The Algorithmic Advantage 043 - Brent Penfold - Can Pre-Historic Strategies Still Make 30%pa?
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Oct 1, 2025 Brent Penfold, an experienced futures trader and strategy developer with over 40 years in the markets, discusses timeless trading wisdom. He argues that simple, historical strategies can yield consistent returns today. Brent highlights the importance of diversification and disciplined portfolio management across 30 futures markets with diverse models. He shares insights into emotional trading biases, the transition from discretionary to mechanical trading, and the role of trend versus mean reversion strategies, all aimed at building robust, efficient trading systems.
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Make Survival Your First Rule
- Prioritise survival: calculate and target a zero percent risk of ruin before anything else.
- Size trades so your worst-case sequences never wipe your account and keep drawdowns manageable.
Measure Reward Against Drawdowns
- Use drawdown-based metrics, not Sharpe, to measure risk-adjusted reward.
- Maximise return per unit of historical drawdown (Ulcer Performance style) rather than penalising upside.
Calculate Risk Of Ruin Precisely
- Compute risk of ruin from your strategy expectancy and risk-per-trade to understand true bankruptcy chance.
- Reduce position size or increase units of capital until calculated risk of ruin is effectively zero.
