Robert Carver

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About Robert Carver
Robert Carver is an independent systematic futures trader and investor, writer, and research consultant. He is currently a visiting lecturer at Queen Mary, University of London. Robert trades and invests with his own money using the methods you can find in his books.
Until 2013 Robert worked for AHL, a large systematic hedge fund, and part of the Man Group. He was responsible for the creation of AHL's fundamental global macro strategy, and then managed the funds multi billion dollar fixed income portfolio. Prior to that Robert worked as a research manager for CEPR, an economics think tank, and traded exotic derivatives for Barclays investment bank. He spent his early career in the Middle East.
Robert has a Bachelors degree in Economics from the University of Manchester, and a Masters degree, also in Economics, from Birkbeck College, University of London.
His books have been (or will be) translated into Japanese and Chinese; and are used as textbooks for several academic courses on algorithmic and systematic trading.
Rob's website is: www.systematicmoney.org
You can read his blog at qoppac.blogspot.com and follow him on twitter @investingidiocy
Until 2013 Robert worked for AHL, a large systematic hedge fund, and part of the Man Group. He was responsible for the creation of AHL's fundamental global macro strategy, and then managed the funds multi billion dollar fixed income portfolio. Prior to that Robert worked as a research manager for CEPR, an economics think tank, and traded exotic derivatives for Barclays investment bank. He spent his early career in the Middle East.
Robert has a Bachelors degree in Economics from the University of Manchester, and a Masters degree, also in Economics, from Birkbeck College, University of London.
His books have been (or will be) translated into Japanese and Chinese; and are used as textbooks for several academic courses on algorithmic and systematic trading.
Rob's website is: www.systematicmoney.org
You can read his blog at qoppac.blogspot.com and follow him on twitter @investingidiocy
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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 di3 days ago Read more -
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'1 month ago Read more -
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 Fa2 months ago Read more -
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 answer2 months ago Read more
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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 about3 months ago Read more -
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 a4 months ago Read more -
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 involved5 months ago Read more -
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 th6 months ago Read more -
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 previous7 months ago Read more -
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, or9 months ago Read more -
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 ab10 months ago Read more -
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 intern11 months ago Read more -
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 so1 year ago Read more -
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 i1 year ago Read more -
Blog postThis is the second of three posts aimed at answering three fundamental questions in trading:How should we control risk (previous post)How much risk should we take? (this post)How fast should we trade? (next post)These questions are extremely important, IMHO much more important than the question of which funky indicator to use.
I won't be able to discuss all the finer details of position scaling here, as the post would be extremely long. If you find my approach interesting, you may w1 year ago Read more -
Blog postStop losses are the most common method used by traders to control risk. However, they're often used inappropriately. In this post I'll quickly bust some of the myths around them, and explain how to use them properly.
This is the first of three posts aimed at answering three fundamental questions in trading:How should we control risk (this post)How much risk should we take? (next post)How fast should we trade? (final post)If you find my approach interesting, you may want to read some1 year ago Read more -
Blog postThis is part X of my series of blog posts on skew and kurtosis, where 2<X<5. Part X, because it depends on how you number them! If you were to read them in a logical order then the series looks something like this:A post on skew: measuring, and it's impact on future returnsA post on kurtosis: measuring, it's impact on future returns, and it's interaction with skew.A post on trend following and skew (which I actually wrote first, hence the confusion!)This post: on using skew and k1 year ago Read more
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Blog postIn my recent posts on skew and kurtosis I've put together a large number of ideas for possible trading strategies. The next step will be to create and test these ideas out. However I already know from my initial analysis that many of these ideas will probably have poor performance. This leaves me in something of a conundrum. In fact this is just one example of the conundrum that strategy developers face all the time.
Do I ignore these strategies completely, which will result in my h1 year ago Read more -
Blog postIn my last post, I stated my intention to write a series of posts about skew.
Slight change of plan, since one loyal reader suggested that I write about kurtosis. I thought that might be fun, since I haven't thought about kurtosis much, and the literature on kurtosis isn't as well developed. It turns out that considering both together leads to some very interesting results.
The plan is to basically repeat my previous analysis of skew for kurtosis. Then my subsequen1 year ago Read more -
Blog postSome bloke* once said "The most overlooked characteristic of a strategy is the expected skew of it's returns, i.e. how symmetrical they are"
* It was me. "Systematic Trading" page 40
Skew then is an important concept, and one which I find myself thinking about a lot. So I've decided to write a series of posts about skew, of which is the first.
In fact I've already written a substantive post on trend following and skew, so this post is so1 year ago Read more -
Blog postThis month* marks the release of my third book, with the snappy title "Leveraged Trading", and the slightly less snappy subtitle "A professional approach to trading FX, stocks on margin, CFDs, spread bets and futures for all traders".
Photo courtesy of Harriman House. As you can see, the book makes an excellent books-stand for itself
* Official publication date is 29th October. Actually I finished the book in late August, and I've had print copies in2 years ago Read more -
Blog post(Both) regular followers of this blog will have been on tenterhooks for many months now, waiting for my next post. I have been busy! First of all, I've been finishing my third book. More detail on that later, in the next post. I've also had a fair bit of holiday time. But mainly over the summer I've been building my own garden office.
Now a post about constructing a garden office might seem rather off topic in a quant trading/investing blog. But, (i) there has been a fair bit of interest i2 years ago Read more -
Blog postHard to believe, but it has been five and a half years since I had to go to an office to manage other peoples money, and exactly five years since I began systematically trading my own. Time then for another annual review. Perhaps it is confusing for overseas readers, but these reviews follow the UK tax year which runs from 6th April to 5th April, rather than any logical period like a calendar year (or even 1st to April to 31st March would make more sense, frankly).
Previous updates2 years ago Read more -
Blog postQuite a few of my recent blog pieces have been picked up by the lovely folk at allocate smartly. So I thought I'd write an asset allocation piece, as the readers of my second book "Smart Portfolios" probably feel neglected with the lack of articles on investment rather than trading.
Absolute or relative momentum?
The motivation for this comes from a table in my second book, which exposes an interesting problem. Here is the table (actually a slightly modifie2 years ago Read more -
Blog postIn this post I discuss a well known stylised fact of the investment industry: "Trend following is a positively skewed strategy".
Spoiler alert: yes it is (sort of), but it's much more complicated (and interesting!) than you might think.
A quick primer on positive skew
So what actually is positive skew? Essentially it's an asset, or trading strategy, whose returns have the following profile:A high proportion of relatively poor returnsThe losing returns ar2 years ago Read more
Titles By Robert Carver
$33.69
This is not just another book with yet another trading system. This is a complete guide to developing your own systems to help you make and execute trading and investing decisions. It is intended for everyone who wishes to systematise their financial decision making, either completely or to some degree.
Author Robert Carver draws on financial theory, his experience managing systematic hedge fund strategies and his own in-depth research to explain why systematic trading makes sense and demonstrates how it can be done safely and profitably. Every aspect, from creating trading rules to position sizing, is thoroughly explained. The framework described here can be used with all assets, including equities, bonds, forex and commodities.
There is no magic formula that will guarantee success, but cutting out simple mistakes will improve your performance. You'll learn how to avoid common pitfalls such as over-complicating your strategy, being too optimistic about likely returns, taking excessive risks and trading too frequently.
Important features include:
- The theory behind systematic trading: why and when it works, and when it doesn't.
- Simple and effective ways to design effective strategies.
- A complete position management framework which can be adapted for your needs.
- How fully systematic traders can create or adapt trading rules to forecast prices.
- Making discretionary trading decisions within a systematic framework for position management.
- Why traditional long only investors should use systems to ensure proper diversification, and avoid costly and unnecessary portfolio churn.
- Adapting strategies depending on the cost of trading and how much capital is being used.
- Practical examples from UK, US and international markets showing how the framework can be used.
Systematic Trading is detailed, comprehensive and full of practical advice. It provides a unique new approach to system development and a must for anyone considering using systems to make some, or all, of their investment decisions.
Author Robert Carver draws on financial theory, his experience managing systematic hedge fund strategies and his own in-depth research to explain why systematic trading makes sense and demonstrates how it can be done safely and profitably. Every aspect, from creating trading rules to position sizing, is thoroughly explained. The framework described here can be used with all assets, including equities, bonds, forex and commodities.
There is no magic formula that will guarantee success, but cutting out simple mistakes will improve your performance. You'll learn how to avoid common pitfalls such as over-complicating your strategy, being too optimistic about likely returns, taking excessive risks and trading too frequently.
Important features include:
- The theory behind systematic trading: why and when it works, and when it doesn't.
- Simple and effective ways to design effective strategies.
- A complete position management framework which can be adapted for your needs.
- How fully systematic traders can create or adapt trading rules to forecast prices.
- Making discretionary trading decisions within a systematic framework for position management.
- Why traditional long only investors should use systems to ensure proper diversification, and avoid costly and unnecessary portfolio churn.
- Adapting strategies depending on the cost of trading and how much capital is being used.
- Practical examples from UK, US and international markets showing how the framework can be used.
Systematic Trading is detailed, comprehensive and full of practical advice. It provides a unique new approach to system development and a must for anyone considering using systems to make some, or all, of their investment decisions.
Other Formats:
Hardcover
$25.99
With the right broker, and just a few hundred dollars or pounds, anyone can become a leveraged trader. The products and tools needed are accessible to all: FX, a margin account, CFDs, spread-bets and futures.
But this level playing field comes with great risks. Trading with leverage is inherently dangerous. With leverage, losses and costs – the two great killers for traders – are magnified.
This does not mean leverage must be avoided altogether, but it does mean that it needs to be used safely. In Leveraged Trading, Robert Carver shows you how to do exactly that, by using a trading system. A trading system can be employed to tackle those twin dangers of serious losses and high costs.
The trading systems introduced in this book are simple and carefully designed to use the correct amount of leverage and trade at a suitable frequency. Robert shows how to trade a simple Starter System on its own, on a single instrument and with a single rule for opening positions.
He then moves on to show how the Starter System can be adapted, as you gain experience and confidence. The system can be diversified into multiple instruments and new trading rules can be added. For those who wish to go further still, advice on making more complex improvements is included: how to develop your own trading systems, and how to combine a system with your own human judgement, using an approach Robert calls Semi-Automatic Trading.
For those trading with leverage, looking for a way to take a controlled approach and manage risk, a properly designed trading system is the answer. Pick up Leveraged Trading and learn how.
But this level playing field comes with great risks. Trading with leverage is inherently dangerous. With leverage, losses and costs – the two great killers for traders – are magnified.
This does not mean leverage must be avoided altogether, but it does mean that it needs to be used safely. In Leveraged Trading, Robert Carver shows you how to do exactly that, by using a trading system. A trading system can be employed to tackle those twin dangers of serious losses and high costs.
The trading systems introduced in this book are simple and carefully designed to use the correct amount of leverage and trade at a suitable frequency. Robert shows how to trade a simple Starter System on its own, on a single instrument and with a single rule for opening positions.
He then moves on to show how the Starter System can be adapted, as you gain experience and confidence. The system can be diversified into multiple instruments and new trading rules can be added. For those who wish to go further still, advice on making more complex improvements is included: how to develop your own trading systems, and how to combine a system with your own human judgement, using an approach Robert calls Semi-Automatic Trading.
For those trading with leverage, looking for a way to take a controlled approach and manage risk, a properly designed trading system is the answer. Pick up Leveraged Trading and learn how.
Other Formats:
Hardcover
Smart Portfolios: A practical guide to building and maintaining intelligent investment portfolios
Sep 18, 2017
$35.14
Smart Portfolios is about building and maintaining smart investment portfolios. At its heart are the three key questions every investor needs to answer: 1. What to invest in. 2. How much to invest. 3. When to make changes to a portfolio. Author Robert Carver addresses these three areas by providing a single integrated approach to portfolio management. He shows how to follow a step-by-step process to build a multi-asset investment portfolio, and how to rebalance the portfolio efficiently. He covers both investment in collective funds like ETFs, and also direct investment in individual equities. Important features include: -- Why forecasting future returns is so difficult, and how to account for uncertainty when making investment decisions. -- How to accurately calculate the true costs of an investment, including costs that you may not even be aware of. -- How to select the best ETF for each asset class. -- How to compare the costs and other features of different ETFs. -- How to select individual shares. -- Calculating the number of shares needed for adequate diversification. -- How to use systematic forecasting algorithms to adjust portfolio allocations. -- How to cut trading costs through smart rebalancing strategies and execution tactics. Robert Carver also explains how to blend assets with different levels of risk, and how to construct portfolios that suit the level of risk that the investor can cope with. Smart Portfolios is detailed, comprehensive, and full of practical methods, rules of thumb and techniques, all fully explained with examples. It is intended for professional investors worldwide, including financial advisors, private bankers, wealth managers and institutional funds; as well as experienced private investors.
Other Formats:
Hardcover
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