Instead of trading carry in isolation, you now rank all futures (Bunds, Gold, Soybeans, Yen) by their "carry-to-volatility ratio." Then you trade a and a short basket of the bottom 6 , rebalanced monthly.
No direct PDF link is provided here as that may lead to copyright issues, readers can try searching on google for the book name along with pdf.
Advanced Futures Trading Strategies - Robert Carver - Perlego
: Covers foundational methods like buy-and-hold with risk scaling and slow trend following.
: Using algorithms to select the optimal set of whole contracts that match an "ideal" diversified virtual portfolio, especially for under-capitalized traders.
In the world of systematic futures trading, few names carry as much weight as . A former head of fixed income and currency research at AHL (Man Group), Carver bridges the gap between institutional-grade quantitative finance and accessible retail trading. His seminal works— Systematic Trading and Leveraged Trading —have become bibles for traders seeking to build robust, automated futures strategies.
