Practitioner course in algorithmic trading
Futures Trading for Systematic Traders
The mechanics systematic traders need in futures markets: contract specifications, margin and leverage, rolling and continuous price series, carry, and building a diversified portfolio across asset classes.
Futures trading is where many systematic strategies live. One account reaches stock indices, government bonds, currencies, energy, metals and crops, and every contract can be bought or sold short with equal ease. The mechanics are less forgiving than shares, and this course covers them in the order you will meet them.
What makes futures different from stocks for a systematic trader?
Contracts expire, so a strategy must roll from one to the next and handle the price gap between them. Each contract has its own size and tick value, so positions must be sized by risk rather than by count. And the price of a future differs from the spot price by carry, which is both a cost and a source of return.
What is carry in futures trading?
Carry is the return you earn if the price does not move, coming from the slope of the futures curve as a contract rolls towards expiry. In backwardated markets it is positive for long positions; in contango it is negative. Carry is one of the oldest systematic signals, and the course tests it alongside trend.
Who is this course for?
Systematic traders moving beyond shares, and anyone interested in managed-futures strategies. It counts toward the Certificate in Systematic Investing.
What you will be able to do
- Read a futures contract specification and compute tick values, notional and margin.
- Build back-adjusted continuous price series and choose a roll schedule.
- Measure carry from the futures curve and use it as a signal.
- Size positions across contracts of very different volatility.
- Build and test a diversified trend and carry portfolio with costs.
Syllabus, module by module
How futures work
Contracts, exchanges, clearing, daily settlement and delivery.
Specifications and margin
Multipliers, tick values, initial and variation margin, and leverage.
Rolling
Expiry calendars, liquidity, roll schedules and their costs.
Continuous prices
Back-adjustment, ratio adjustment, and which series to use for which calculation.
The futures curve and carry
Contango, backwardation, roll yield and carry as a signal.
Sizing across contracts
Volatility-normalised positions, minimum contract size and small accounts.
A diversified portfolio
Trend and carry across equities, rates, currencies and commodities, with costs.
Project lab
Supervised work on the assessed futures portfolio.
How the certificate is earned
An assessed project: you build a diversified futures portfolio across at least four asset classes with roll handling and costs, and submit the code with a report. On a pass you receive the Course certificate in Futures Trading for Systematic Traders, issued by the Institute with a verification code. Read how certification works.
Before you start
Working Python with pandas and a first backtest of your own.
This course counts toward
Questions applicants ask
How much money do I need to trade futures systematically?
It depends on the contracts. Standard contracts can carry notional values well into six figures, which makes a diversified portfolio hard on a small account. Micro contracts help. The course shows how to work out the minimum for a given set of markets.
Why do systematic traders like futures?
Futures give access to many asset classes through one account, with low costs, central clearing, and easy short positions. That makes diversification across markets practical.