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Saturday, April 20, 2024

225: The Art and Science of Algorithmic Futures Trading w/ Kyle Schultz

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Kyle Schultz is 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…

Topics & Timestamps:

Please note: Exact times will vary depending on current ads.

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  • 01:33 – Traded products, single-product strategies, diversification, futures/stocks.
  • 10:56 – Idea generation, historical price data, long/short signals.
  • 20:30 – Testing and execution frameworks; third party software/open source.
  • 23:51 – Parameters, overfitting, segmenting data, walk forward analysis, metrics.
  • 34:57 – Portfolio construction, volatility, optimisation, live trading.
  • 50:40 – Sufficient capital base, AUM, annual returns, CALMAR.

Program performance since inception (April 2019).

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