EP 225: The Art and Science of Algorithmic Futures Trading w/ Kyle Schultz
Kyle's the managing director of Ravinia Investment Management, a registered CTA, operating since April 2019.
With an objective to diversify by market, strategy and timeframe, Kyle has developed multiple algorithmic strategies—for various futures products—that can be categorised into momentum and mean reversion, long and short, intraday and swing.
Through our conversation, Kyle expounds on the art and science of developing and managing automated trading systems, and his unique way of doing things…
00:00 – Intro
01:32 – Traded Products
04:24 – Single-Product Strategies
06:49 – Correlation & Diversification
08:50 – Futures vs. Stocks
10:55 – Idea Generation
19:10 – Price Data
20:28 – Testing & Execution Frameworks
23:37 – Long vs. Short Signals
25:26 – Parameters
26:30 – Segmenting Data & Walk Forward Analysis
30:31 – Backtesting Metrics
34:47 – Portfolio Construction & Volatility
41:47 – Optimisation
45:38 – Live Trading
50:24 – Capital & Returns
57:10 – Tips for Aspiring System Traders
58:33 – Outro
Show notes:
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#Futures #Trading #AlgorithmicTrading
