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Advanced Futures Trading Strategies
Over thirty trading strategies specifically designed for trading futures from experienced and successful professional trader Robert Carver.
- GenresFinance
638 pages, Hardcover
Published April 18, 2023
64 people are currently reading
210 people want to read
About the author
Robert Carver
4 books86 followersRobert Carver is an independent systematic futures trader and investor, writer, and research consultant. He is the author of “Systematic Trading: A unique new method for designing trading and investing systems" (Harriman House, 2015), and "Smart Portfolios: A practical guide to building and maintaining intelligent investment portfolios" (Harriman House, September 2017).
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.
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.
Robert trades and invests with his own money using the methods you can find in his books.
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Displaying 1 - 8 of 8 reviews
April 14, 2024
On the surface, AFTS is an easy book to be sceptical about – indeed, one should be sceptical about any book or course that offers “fully tested trading strategies”. But Carver’s experiences as a quant at AHL (a large hedge fund) and his many years of independent trading, not to mention a highly informative blog, were sufficient persuasion to read the book. I’m glad I did.
AFTS is unique amongst quant books in that it describes a complete end-to-end system that I believe would give you a 0.5 Sharpe if you run it live. Carver describes how he combines various trend and carry strategies to trade a portfolio of futures, while being clear-headed about the dangers of backtesting, and generally just demonstrating a lot of wisdom.
Separately, the book is excellent from a pedagogical perspective. The subtitle of the book says “30 fully tested strategies”, which might lead you to believe that you are going to get 30 disjoint chapters. Instead, each of the strategies illustrates important concepts which are necessary to understand the full trading system. For example, the first strategy is “buy and hold a single futures contract”, which might sound dumb, but it explains necessary subtleties of futures trading like contract rolling and price back-adjustment, without which there is no hope of doing anything fancier. Carver subsequently builds up to risk targeting, then uses trend following to illustrate continuous trading, before introducing other trading rules like carry.
Overall, it’s a great book for people new to the industry or retail algo traders, as it introduces many concepts that are bread and butter in institutional trading but almost completely unknown outside of quant circles, for instance, continuous trading instead of discrete entry/exit criteria. Even for professionals, Carver provides a good review of standard tricks of the trade, intuition forged from many years of practical experience, and general inspiration – it is always useful to see how serious people in the business run their systems, even if one doesn’t agree with all their design decisions.
AFTS is unique amongst quant books in that it describes a complete end-to-end system that I believe would give you a 0.5 Sharpe if you run it live. Carver describes how he combines various trend and carry strategies to trade a portfolio of futures, while being clear-headed about the dangers of backtesting, and generally just demonstrating a lot of wisdom.
Separately, the book is excellent from a pedagogical perspective. The subtitle of the book says “30 fully tested strategies”, which might lead you to believe that you are going to get 30 disjoint chapters. Instead, each of the strategies illustrates important concepts which are necessary to understand the full trading system. For example, the first strategy is “buy and hold a single futures contract”, which might sound dumb, but it explains necessary subtleties of futures trading like contract rolling and price back-adjustment, without which there is no hope of doing anything fancier. Carver subsequently builds up to risk targeting, then uses trend following to illustrate continuous trading, before introducing other trading rules like carry.
Overall, it’s a great book for people new to the industry or retail algo traders, as it introduces many concepts that are bread and butter in institutional trading but almost completely unknown outside of quant circles, for instance, continuous trading instead of discrete entry/exit criteria. Even for professionals, Carver provides a good review of standard tricks of the trade, intuition forged from many years of practical experience, and general inspiration – it is always useful to see how serious people in the business run their systems, even if one doesn’t agree with all their design decisions.
October 30, 2023
As always, what follows is my review of the book, based on its value to me, based on my understanding of what is written in it.
This book is thick and full of formulae and graphs. It is written by an author with a serious background in (futures) trading. So I decided to read it. I read the first couple of strategies with serious attention, then skimmed pretty much the rest of them because I have no confidence in the basic premise, that you can call trends by analyzing past price data. Also not when you are really clever and made a ton of money at some investment firm and did your best writing a well-executed book about it.
A dialogue popped up in my imagination and I typed it out (no AI -assisted reviews on my watch, thank you very much!).
“Hey I have an idea for an investment book!
“Oh yeah? Tell me about it.”
“I’m going to write a book about trading strategies in futures. I will present, oh, 30 different strategies – one more sophisticated than the next.”
“This is not one of those books about those “technical analysis” type strategies that will tell you when to buy and sell futures using chart analysis, technical indicators, and whatnot?”
“No, God no, nothing as unscientific as that. This is a book of continuous trading strategies, you know, you decide to “switch them on” and then keep riding them.”
“Like buy-and-hold?”
“No, not precisely, the strategies adjust themselves based on market conditions, so after you switch them on, you have to buy or sell additional positions as dictated by the calculations. None of these fuzzy chartist shapes like, you know, head-and-shoulders, camel-hump doubles, whale tail rising and God knows what else those chartist chaps name their mirages – but outcomes from honest-to-God calculations using past price information.”
“They’re call flukes.”
“What?”
“Whale tails.”
“Oh, ha ha, just like the results of these chartists then.”
“So how do you set about finding these strategies?”
“Ok, so I take as my example data set the S&P500 Index futures. Very popular with the speculative crowd these days. Reddit is full of them. I use the last 50 years of daily prices to 'back test' my strategies and showcase their value.”
“But are outcomes achieved on S&P500 futures representative of the commodity futures like crude oil or cotton? I mean, they are pretty different things. And there’s gold en silver.”
“Oh sure, and exchange rate and a whole bunch more. I have like a hundred instruments in my dataset. I mention them in the beginning of the book, and kinda show they are similar enough to be able to apply my 30 strategies on. And of course I trot them out here and there when they illustrate a particular strategy very well. Some of the more advanced strategies involve spreading, so then naturally I use multiple futures. As the strategies get more complex, I give fewer examples. After all, we must be careful to not be “over-fitting”, i.e., picking those spreads that contain the correlations that we are looking for.”
“Naturally. So how does it work then?”
“Well, in simple terms… Consider the last 50 years of the S&P500 Index. The index stood around 100 in 1980, and stands now at about 4,500. So my first strategy is actually simply “buy-and-hold” one future of the S&P500 from the get-go until today.”
“Yeah I can see that can be profitable. But fifty years of holding? Isn’t that a bit, you know, unrealistic for investors? My long-term investment horizon is like twenty, thirty years tops, anything beyond 30 years is for my grandkids to worry about. And don’t tell me I could’ve started investing in my twenties to bask in my wealth in my seventies. I didn’t take on a load of student debt because I was “awash in cash” at the time. So no way I could’ve invested in those futures. You need like $100k to even start thinking about messing with them.”
“I recommend a minimum of 4 capital contracts and some sensible risk assumptions. All in all, you’d need about $72k to safely invest in today’s S&P500 micro-futures. With less you can’t really apply my strategies. With the S&P500 at 100 like it was in 1980, you could’ve started with $2k or so. In any case, I assume in my back testing that you have $100k at the start.”
“Imagine being in your twenties in the 1980s with $100k cash in the bank. I’d be like Bruce Wayne, absconding with the entire Russian ballet for a weekend. $100k in 1980 is like, what, $374k in today’s money isn’t it? What are the profits like?”
“Well, ignoring capital gains taxes and interest on excess returns, if you started with $100k in 1980, you’d be looking North of $200k profits.”
“So basically you are saying that this futures strategy turns $100k in 1980s dollars into $300k in 2023 dollars?”
“Yes, ignoring tax, trading costs, and the interest we could’ve made on our excess returns. Some of these interest rates were really high you know.”
“Sure, but so was inflation and risk-free interest rates usually barely keep up with inflation. Didn’t we just say that the purchasing power of $100k in 1980s dollars would be $374k in today’s dollars? Seems to me your trading strategy has just lost us about, uh, $20k in 1980s dollars so a -20% lifetime result. And that’s not even considering tax, trading fees, and rolling gaps. Anyway, let’s look at it differently, imagine that instead of your futures I would have bought a precursor of the S&P500 Index ETF in 1980, you know, a basket of stocks that equals the index. Then my $100,000 1980s dollars would have turned into $4,500,000 dollars today. That’s a ’45-bagger’, the stuff of legends. Sure I’d have to pay 0.2% in fees per year but I bet that’s a helluva lot less than you pay for rolling those futures the whole time. Also, since I never sell my ETF position, I pay no capital gains tax at all. So tell me why I should go for buying & holding futures on the S&P500 again?”
The author’s remaining strategies are increasingly elaborate trade strategies meant to change the portfolio stance depending on market conditions – in plain English, by reducing the amount invested during downtrends and increasing it during uptrends and diversification. The trends are called based on statistical analysis of past prices and a number of “experience-based number and ratios” (source: trust me bro).
Also, despite the S&P500 being introduced in 1957, Author uses only historical data from 1980 onwards. I wondered why, so I did some of my own sums based on the Author's method. Is it because the period 1957-1980 was essentially a sideways movement which wouldn’t be helpful to illustrate the strategies? And why not considering the S&P500 data from 2000 onwards? Is it because of 10 years of miserable returns for strategy 1 that started off that period? If being selective about your starting point impacts the outcome of the strategies so much, who are we to say where we stand today? Is today a good moment to lock in a $100k investment (in futures)? Are we at the bottom of a development that will take the S&P to 200,000 points in the next 50 years? Or are we looking at 30 years sideways again? The point is, none of us know, and none of us has the means to know.
It is common knowledge that active money managers cannot consistently outperform the index. Just type this phrase into your search engine and you’ll be awash in articles illustrating this in great detail. And why is that? Because nobody, literally nobody, in all time and space, has been able to consistently call a trend, not with red pencil lines on charts, not with statistics on past prices, not by analysis of world news, nor actual company research, not with semi-sciency b.s. such as fractal dynamics or quantum mechanics, and not with magic and superstition, including offerings to Bastet – the indifferent one. And don't come with Warren Buffet - he made a number of wonderful investments to be sure, but for most of his admirable career he's been the boss of a burgeoning conglomerate, for which very different dynamics hold.
One more thing, author here recommends to trade futures without using stoploss downside protection, because (quote) “The way I trade is common amongst quantitative hedge funds, but almost unknown for retail traders.” And (quote) “Instead I continuously calculate an optimal position […]. That’s the position I would like to have on right now. […] Then I look and see what position I actually have on. If the two are different, then I trade so that my optimal and actual positions are equal. This means I don’t have discrete ‘trades’, in the sense of positions that were opened and then closed.” I mean, really, get over yourself Mr. Smug – your strategies trade discrete positions constantly based on “technical indicators and arguments”.
Reader, if you take away only one thing from lengthy essay: “As a beginner, never trade futures without the relative protection of a stoploss. Personal bankruptcy is only a blip away.” Also: “nobody knows the future (and that makes life so interesting)”.
This book is thick and full of formulae and graphs. It is written by an author with a serious background in (futures) trading. So I decided to read it. I read the first couple of strategies with serious attention, then skimmed pretty much the rest of them because I have no confidence in the basic premise, that you can call trends by analyzing past price data. Also not when you are really clever and made a ton of money at some investment firm and did your best writing a well-executed book about it.
A dialogue popped up in my imagination and I typed it out (no AI -assisted reviews on my watch, thank you very much!).
“Hey I have an idea for an investment book!
“Oh yeah? Tell me about it.”
“I’m going to write a book about trading strategies in futures. I will present, oh, 30 different strategies – one more sophisticated than the next.”
“This is not one of those books about those “technical analysis” type strategies that will tell you when to buy and sell futures using chart analysis, technical indicators, and whatnot?”
“No, God no, nothing as unscientific as that. This is a book of continuous trading strategies, you know, you decide to “switch them on” and then keep riding them.”
“Like buy-and-hold?”
“No, not precisely, the strategies adjust themselves based on market conditions, so after you switch them on, you have to buy or sell additional positions as dictated by the calculations. None of these fuzzy chartist shapes like, you know, head-and-shoulders, camel-hump doubles, whale tail rising and God knows what else those chartist chaps name their mirages – but outcomes from honest-to-God calculations using past price information.”
“They’re call flukes.”
“What?”
“Whale tails.”
“Oh, ha ha, just like the results of these chartists then.”
“So how do you set about finding these strategies?”
“Ok, so I take as my example data set the S&P500 Index futures. Very popular with the speculative crowd these days. Reddit is full of them. I use the last 50 years of daily prices to 'back test' my strategies and showcase their value.”
“But are outcomes achieved on S&P500 futures representative of the commodity futures like crude oil or cotton? I mean, they are pretty different things. And there’s gold en silver.”
“Oh sure, and exchange rate and a whole bunch more. I have like a hundred instruments in my dataset. I mention them in the beginning of the book, and kinda show they are similar enough to be able to apply my 30 strategies on. And of course I trot them out here and there when they illustrate a particular strategy very well. Some of the more advanced strategies involve spreading, so then naturally I use multiple futures. As the strategies get more complex, I give fewer examples. After all, we must be careful to not be “over-fitting”, i.e., picking those spreads that contain the correlations that we are looking for.”
“Naturally. So how does it work then?”
“Well, in simple terms… Consider the last 50 years of the S&P500 Index. The index stood around 100 in 1980, and stands now at about 4,500. So my first strategy is actually simply “buy-and-hold” one future of the S&P500 from the get-go until today.”
“Yeah I can see that can be profitable. But fifty years of holding? Isn’t that a bit, you know, unrealistic for investors? My long-term investment horizon is like twenty, thirty years tops, anything beyond 30 years is for my grandkids to worry about. And don’t tell me I could’ve started investing in my twenties to bask in my wealth in my seventies. I didn’t take on a load of student debt because I was “awash in cash” at the time. So no way I could’ve invested in those futures. You need like $100k to even start thinking about messing with them.”
“I recommend a minimum of 4 capital contracts and some sensible risk assumptions. All in all, you’d need about $72k to safely invest in today’s S&P500 micro-futures. With less you can’t really apply my strategies. With the S&P500 at 100 like it was in 1980, you could’ve started with $2k or so. In any case, I assume in my back testing that you have $100k at the start.”
“Imagine being in your twenties in the 1980s with $100k cash in the bank. I’d be like Bruce Wayne, absconding with the entire Russian ballet for a weekend. $100k in 1980 is like, what, $374k in today’s money isn’t it? What are the profits like?”
“Well, ignoring capital gains taxes and interest on excess returns, if you started with $100k in 1980, you’d be looking North of $200k profits.”
“So basically you are saying that this futures strategy turns $100k in 1980s dollars into $300k in 2023 dollars?”
“Yes, ignoring tax, trading costs, and the interest we could’ve made on our excess returns. Some of these interest rates were really high you know.”
“Sure, but so was inflation and risk-free interest rates usually barely keep up with inflation. Didn’t we just say that the purchasing power of $100k in 1980s dollars would be $374k in today’s dollars? Seems to me your trading strategy has just lost us about, uh, $20k in 1980s dollars so a -20% lifetime result. And that’s not even considering tax, trading fees, and rolling gaps. Anyway, let’s look at it differently, imagine that instead of your futures I would have bought a precursor of the S&P500 Index ETF in 1980, you know, a basket of stocks that equals the index. Then my $100,000 1980s dollars would have turned into $4,500,000 dollars today. That’s a ’45-bagger’, the stuff of legends. Sure I’d have to pay 0.2% in fees per year but I bet that’s a helluva lot less than you pay for rolling those futures the whole time. Also, since I never sell my ETF position, I pay no capital gains tax at all. So tell me why I should go for buying & holding futures on the S&P500 again?”
The author’s remaining strategies are increasingly elaborate trade strategies meant to change the portfolio stance depending on market conditions – in plain English, by reducing the amount invested during downtrends and increasing it during uptrends and diversification. The trends are called based on statistical analysis of past prices and a number of “experience-based number and ratios” (source: trust me bro).
Also, despite the S&P500 being introduced in 1957, Author uses only historical data from 1980 onwards. I wondered why, so I did some of my own sums based on the Author's method. Is it because the period 1957-1980 was essentially a sideways movement which wouldn’t be helpful to illustrate the strategies? And why not considering the S&P500 data from 2000 onwards? Is it because of 10 years of miserable returns for strategy 1 that started off that period? If being selective about your starting point impacts the outcome of the strategies so much, who are we to say where we stand today? Is today a good moment to lock in a $100k investment (in futures)? Are we at the bottom of a development that will take the S&P to 200,000 points in the next 50 years? Or are we looking at 30 years sideways again? The point is, none of us know, and none of us has the means to know.
It is common knowledge that active money managers cannot consistently outperform the index. Just type this phrase into your search engine and you’ll be awash in articles illustrating this in great detail. And why is that? Because nobody, literally nobody, in all time and space, has been able to consistently call a trend, not with red pencil lines on charts, not with statistics on past prices, not by analysis of world news, nor actual company research, not with semi-sciency b.s. such as fractal dynamics or quantum mechanics, and not with magic and superstition, including offerings to Bastet – the indifferent one. And don't come with Warren Buffet - he made a number of wonderful investments to be sure, but for most of his admirable career he's been the boss of a burgeoning conglomerate, for which very different dynamics hold.
One more thing, author here recommends to trade futures without using stoploss downside protection, because (quote) “The way I trade is common amongst quantitative hedge funds, but almost unknown for retail traders.” And (quote) “Instead I continuously calculate an optimal position […]. That’s the position I would like to have on right now. […] Then I look and see what position I actually have on. If the two are different, then I trade so that my optimal and actual positions are equal. This means I don’t have discrete ‘trades’, in the sense of positions that were opened and then closed.” I mean, really, get over yourself Mr. Smug – your strategies trade discrete positions constantly based on “technical indicators and arguments”.
Reader, if you take away only one thing from lengthy essay: “As a beginner, never trade futures without the relative protection of a stoploss. Personal bankruptcy is only a blip away.” Also: “nobody knows the future (and that makes life so interesting)”.
May 26, 2023
The book contains a mountain of tables but the details for most are unclear for example in terms of which instruments were used for the backtest summaries, backtest periods are specified in some places but not in others etc for example page 40 shows micro futures table stating a backtest last 41 years but micro futures have not been around for this time. It’s just a shame because clearly a lot of work has been put into it. You kind of assume when in one table you compare different asset performance that we compare apples to apples but you basically have to trust the author and without knowing over what period the comparison is made makes the whole table meaningless. Eg page 73 . Also I don’t know why maximum drawdowns are not shown
January 9, 2025
I see a few low star reviews for this book so i have to jump in. This book is not for people who want an easy recipe book, it is a serious inside technique book that we do in quant firms: position sizing based on forecasts.
The author starts with Buy-and-hold to introduce basic terminologies, many chapters are trivial for me but for a beginner this is a great way to lead the way. The forecast combining is very good (very basic but good), you will learn about trend, carry, breakout... but only the very simple ones, you need to work on your own to make your strategy viable. You will know how to do it, it's straight forward using the techniques in the book.
The author uses the power of diversification to increase the Sharpe ratio (and risk targeting to some extend to improve SR), it's great for big boys but retail traders dont usually have that much capital, you need to improve your trading rules WITHOUT overfit. Dont use the rules in the book as-is for real trading (unless you test with your own parms first).
For people who have doubts about the data and charts/tables you can use the code that the author provides (if you read it carefully you will see where he "hide" the code), he gives all the python code so you can do the test or modify to fit your needs. It's a great book for anyone who are serious about trading "the right way", it is the right way because we (quants) do it everyday.
Don't read this as a story book, read each chapter, test the code, improve the code, test your own data, test your own ideas, check the result, compare with the book, do all that before moving on to the next chapter. You will learn a lot from this, a lot!
The author starts with Buy-and-hold to introduce basic terminologies, many chapters are trivial for me but for a beginner this is a great way to lead the way. The forecast combining is very good (very basic but good), you will learn about trend, carry, breakout... but only the very simple ones, you need to work on your own to make your strategy viable. You will know how to do it, it's straight forward using the techniques in the book.
The author uses the power of diversification to increase the Sharpe ratio (and risk targeting to some extend to improve SR), it's great for big boys but retail traders dont usually have that much capital, you need to improve your trading rules WITHOUT overfit. Dont use the rules in the book as-is for real trading (unless you test with your own parms first).
For people who have doubts about the data and charts/tables you can use the code that the author provides (if you read it carefully you will see where he "hide" the code), he gives all the python code so you can do the test or modify to fit your needs. It's a great book for anyone who are serious about trading "the right way", it is the right way because we (quants) do it everyday.
Don't read this as a story book, read each chapter, test the code, improve the code, test your own data, test your own ideas, check the result, compare with the book, do all that before moving on to the next chapter. You will learn a lot from this, a lot!
March 17, 2025
A good and practical introduction to systematic futures trading.
September 28, 2025
Nice book taking you from the base to the top level of thinking as trader .. excellent job
February 18, 2025
Seems to be based on fundamental AQR research. Really boils down to about 5 strategies. The other 25 are iterated on to get to a final strategy.
My main takeaway from this is Variable Risk Position Sizing (Leveraged Risk Parity). This is the only strategy in the book that has convincing math to back it up to make it a long term investment. The rest of them are based on mostly speculation. Interesting to read about, but not convincing enough to commit serious capital to.
My main takeaway from this is Variable Risk Position Sizing (Leveraged Risk Parity). This is the only strategy in the book that has convincing math to back it up to make it a long term investment. The rest of them are based on mostly speculation. Interesting to read about, but not convincing enough to commit serious capital to.
February 2, 2025
A comprehensive guide to strategies that people often say “work”. The sceptical approach of the author discards many of these strategies and lends credibility to the backtests and results by included lots of poor performing strategies for evaluation.
Displaying 1 - 8 of 8 reviews