Advanced Futures Trading Strategies - Part 1

This comprehensive text explores systematic trading strategies for futures contracts, offering in-depth reviews of Robert Carver's books on the subject. It meticulously breaks down trading costs, profit calculations, and risk measurement metrics like standard deviation and Sharpe ratio, applying these to various assets such as S&P 500 micro futures and US 10-year bond futures. The source then progresses through four main trading strategies : a basic buy-and-hold, a fixed risk targeting approach, a variable risk targeting method, and a diversified portfolio strategy utilizing "risk parity" and "All Weather" allocations. Finally, it elaborates on trend-following strategies , including moving average crossovers and exponentially weighted moving averages across different speeds, before introducing a "basic carry" strategy and its combination with trend following for enhanced portfolio performance and diversification benefits