Kyle Schultz is Managing Director of Ravinia Investment Management, a registered CTA active since April 2019.
Kyle has developed multiple algorithmic strategies that can be categorized into momentum and mean-reverting, long and short, intraday and swing, for various futures products for diversification by market, strategy and timeframe.
Through our conversation, Kyle discusses the art and science of developing and managing automated trading systems, and his unique way of doing things…
Topic and Timestamp:
Note: Exact time depends on current ad.
- 01:33 – Traded Commodities, Single Commodity Strategies, Diversification, Futures/Equities.
- 10:56 – Idea generation, historical price data, long/short signals.
- 20:30 – Test and execution framework. Third Party Software/Open Source.
- 23:51 – Parameters, overfitting, data segmentation, walk-forward analysis, metrics.
- 34:57 – Portfolio construction, volatility, optimization and live trading.
- 50:40 – Sufficient capital base, assets under management, annual returns, CALMAR.