We provide an updated on performance for the Algorithmic Futures trading systems. We had mixed performance this month as some intraday momentum strategies detracted from performance, while trend following strategies had a decent month.

We provide the code for a currency momentum strategy that you can use in your own research. We discuss the different types of momentum strategies and how you can use them in your portfolio. View Code Here: www.algorithmic-futures.com/post/free-tradestation-strategy-code

Overview of Algorithmic Futures performance for September 2022 and YTD 2022. The S&P 500 is in bear market territory and the trading systems continue to perform well.

"Why correlation tables can be misleading for traders" with Kyle Schultz Watch the full trader interview at http://bettersystemtrader.com/197

We provide a performance update for August 2022 and YTD 2022 for all of Algorithmic Futures trading systems.

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

I explain why futures contracts provide for maximum diversification, tax benefits and the best trading opportunities!

"VIX vs ATR as a volatility filter" with Kyle Schultz Watch the full trader interview at http://bettersystemtrader.com/197

Learn about Algorithmic Futures strategy development and trading automation