About me

Brief Bio

With enough shadows, anyone can look photogenic.

I am Rob Carver; an ex Hedge fund manager and derivatives trader, economist and statistics/finance geek.

This blog is about:

  - Systematic and quantitative trading and investing
- Giving more people the tools and understanding to do their own investing better
  - Making the investment industry function better and serve the interests of society as a whole
  - Trying to promote a more correct and complete use and understanding of quantitative economic research in coming to better decisions, eg in policy making.

Lengthy Informal Bio

Rob Carver is an independent systematic futures trader. He also blogs, and writes books. Well he's written three books: “Systematic Trading” (http://www.systematicmoney.org/systematic-trading/) , "Smart Portfolios" (https://www.systematicmoney.org/smart), and Leveraged Trading (https://www.systematicmoney.org/leveraged-trading).

He is a visiting lecturer at Queen Mary, University of London, where he inflicts an annual course in Systematic Trading Strategies on masters in finance students.

According to his linkedin profile Robert is an expert in quantitative finance, fixed income, hedge funds, trading, portfolio management, derivatives, trading systems and risk management.

He has very few linkedin endorsements for, but is also really interested in: python, bayesian statistics, econometrics, housing policy, and financial economics. He likes the idea of macroeconomics, although it's clearly not an accurate description of how the world works.

Rob recently found out that he is a Data Scientist, and has been doing Data Science for years without even realising it (since hardly anyone used the term Data Science until about 2010). This doesn't stop him thinking that Data Science is a load of over hyped baloney.

He also has an irrational bias against the use of big data and artificial intelligence in financial markets (and deep learning, and machine learning ... whatever they are). And against Bitcoin.

He isn't sure if genuine skill exists in the investment world, but he knows for sure he doesn't have any. He thinks that the finance sector is too big, costs too much, and sometimes doesn't behave in the best interests of society as a whole.

Robert was lucky enough to be brought up in the warm climes of Dubai, where he also spent his early career, with only a brief sojourn back in the UK where he briefly attended the University of Cambridge.

He then made the mistake of going to the wettest part of the UK to attend the University of Manchester where he got a degree in Economics; and met the love of his life, and the mother of his three children (note: these are the same woman).

Robert then went to the dark side: a job as a trader for an investment bank, Barclays Capital. Once it became abundantly clear that he wasn't cut out to be an evil master of the universe Robert left and spent a couple of years working for the Centre of Economic Policy Research where he was lucky enough to work with some of the most brilliant economists in the world. He also found time to do a part time Masters in Economics at Birkbeck College, University of London.

He spent seven years working for systematic hedge fund AHL, where he was lucky enough – again – to work with some of the most talented and genuinely nice people working in the financial industry. He was less lucky in his timing: his employment spanned the financial crisis of 2007-2009, and the European sovereign debt crisis of 2010. Despite this Robert managed to build a systematic fundamental global macro trading system. He was then put in charge of the entire fixed income portfolio, after which there was the US government debt downgrade of 2011, and the “taper tantrum” of 2013. Correlation or Causation? You be the judge.

Robert left AHL in 2013 to spend more time: with his family, investing his own money, cycling, writing, and independently pursuing his research interests.

For a sufficiently handsome reward Robert is available for consulting projects. For more modest rewards he will write something for your website, blog, or publication. But as an unmitigated narcissist he will happily show up at your conference or event and talk nonsense for free*.

* well free plus expenses anyway.

Formal Bio of intermediate length

Robert Carver is an independent systematic futures trader, writer and research consultant; and a visiting lecturer at Queen Mary, University of London. He is the author of “Systematic Trading: A unique new method for designing trading and investing systems" (Harriman House, 2015),  "Smart Portfolios: A practical guide to building and maintaining intelligent investment portfolios" (Harriman House, 2017), and "Leveraged Trading: A professional approach to trading FX, stocks on margin, CFDs, spread bets and futures for all traders" (Harriman House, 2019).

Until 2013 Robert worked for AHL, a large systematic hedge fund, and part of the Man Group. He was responsible for the creation of AHL's fundamental global macro strategy, and then managed the funds multi billion dollar fixed income portfolio. Prior to that Robert worked as a research manager for CEPR, an economics think tank, and traded exotic derivatives for Barclays investment bank. He spent his early career in the Middle East.

Robert has a Bachelors degree in Economics from the University of Manchester, and a Masters degree, also in Economics, from Birkbeck College, University of London.

A note about comments

Because of a sea of spam I now moderate comments on this board. If you submit a comment it won't go up until I've moderated it.  So please don't submit the comment again, assuming something is broken, or I will delete the duplicate.


Talks and media

See this page.

Social Media and the like

My home page is here systematicmoney.org

There are multiple boring details of my life on my public linkedin page: www.linkedin.com/in/robert-stuart-carver

You might want to follow me on here: https://twitter.com/investingidiocy

You can like me, or poke me, or whatever else you want to do (within reason) on my facebook page.

My good reads authors page is here. Ditto for Amazon and Harriman House (my publisher).

Contacting me

If you want to get in touch, use one of the following methods:

0) I don't disclose my email address on line, as it would soon be overwhelmed by spam. So you have to jump through some hoops to get in touch with me.

1) If you have a specific and quite short question about one of my blog posts, then leave a comment. Comments are moderated, and if they are obviously spam (include a link and no meaningful text) they will be deleted. Proper comments will be published after a slight delay (could be a long delay if I'm on holiday).

2) My preferred method for contacting me generally is via the contact me box on each page of this blog. I realise it's quite a small box. Send me a short message explaining what you want to talk about and if it's sensible then I'll reply on email.

3) Second favourite is via linked-in. I accept nearly all connection requests, and once I've accepted your request we can mail each other. If you seem genuine, I'll move the conversation to email.

4)  I am not so keen on communicating via twitter; you can tweet at me in public by all means but private direct messaging requires that we follow each other, and I'm pretty selective about who I follow (nothing personal).

5) I rarely check my facebook mail / messenger / whatever it's called that doesn't work properly on my phone because I don't have the right app; so don't be surprised if there is a big time lag between your message and my response, or indeed if it is ignored completely.


  1. Impressive bio. I lived in Manchester until about age 11, then Dublin and now New York. I'm intrigued by your hedge fund to solo trader transition as I did something similar. I now trade options through IB with portfolio margin account.
    Here is my info https://www.linkedin.com/in/frankkeane
    Twitter: @fkeane10
    fkeane at gmail

    Would love to grab coffee or a beer if you pass through Manhattan (I have your book on my to buy list)


    1. Frank

      Thanks for the invite. Will tell you if I'm ever in NY.

    2. Hi, very interesting blog (love the title!). Great concepts, irony and (worryingly similar to mine) list of books and films. Will buy your book.
      I do not use Facebook, Twitter, or other similar stuff and haven't used Linkedin for ages (tried yesterday and I liked it even less!). Not even sure how I am posting this....Is there any chance I can send you a good old style email or PM? Best, GG

    3. This comment has been removed by the author.

  2. Rob I would like to implement your system on TradeStation. Do you think this is feasible? Can you recommend a service provider that can assist with such an implementation?

    1. Sorry I've never used TradeStation and I don't know anything about it.

    2. Just came across Rob's blog; but quite familiar with TradeStation and EasyLanguage development. Feel free to email me if you are still interested (realize that this is from 2016).

  3. Hey Rob,
    Good book and just a selfless font of the best information.
    Have you had a look at this ANANTA(http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2419243) paper.
    Simple idea, single expression many assets and all the good things you look for. Spot fx expressed carry might be an interesting diversifier. If it interests you i'd love to see how it turns out.

    1. Yes momentum on carry should work. I wouldn't touch spot FX but it could be interesting to look at this in futures. I'll publish a blog post if / when I get round to looking at it.

    2. sensational i'll be on the lookout. may i ask why the aversion to spot FX ?

    3. It trades OTC and the margin spreads on interest payments make it very expensive to hold positions for any length of time.

    4. Sorry Rob, you lost me at the "margin spreads on interest payments"... Would you mind explaining?

    5. When you buy USD you are effectively borrowing GBP (and being charged interest) and lending USD (and being paid interest). But on the GBP interest you are paying say LIBOR + 1%, and on the USD deposit you are earning LIBOR -1% or in practice nothing.

    6. Gotcha. And this 2% (annual) margin in the example is too great to be profitable, am I getting this right? How much can one reasonably expect in your view?
      Great book, btw, I've just came from the fitting part over here, on your blog.

    7. Way too high. AUDUSD vol runs at about 9% a year. That's 0.22 units (2% / 9%) of Sharpe Ratio gone just in this form of costs (I recommended an absolute maximum of 0.13 SR for all costs in chapter twelve). That's before thinking about the cost of trading or rolling. This is one reason why most retail FX traders lose money.

      If I trade futures I'm effectively borrowing at LIBOR* flat.

      * not exactly LIBOR but the point still stands that there is effectively no interest margin on futures

    8. Thanks lot for the explanation.
      I don't want to abuse your time any more but I'm really curious what the other reason(s) might be... ;)

    9. For FX retail traders losing money?

      Specific to retail FX: Wide spreads. Brokers internally hedge orders so they're trading against you. They can set prices wherever they like; just enough to trigger your stop for example.

      Even if things really go well for you, your tiny bucket shop broker will go out of business and your money will vanish offshore.

      More generally: Over trading, Using too much leverage

    10. hey rob,
      getting help to deploy pysystemtrade and the modular framework on quantconnect in C# with a view towards going live. going to put a binary system in the framework as well as some stop loss logic. if you can help me avoid pitfalls or gross errors with the binary signals that would be great. i'll open source it when done regardless.

    11. William. Depends what you mean by a "binary system"?

    12. This comment has been removed by the author.

    13. As opposed to continuous signals. It be long for the next x period of time/short.

    14. I discuss binary signals here http://qoppac.blogspot.co.uk/2016/03/diversification-and-small-account-size.html

    15. Thanks I hadn't seen that!

  4. Hello Rob,
    Sorry for a petty programming question, but there's an item in some of your pysystemtrade scripts that are throwing errors and I haven't seen before. For example, in ewmac.py, line 12 imports several classes from 'common,' and whether tried in 2.7 or 3.4, Python states an 'ImportError' for pd_readcsv and cap_series. Is pd_readcsv similar to pandas.read_csv?
    I tried adding a line 'from pandas import read_csv as pd_readcsv' and re-ran the script, which it accepted but then threw same error for the cap_series class. Any advice?

  5. Can you check the full git hub path of the file you are trying to run - there isn't a filename ewmac.py in pysystemtrade. Is it this file: https://github.com/robcarver17/systematictradingexamples/blob/master/ewmac.py

    ... which is in my older set of libraries (NOT pysystemtrade)

    pd_readcsv is a new function, not part of pandas, so changing the import definitely won't work (my bad for using such a similar function name).

    I just tried running that script without changing it (in python 2.7) and it worked fine, so I suspect the problem is at your end. Is your PYTHONPATH configured correctly so your python interpreter can actually see the common.py file?

  6. Dang it Rob, you just exposed the gopher holes of my incompetence, ha...I'm in Windows7 with 3.4 at the moment, might be better served to switch to a Unix env. I went into Environment Variables in Adv Sys Settings and made a PYTHONPATH to C:\Python34\Lib but no dice on re-run; if I add the Anaconda3 subdir to this path string it at least gets past the initial ImportError. Got some overdue admin catch-up work to do, will report later. Thank you for pointing me in the right direction!

  7. P.S. Yes, the ewmac.py version I'm trying is from the github URL that you posted.

  8. Hi Rob

    My inner proof reader notes:
    1. Last interview with BetterSystem Trader is Andrew Swanscott not Adrian Reid
    2. You've truncated the title of your book in the 'Journalists with a short attention span read this: ' attribution - 'Systematic Trad: a unique...'

    Bought your book after your first podcast with Andrew Swanscott and value the info you put out. Thanks.


  9. Hi Rob,

    Ive noticed you trade multiple futures contracts on IB, I was wondering how you handle the UK tax aspect of this, I am about to embark on this (mainly ES minis and treasury futures) and i am pretty clueless on the taxation aspect of various jurisdictions the futures are traded, can you recommend the best route to learn more about this aspect? Do IB handle this automatically?

    Also any other tips on trading futures on IB being a UK based trader?



    1. https://qoppac.blogspot.co.uk/2015/02/calculating-uk-trading-tax-liability.html

  10. This comment has been removed by a blog administrator.

  11. I was looking for your review of “Advances in Financial Machine Learning”. Do you have a link? Saw your talk at FXCM & read your systematic trading book. Was interested to see what you thought of it.

    1. Sorry for the delay in replying


  12. This comment has been removed by the author.

  13. Hi Rob:

    I'm reading your first book, and I've one important question about the forescast scalar. You say that once you have the absolute value of the forescast you should divided INTO 10, but the example says another thing:

    Once you have the average absolute value then you should divide it into 10. The result is the trading rule’s forecast scalar. So for example if the average absolute value was 0.3 then the scalar would be 10 ÷ ٠.٣ = ٣٣.٣٣.

    Which is wrong?

    1. I'm afraid I don't understand your comment which appears to have have some weird characters in it. Which page of the book are you referring to?

    2. Hi Rob
      I'm reading the electronic version of the book, so I'm afraid there is no page, but it's Rescaling forecasts section appendix D. Those strange symbols are what I seeing in my electronic book...and those are the problem...

    3. And also thanks a lot for your help and consideration

    4. That's weird I've never had anyone with that problem before. Where did you get your copy? In which format? What software and device are you using to read it?

    5. Hi Rob

      I bought my copy from Harriman House and I'm using a Kindle Windows v. 1.24.3, so the software it's updated....

      But those strange symbols are confusing to me, and the explanation of the text doesn't help me...

      Anyway, Harriman also sent me a EPUB version of the book, where to read the example with numbers instead of symbols...
      Thanks a lot for help Rob

    6. Those strange symbols you see are in Arabic, it is the Arabic number 3.
      ٣ = 3

  14. Hola, hay alguna posibilidad de que sus libros sean publicados en idioma español? Gracias

    1. No hay ningún plan para hacer esto. Pero quizás alguien quiera traducirlos al inglés y publicarlos. Hay versiones japonesas de mis libros por lo que es posible.

  15. Hi Rob,
    Great to know you have ties to dubai. Do connect when you are visiting here sometime.

  16. Thank you very much for the genuinely witty Informal Biography, Rob, it makes for a delightful and informative reading.

    The question I have is about your opinion on the success of the Medallion fund, since it has apparently been built on (very early) use of large data sets and perhaps AI, which you do not have much trust in, I understand. Have you already read the recent book on the subject by Gregory Zuckerman? I'd love to read you comment.

    1. Yes I read the Zuckerman book. Great book, very interesting. The clearest statement I can make about AI (and ML, NN all that jazz) is that 99% of the people using it in finance *do not know what they are doing*. They are creating brittle, non robust, overfitted to the teeth trading systems. And that is normally because (i) they do not have the basic understanding of classical statistics that would tell them they are being idiots, and (ii) they are in a domain where there is insufficient data or non linear complexity to justify the use of non classical techniques.

      Then there are 1% of people who do know what they are doing, and are operating in a domain with the right kind of data and underlying structure that it makes sense to use this stuff. And they use it well, making larger returns than would be possible without it.

      1% is probably an overestimate. But Rentech is definitely in that 1% or whatever.

      I personally do not know enough about these fancy techniques* to use them well, and I work in a domain (medium to slow speed trading of linear models) where their use is uneccessary.

      * although we can have a debate about where the borderline between classical and fancy lies, and I am a selective user of more novel ML methods when appropriate. For example I'm happy to use eg a clustering algorithim when optimisting portfolios (https://qoppac.blogspot.com/2018/12/portfolio-construction-through_14.html)

  17. Thank you, Rob, for a very clear and illuminating answer. I suppose the 1% of properly skilled and equipped users of ML can mostly be found in large, sophisticated hedge funds and investment banks, who have built their teams and data troves over time with sufficient investment. My question is therefore whether these type of entities are to be expected to inevitably dominate trading in the future (even more so than today) by achieving highest profits.

    1. To an extent yes, but there are other types of trading that will still be profitable; in particular those where you are picking up risk premia from alternative beta rather than true alpha (and I count myself, for instance, as a harvester of risk premia rather than an alpha generator so you can make a pretty decent living out of it).

  18. Thanks, Rob, that's good to know. :-)