The Algorithmic Advantage Episode 041 - Cesar Alvarez - A Novel Way to Combine Trend, Reversion, ETFs, Volatility & More!
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Jun 13, 2025 Cesar Alvarez, a veteran quantitative trader and founder of Alvarez Quant Trading, shares his profound journey from discretionary to systematic trading. He discusses innovative mean reversion strategies and the importance of adaptability in volatile markets. Alvarez reveals his dynamic portfolio management techniques, including tactical ETF strategies and when to retire ineffective trading methods. He also emphasizes using robust testing to avoid overfitting, making this a treasure trove for systematic traders seeking practical insights.
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Cesar's Quant Trading Journey
- Cesar Alvarez started discretionary trading in the late 90s, transitioning to quantitative trading after discovering AmiBroker.
- He spent 10 years learning mean reversion and volatility trading with Larry Connors.
No Stops Often Best
- Research showed that the best stop loss for mean reversion strategies was actually no stop at all.
- This counterintuitive finding challenged traditional stop loss beliefs.
Diverse Quant Portfolio Today
- Cesar’s current portfolio includes mean reversion, breakout, momentum, ETF rotation, bond rotation, and volatility strategies.
- He balances trading dynamic strategies with slower tactical asset allocation focusing on drawdowns for retirement.