Before adding a futures contract to your system, compare the average bid-ask spread and commissions to the asset's daily volatility. If the costs are too high relative to the expected daily move, the asset should be excluded.
The book covers a range of advanced futures trading strategies, including:
Cross-asset allocation across Equities, Fixed Income, and Commodities. Execution efficiency preserves structural edge. advanced futures trading strategies robert carver pdf
Beyond the Basics: A Critical Analysis of Advanced Futures Trading Strategies in the Works of Robert Carver
: Futures contracts expire. Systematic designs must execute automated rolls—moving from the front month to the next liquid contract—based on open interest rather than expiry date. Before adding a futures contract to your system,
Moving Average Convergence Divergence (MACD): Not just as a crossover tool, but as a measure of trend strength.
: The 640-page book is available in physical and digital formats through Harriman House carry strategies mentioned in the book? Execution efficiency preserves structural edge
While trend following performs exceptionally well during crisis periods and macro shifts, it can suffer prolonged drawdowns during choppy, sideways markets. To smooth the equity curve, Carver introduces counter-trend or relative value strategies.
In his detailed expositions on portfolio construction, Carver introduces the concept of volatility targeting. Unlike a simple strategy that might allocate 10% of capital to each asset, a volatility-targeted strategy allocates based on the recent volatility of the asset. A highly volatile natural gas contract would command a smaller position size than a relatively stable bond future. This standardizes the risk across the portfolio. Carver’s mathematical formulas for the "idiosyncratic risk" of assets versus the "common risk" of the portfolio allow traders to maximize diversification. This is an advanced risk management technique that transforms a trading account from a collection of random bets into a calibrated investment portfolio.
By shifting your focus from predicting the future to managing volatility and costs, you adopt the exact framework used by the world's most successful systematic hedge funds.