This is the first article in a series about cash management for futures traders. This article lays the theoretical foundations needed to understand the topic in more detail and will introduce two systematic strategies for interest optimization and automatic margin management.
The figures below are the interactive versions of the figures in the article, in the article’s order and under the article’s numbers. Hover a series for its values, drag across a chart to zoom and double-click to reset, and click a legend entry to hide or isolate a series.
Figure 1. Average rolling one-year autocorrelation of one-day returns across all traded instruments, with 5–95% band. Smoothed for readability.
This report evaluates the Breakout strategy through signal diagnostics, parameter selection, robustness testing, and portfolio integration. It examines whether historical performance holds up under recent conditions and whether the strategy adds value to the portfolio. Despite strong results over the… Read more.
Developing a systematic trading strategy rarely begins with a perfect idea. Instead, it is an iterative process of forming hypotheses, testing them, discarding what does not work, and refining what does. In this article, we develop a futures trading strategy… Read more.
Diversification is one of the most important tools for a systematic trader. This article will dive into the diversification possibilities… Read more.