sizing + additional logic = portfolio stats in minutes.

💬/🔁/❤️ Let’s crack 20 replies and I’ll publish the full tutorial + ready-made script so you can stress-test the Concretum Research model in RealTest (and more).

#QuantTrading #Intraday #RealTest