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The Art and Science of Algorithmic Futures Trading · Kyle Schultz

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: https://chatwithtraders.com/225 #Futures #Trading #AlgorithmicTrading