If a market's volatility doubles, the system automatically halves the position size. This ensures that every asset in the portfolio contributes an equal amount of risk, preventing highly volatile instruments (like Natural Gas) from overwhelming lower-volatility instruments (like Eurodollars). The Instrument Weights Matrix
Robert Carver's Advanced Futures Trading Strategies (2023) provides a comprehensive framework detailing 30 tested, systematic trading strategies aimed at bridging retail and institutional methods. The methodology emphasizes objective rules, continuous position sizing based on volatility, and rigorous cost management across trend, carry, and directional strategies. For more details, visit This Blog is Systematic .
Strategies must be statistically verifiable over decades of historical data across dozens of asset classes. 2. Advanced Trend-Following Strategies
: Data on past behavior, risks, and performance across different asset classes.
Daily Risk Target=Annual Volatility Target256Daily Risk Target equals the fraction with numerator Annual Volatility Target and denominator the square root of 256 end-root end-fraction The Position Sizing Formula
Decide on an annualized risk target for your total portfolio (e.g., 12% annualized volatility).
Trading 20 uncorrelated assets increases your Sharpe ratio significantly compared to trading a single market. Even a mediocre trading rule can become highly profitable when spread across a diverse global matrix. Ideal Asset Class Mix
Calculate the Exponentially Weighted Moving Average of the daily true range or standard deviation.
When the future price is higher than the spot price, creating a negative roll yield for longs.
Use passive limit orders resting at the bid or ask when possible.
Carver’s methodologies strictly reject discretionary trading—relying on gut feeling, news headlines, or subjective chart patterns. Instead, he advocates for a fully systematic approach.