Futures Long / Short

[RobGiles]

Hi
Does / has anyone traded a diversified futures portfolio from either the long or short side? I was interested in adding futures at some stage and was interested in how one allocates capital across a basket of commodities, interest rates, currencies and equity indices futures. Would be interested in any insights as to what types of systems might have been deployed, challenges faced, results etc.

My background was fairly one dimensional (i.e. just trading US wheat and corn, or just trading cotton, etc), not trading a portfolio of futures.

[SaidBitar]

I never traded futures but i know one very interesting book that will cover your question.
Following the Trend: Diversified Managed Futures Trading (Andreas F. Clenow) he covers the topic in a good manner.

[RobGiles]

Hi Said
Thanks for that mate, I’ll check out it out. I’ve just finished his book ‘Stocks on the Move’ which talks about momentum trading in shares, recommended by Nick. Excellent read.

[JulianCohen]

Hi Rob,

I run a long term trend following system on 60 odd futures markets so I can help with any questions. However I would also recommend Andreas’ book first and then happy to fill in any gaps

[RobGiles]

Hi Julian,

Great. I’ll read the book and then chat with you. Really interested in how you go about selecting which markets to trade when / if presented with multiple signals and also how one systemises the entry across 60 markets.

I’ll get back to you in time.
cheers
R

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