And listen to all the episodes. Take your time, it took me about a year to get through them all.
One of my favorite guests was Gary Antonacci. I read his book Dual Momentum Investing after hearing his episode. I now use his algorithm for a sizable portion of my portfolio.
I believe all of the day-trader focused algorithmic contests like Quantopian are a joke. Don't waste your time. Quick trading strategies are a race to ZERO as quality AI systems will crush all the humans in the long term.
I have found it possible to design profitable long-only strategies that only trade once every 6 months or per year. You may find your own niches. I backtest my algorithms with homegrown ruby code and data from tradier.com (free with an account). I trade the good ones at motifinvesting.com which lets you establish a track record.
Good luck! Please share your twitter handle so I can keep tabs on you. I'm at @baccredited