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Possibilities in Futures Trading: Quantitative Analysis without Historical Pricing | Webinar

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Presentation Slides

About the Session

Is it possible to build a profitable trading model, using no historical data, no fundamental data, no stop loss and no target price? This presentation aims at introducing a potentially new way of approaching market analysis which is currently only applied by futures trading professionals.

Quantitative Analysis is traditionally based on historical data, which can be analyzed visually in a chart or mathematically using time series analysis. There is however no reason for this to be a limitation.

Using the information found in the term structure of futures markets we can extend our quant toolkit and broaden our scope. The key point of this presentation will be to investigate if there is a predictive value in this term structure information and if we can trade based on nothing but this curve.

Session Outline

  • Key Question: Can we construct a profitable quantitative trading model without the use of historical time series, fundamental data or macro data?
  • Futures mechanics explained - What makes them unique
  • Term structure explained - Issues and Opportunities
  • Measuring term structure - Identifying Interesting Situations
  • Trading term structure - Constructing and Testing Rules
  • Q&A

About the Speaker

Andreas Clenow

Andreas Clenow

Chief Investment Officer, Acies Asset Management Group, Switzerland

Andreas Clenow is the Chief Investment Officer of Acies Asset Management group, based in Zurich, Switzerland. Having started out as an IT entrepreneur in the 1990s, he joined Reuters Consulting in 2000 as head of their Nordic financial consultancy. At the time he left Reuters he was heading up their global financial modeling team out of Geneva, Switzerland.

After this, he went on to found and manage multiple hedge funds as well as to author three international best selling books. As CIO of Acies group he now oversees the investment and allocation of a nine-figure (USD) asset base across all major asset classes and investment products.

This webinar was conducted on:
Thursday, April 22, 2021
9:30 AM ET | 7:00 PM IST | 9:30 PM SGT

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