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About Robert Carver
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Blog postI realise that I've never actually sat down and described my fully automated futures trading system in all it's detail; despite having runit for around 7.5 years now. That isn't because I want to keep it a secret - far from it! I've blogged or written books about all the various components of the system. Since I've made a fair few changes to my over the last year or so, it would seem to make sense to set down what the system looks like as of today.
You'll find reading this p -
Blog postMy last blog post was about a new method for a daily dynamic optimisation of portfolios with limited capital, to allow them to trade large numbers of instruments.
(Although I normally write my blog posts to be self contained, you'll definitely have to read the previous one for this to make any sense!)
Subsequent to writing that post I implemented the method, and quickly ran into some problems. Basically the dammn thing was trading too much. Fortunately there is a single pa -
Blog postThis is the sixth (!) post in a (loosely defined) series about finding the best way to trade futures with a relatively small account size.
This first (old) post, which wasn't conciously part of a series, uses an 'ugly hack': a non linear rescaling of forecasts such that we only take positions for relatively large forecast size. This is the method I was using for many years.These two posts (first and second) discuss an idea for dynamic optmisation of positions. Which doesn't work.This -
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Blog postThis will be a bit different from my normal posts. It's basically some personal reflections on the LIBOR fixing scandal, prompted by having just read this book written by Stelios Contogoulas:
This post isn't really a book review, although I will say that the book is definitely worth buying. Most of you have probably already read the excellent Spider Network. That is arguably better written than Stelios' book (as it's written by a professional jo -
Blog postThis post is something that I've banged on about in many presentations at several conferences* (most complete slides are here), and in various interviews, but never actually formally described in a blog post. In fact this post has existed in draft form since 2015 (!).
* you know, when you leave your house and listen to someone else speaking. Something that in late 2021 is a distant memory, although I will actually be speaking at an event later this year.
So there won't be new informa -
Blog postOver the last few posts I've been grappling with the difficulties of trading futures with a retail sized account. I've tried a couple of things so far - a complex dynamic optimisation (here and here) where I try and optimise the portfolio every day in the knowledge that I can only take integer positions, and then a simpler static approach where I try to pick the best fixed set of instruments to trade given my account size - and then trade them.
In this post I return to a dynamic -
Blog postIn a couple of recent posts (here and here) I explored the idea of using dynamic optimisation to deal with the following problem: diversification across markets is good, but requires more capital.
That didn't work out so well!
I can also appreciate that this is *way* beyond most peoples idea of a simple trend following system. And it flies in the face of much I've said in terms of keeping things as simple as possible. Many people would prefer to trade a fixed subset of mar -
Blog postThis is part two in a series of posts about using optimisation to get the best possible portfolio given a relatively small amount of capital.
Part one is here (where I discussed the idea of using dynamic optimisation to handle this problem). You should read that now, if you haven't already done so.In this post I show you and explain the code and methodology used for the backtesting of this idea, and look at the results.In the next post I look at a way to find the best static subs -
Blog postThis is part one of a series of posts about using optimisation to get the best possible portfolio given a relatively small amount of capital.
In this short post I present the idea, and discuss some issues that I need to resolve. It's a bit of a stream of conciousness! It's less of a blog post, and more my random jottings on the subject converted from scribbles to electronic prose. It's a precursor to further posts where I will start designing and testing the method.
I am sor -
Blog postI've long been a critic of the sort of people who think that one should run a different trading system for each instrument that you trade. It is the sort of thing that makes intuitive sense; surely the S&P 500 is a completely different animal to the Corn future? And that's probably true for high frequency traders, but not at the sort of timescales that I tend to trade over (holding periods of a couple of weeks up to a couple of months). There I'm using rules that I expect to work over pre
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Blog postFor the last seven years since I started trading my own account I've pretty much kept the same set of futures markets: around 40 or so, with very occasional changes. The number is limited, as to trade more markets I'd need more capital. The set of markets I have is a compromise between getting a diversified portfolio, avoiding low volatility, not paying too much in trading costs, not incurring excessive data fees, and being able to trade without running into problems with the minimum size req
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Blog postIt's April, which means the birds are singing, the trees are leafing, and I'm doing my annual review of my investing and trading performance.
The format will be familiar from previous years, but I'm going to be using the fact I've upgraded my live trading system to include a lot more detail about my futures trading performance.
TLDR: Last year my futures trading bailed me out during a market meltdown in which my long only portfolio underperformed a market that di -
Blog postA few days ago I was browsing on the elitetrader.com forum site when someone posted this:
I am interested to know if anyone change their SMA/EMA/WMA/KAMA/LRMA/etc. when volatility changes? Let say ATR is rising, would you increase/decrease the MA period to make it more/less sensitive? And the bigger question would be, is there a relationship between volatility and moving average?
Interesing I thought, and I added it to my very long list of things to think about (In fact I' -
Blog postWhen I was a spotty teenager I was a walking nerd cliche. I liked computers; both for programming and games. I was terrified of girls. I was rubbish at nearly all sports*. And I played D&D (and Tunnels and Trolls, and Runequest).
* Nearly all: Not, I'm not talking about the 'sport' of Chess: I was also rubbish at Chess and still am. But due to some weird anomaly I was a dinghy sailing champion at school, and later world champion.
I also remember reading the Fighting Fa -
Blog postOne of the upsides of having a (very, very minor) public profile is that you get a lot of people asking you for advice, which is flattering (and if you say otherwise, you need to consider just how first world that particular 'problem' is). The only downside of this is you get asked the same sort of question a number of different times. At some point it becomes worth writing a blog article about the subject, which saves time, but also means the person asking will get a much better answer
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Blog postRisk. Love it or hate it, well as a trader you have to deal with it even though none of us really like it. No, we'd all prefer to be one of those mythical traders you hear about on youtube or instagram who consistently make $1000 a day, and never lose any money. Sadly I am not in that unicorn like category, and as only real people read this blog neither are you unless you are one of the HFT fund managers who read this blog purely for comic relief.
("Dimitri! This guy is excited about -
Blog postAs most of you know I have a regular(ish) gig talking on the Top Traders Unplugged systematic investor podcast, every month or so with Niels Kaastrup-Larsen and Moritz Seibert.
Anyway on the most recent episode we got chatting about whether open or closed equity should matter when trading a position. More broadly, should your history of trading a position affect how you trade it now, or is it only what's happened in the market that matters?
Moritz and I had a bit of a -
Blog postRemember the handcrafting method, which I described in this series of posts?
Motivating portfolio construction
Methodology
Implementing
Testing
Adjusting portfolio weights for Sharpe Ratios
All very nice, all very theoretically grounded, except for one thing: the 'candidate matrices'. Remember, what we do is group our portfolio into subportfolios of 2 or 3 assets, and find some initial risk weights (following which there is some funny business involved -
Blog postThis is a blog post which has been coming for a while. It relates to a lot of themes I've discussed before, and a recurring conversation I've had with a few people.
As most regular readers will know, I run my trading strategy to hit a particular risk target. That risk target is expressed as an annual standard deviation of percentage returns, and happens to be 25%. But those details aren't that important here. What is important is that it is a long run average risk target. Over th -
Blog postThis is a blog post about forecasting vol. This is important, since as sensible traders we make forecasts about risk adjusted returns (as in my previous post), which are joint forecasts of return and volatility. We also use forecasted vol to size positions. A better vol forecast should mean we end up with a trading strategy that has a nicer return profile, and who knows maybe make some more money.
Mean reverting vol, and it's effect on forecast accuracy In my previous -
Blog postThis is a post about forecasts in trading systems. A forecast is a calibrated expectation for future risk adjusted returns. In more layman like terms, it is a measure of how confident we are about a bullish (positive forecast) or bearish (negative forecast).
Perhaps it is easiest to think about forecasts if we compare them to what is not: a forecast is non binary. A binary trading system will decide whether to go long, or short, but it does not get more granular than that. It will buy, or -
Blog postI set myself last year a goal of doing one blog post a month. I have an idea for an interesting series of posts related to forecast strength, which I'd hoped to find time to research and post about. However, I've been quite busy marking exams and pushing through the production trading code for pysystemtrade (it's now at the point where I can trade manually; auto trading is next. Expect a lot of posts once it's finished explaining how to use it for live trading).
So instead here's a post ab -
Blog post"How does your risk management work?"
... is a question I'm frequently asked.
In fact this is actually a difficult question, if you were to look at my open source python backtesting project pysystemtrade, you would struggle to point at a piece of code and say "Behold! Right there, that's the risk management part alright!". The reason is that the risk management in my trading system is endogenous (from the greek, meaning 'word used to mean intern -
Blog postTime for the annual review post, as my reviews follow the UK tax year which ended on the 5th April. And what a year it has been; well 10 months or so of fairly normal stuff, followed by several weeks of stomach churning market chaos.
Previous updates can be found here, here, here, here and here.
This post will follow the format of previous posts, but there will be some extra stuff related to the more recent market action in which I'll talk in so -
Blog postThis is the final post in a series aimed at answering three fundamental questions in trading:
How should we control risk (first post)How much risk should we take? (previous post)How fast should we trade? (this post)Understanding these questions will allow you to avoid the two main mistakes made when trading: taking on too much risk and trading too frequently. Incidentally, systematic traders can add another list to that sin: overfitting. But that is a topic too large to be covered i
Titles By Robert Carver
Smart Portfolios: A practical guide to building and maintaining intelligent investment portfolios
Sep 18, 2017
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