Rob Carver

1. My trading system (This Blog is Systematic), December 2021 — own site, 2021
2. A simple breakout trading rule (pysystemtrade), May 2016 — own site, 2016
   The page is long; the first 100,000 characters were read.

• FilterTrade a broad set of futures: his dataset has 146 instruments, and markets that fail cost or liquidity requirements are excluded. Instrument weights by asset class include 0.13 for metals and crypto.
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• FilterDrop any rule for an instrument whose trading costs exceed the “speed limit” of 0.01 Sharpe-ratio units; his actual costs are about 1.06% a year.
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• EntryUse many rules, not one: momentum (EWMAC with 4, 8, 16, 32, 64 lookbacks), breakout (10 to 320 days), relative momentum, carry, skew and a little mean reversion. Trend-type rules get 0.6 of the forecast weight, the rest 0.4.
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• EntryBreakout rule: take the rolling max and min over the lookback; raw forecast = 40 × (price − midpoint) ÷ (max − min), then smooth it with an exponential average of span lookback ÷ 4. The 40 maps the natural range to roughly ±20.
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• Size and riskScale forecasts to an average absolute value of about 10; values near 20 are rare. Positions follow the forecast, so a stronger signal means a larger position.
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• Size and riskVolatility estimate: 70% recent volatility and 30% the average over the last 10 years; momentum-type forecasts are reduced when volatility is above its historic level.
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• Size and riskThe instrument diversification multiplier is estimated and capped at 2.5; correlation between instrument sub-systems averages about 0.05.
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• Size and riskDynamic optimisation finds the integer-contract portfolio with the lowest tracking error to the ideal one, and buffering reduces trading costs.
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Often attributed to this trader, but not found in the sources above. Not listed as his or her rules.

• The volatility target, the buffer width, the rebalancing frequency and drawdown limits are not stated on the pages read; a risk overlay mentioned for his older system is not in the new one.
• The simple “EMAC 16/64 divided by volatility” rule is quoted by tutorials from his book, not on these two blog pages.

A diversified futures system with dozens of rules is not something one can copy by hand; the transferable ideas are to scale a position by signal strength and volatility and to check costs before using a fast rule.