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