033 - Rob Carver - The Comprehensive Guide to a Diversified Futures Strategy

The A-Z of building a systematic futures portfolio

In this episode, seasoned trader Rob Carver shared his nuanced approach to building and managing a diversified futures portfolio—a methodology that appeals to advanced, technical traders, while we also covered off some of the 'basics' of futures trading, such as rolling, back-adjusting, and so on. I did my best to break down the key elements of his strategy, from market selection to dynamic optimization and continuous trading. A couple of interesting things came up, there's a lot of detail in here, and luckily you can go to his blog and books for all the technical detail.

For the long-term futures trader with a smaller account, this is essential listening. How much diversification across markets and models is enough? How can we capture the benefits of this diversification with a limited account size? Rob has innovative approaches to both market diversification and model diversification to generate a highly capital efficient approach.

More of course over at www.thealgorithmicadvantage.com

For futures data, check out Norgate on our site: https://thealgorithmicadvantage.com/t...

Contents:

0:00 - Introduction to Systematic Trading Strategies
1:32 - Rob Carver's Trading Background and Books
3:21 - Building a Diversified Futures Portfolio
8:34 - Dynamic vs. Static Portfolio Optimization
19:14 - Trading Multiple Markets with Limited Capital
22:10 - The Power of Diversification in Futures Trading
25:04 - Continuous vs. Discrete Trading Systems
33:18 - Divergent and Convergent Trading Strategies
39:02 - Risk Management and Position Sizing
43:40 - Forecasting and Continuous Trading Explained
50:24 - Relative Momentum and Mean Reversion Strategies
56:01 - Impact of Market Events on Trading Performance
57:19 - Advantages of Continuous Trading Systems
59:03 - Balancing Divergent and Convergent Strategies
1:00:09 - Selecting Optimal Futures Markets
1:03:03 - Sector Allocation and Risk Management
1:07:24 - Navigating Global Futures Exchanges
1:12:25 - Handling Low Volatility Instruments
1:15:35 - Back-Adjusted Data and Contract Rolling
1:19:45 - Choosing the Right Futures Contract
1:24:55 - Execution Timing and Liquidity Considerations
1:29:27 - Adaptive Execution Algorithms
1:32:17 - Machine Learning in Trading and Risk Management
1:37:24 - Intraday Data and High-Frequency Strategies
1:39:40 - Conclusion and Resources for Traders