Futures Trading: Concepts & Strategies By Andreas Clenow – QuantInsti

Free Download Futures Trading: Concepts & Strategies By Andreas Clenow – QuantInsti

Futures Trading: Concepts & Strategies

This comprehensive course, led by field expert Andreas Clenow, is designed to help traders gain a deep understanding of the futures market and build the skills required to trade systematically. You’ll explore the core concepts of futures, learn how to create and analyze trading strategies, and then apply your knowledge through backtesting, live trading, and a capstone project.

Perfect for those looking to trade futures in a structured and professional way, this program bridges the gap between theory and practice while providing hands-on experience with real market data.

Live Trading Experience

Throughout the course, you’ll not only study strategies but also put them into practice in a live trading environment. Key takeaways include:

• Designing and backtesting strategies – Build both trend-following and counter-trend systems from scratch.

• Risk management through diversification – Learn how to reduce exposure and stabilize returns by spreading risk effectively.

• Position sizing & capital allocation – Apply the volatility parity approach to manage capital more efficiently.

• Performance analysis – Evaluate strategies using professional metrics such as drawdown plots, return graphs, and Sharpe ratio.

• Understanding futures term structure – Identify and trade based on backwardation and contango conditions.

• Implied yield & term structure strategies – Learn to calculate implied yields and incorporate them into trading models.

• Mastering futures market basics – Get comfortable with concepts such as standardization, clearing, margin, speculators, expiry dates, open interest, and contract lifespans.

• Capstone project with live/paper trading – Implement a trend-following strategy, test it with live or simulated trades, and refine your skills through real-world application.

Skills You Will Develop

By the end of this course, you’ll have mastered a combination of technical skills, trading concepts, and risk management frameworks, including:

• Trading Strategies: Trend Following, Counter-Trend, Term Structure, Diversification, Position Sizing.

• Python Programming: Pandas, NumPy, Matplotlib, Datetime, TA-Lib, and practical coding with loops.

• Core Trading Concepts: Futures continuation, implied yield, margin, notional value, and P&L calculations.

Course Features

• Interactive coding practice – Hands-on exercises to solidify your learning.

• Capstone project using real market data – Apply your strategies in a practical setting.

• Collaborative learning – Trade, analyze, and grow together with fellow learners.

Prerequisites

To make the most of this program, participants are expected to have some prior exposure to financial markets. While the strategies in this course are demonstrated using Python, programming knowledge is not mandatory. The same models can be replicated using spreadsheets or any trading software language you are comfortable with.

SYLLABUS

Introduction

Mr. Andreas Clenow, Chief Investment Officer of Acies Asset Management, assures you that futures trading is one of the simplest to understand and yet quite effective in the markets. You will go through the course structure and understand how the course is structured in the form of videos, quizzes, strategy codes and capstone projects. This will make sure that not only do you understand the mechanics of futures world, but also implement real world trading strategies in live markets.

• Futures Trading Introduction 4m 35s
• Introduction by Andreas Clenow 2m 45s
• Course Structure 2m 56s
• Course Structure Flow Diagram 10m
• Quantra Features and Guidance 4m 9s

Futures Contract

Futures contract is an obligation to buy or sell a specific asset at a predetermined price, at a predetermined date. In this section, you will learn what makes a futures contract unique. It talks about how speculators trade in the futures market, only to make economic gains. You will see what are the different assets that can be traded in the futures market. You will also learn about the properties of futures contracts.

• What Makes Futures Unique? 3m 37s
• Features of Futures Contract 2m
• Assets in Futures Market 2m
• Speculators 2m
• Properties of Futures 2m

Standardisation & Clearing

Futures contracts are standardised and hence, enables you to trade in different assets without having an expertise in the traded material. This section will help you understand how the details like quality, quantity, place and time of delivery are regulated by a futures contract. Later in the section, you will also learn that the futures contract is an agreement between two parties. This agreement is centrally cleared by a clearing house.

• Standardisation 2m 44s
• Attributes Regulated by Futures Contract 2m
• Clearing 1m 37s
• Advantages of Centralised Clearing 2m
• Roles of Clearing House 2m
• Zero Sum Game 2m

Futures Specific Properties

To deal in the futures market, you need to know a set of standard properties for all futures markets. Knowing these properties will help you effectively treat all the futures markets in the same way. In this section, you will learn about the specific properties like the root symbol, month, ticker, expiry date, first notice date, margin and execution terminology.

• Futures Specific Properties I 2m 18s
• Root Symbol 2m
• Delivery Months 2m
• Ticker 2m
• Interpret the Ticker 2m
• Futures Specific Properties II 2m 31s
• Delivery Date of a Futures Contract 2m
• Margin 2m
• Test on Futures Contract, Standardisation & Clearing and Futures Specific Properties 16m

Futures Profit and Loss

Calculation of profit and loss on futures position works differently from other asset classes. Before creating a trading strategy, it is essential to understand the logic behind futures profit and loss calculation. In this section, you will learn about the concepts such as point value, mark to market and learn to calculate futures PnL with examples. Further in the section, you will learn about the effect of currency on futures PnL. You will also compare currency exposure on futures and stocks.

• Futures PnL Calculation 4m 27s
• What is Point Value? 2m
• Calculate Futures PnL 2m
• Calculate Daily Futures PnL 2m
• How to Use Jupyter Notebook? 2m 5s
• Calculate Futures PnL in Python 10m
• Getting Started with Interactive Exercises 5m
• Read Gold Futures Data 5m
• Calculate Daily Price Change 5m
• Calculate Daily PnL 5m
• Calculate Cumulative PnL 5m
• Plot Cumulative PnL 5m
• Futures and Currency Exposure 3m 59s
• Relationship Between Futures and Currency 2m
• Calculate Realised PnL on Futures Position 2m
• Calculate PnL on Stocks Position 2m

Futures Market

Futures contracts are each based on different underlying assets. These can be based on physical commodities, like the agricultural and non agricultural commodities. The futures can also be based on the interest rates and currency exchange rates. Apart from these, the futures contract can even be based on the equity index value! In this section, you will learn about the various sectors on which the futures contracts are based. You will also learn about the deliverable and non-deliverable contracts, and the first notice date concept in the futures market.

• Futures Sectors: Overview 4m 10s
• Equity Index Futures 2m
• Currency Futures 2m
• Rates Futures 2m
• Yield and Price 2m
• Futures in the Commodity Sector 3m 21s
• Agricultural Commodities 2m
• Agricultural Commodity Futures 2m
• Deliverability of Commodity Futures 2m
• First Notice Date 2m
• Non-agricultural Commodities 2m
• Non-agricultural Commodity Futures 2m
• Volatility in Futures Contracts 2m

Futures Dataset

All the futures contracts have a futures chain. In this section, you will learn how to read the futures chain. The futures chain is like a snapshot of the futures trading activity in a particular asset. You will also learn about the importance of a definite expiry date in the futures contract. The definite expiry date gives a lot of opportunities in terms of trading but is also problematic when you are trying to perform long term analysis on the data. You will understand how the same commodity can be traded at different prices for contracts expiring on different dates.

• Futures Data 4m 1s
• Futures Chain 2m
• Volume and Open Interest 2m
• Change in Open Interest: Writing Contracts 2m
• Change in Open Interest: Settling Contracts 2m
• The Issue of Limited Life Span 2m 25s
• Buy and Hold Futures 2m
• Predictable Life Span 2m
• Price Difference in Futures Contracts 3m 31s
• Price of Different Futures Contracts 2m
• Stitching Time Series 2m
• Futures Active Trading 2m
• Limited Life Span Problem 2m

Futures Continuations

To overcome the issue of the limited life span, different ways have been suggested to build a continuous price line of the same asset, in spite of different expiry dates. You will explore both the good and bad methods of building futures continuations. Finally, you will understand why the proportional adjustment method is good for analysis.

• Default Futures Continuations 3m 29s
• Properties of Continuationsm 2m
• Other Methods of Futures Continuation 2m 31s
• Construction of Continuations 2m
• Limitations of Add and Subtract Method 2m
• Proportional Adjustment Method 2m
• Advantage of Proportional Adjustment 2m
• Optimal Choice for Continuations 2m
• Additive Adjustment 10m
• Additive Adjustment Factor 5m
• Adjustment Factor for the First Contract 2m
• Adjustment Factor for the Second Contract 2m
• Proportional Adjustment 10m
• Proportional Adjustment Factor 2m
• Sources for Futures Data 10m
• Test on Futures Profit and Loss, Futures Market, Futures Dataset and Futures Continuations 20m

Analysing Tradable Assets

A very common problem with new traders is that they analyse one thing, and then trade the other. Like the index is analysed, and the futures are traded. This section highlights the importance of performing the correct analysis of tradable assets. With an example of an index and its continuous futures contract, you learn the importance of trading what you analyse.

• Trade What You Analyse 3m 28s
• Tradable Assets 2m
• Futures and Underlying 2m
• Futures Trading Concept 3m 53s

Trend Following Introduction

This section talks about the history of the trend following strategy. Further, it discusses the principle behind creating a robust trend following strategy. It explains the logic behind the successful and profitable trend following models with the help of a rolling dice game. Further in the process, you will also learn about the calculation of the expected value.

• Trend Following Background 2m 47s
• History of Trend Following 2m
• Trend Following Facts 2m
• Principles of Trend Following 4m 14s
• Trend Following Logic 2m
• Percentage of Winning Trades 2m
• Expected Value of Game 2m
• Expected PnL Calculation 10m
• Profitability of a Game 2m
• Profitability of Trend Following 2m

Trend Following Entries

In creating a robust trading model, both entry and exit rules are important. In this section, you will learn about the entry rules to buy and sell in the trend following model. It discusses the importance of a trend filter and trend breakout to buy and sell. You will also learn to code and visualise the entry points in Python.

• Trend Following Entries 3m 9s
• Trend Following Entry Logic 2m
• Purpose of Dual Moving Average 2m
• Positive Trend 2m
• Purpose of Breakout 2m
• Purpose of Trailing Stop Loss 2m
• Code Trend Following Entries 10m
• Calculate Exponential Moving Average 5m
• Define Trend 5m
• Long Entry 5m
• Conditions for Short Entry 2m

Risk Management

Measuring risk is very critical for any trading approach. In this section, you will learn about financial risk and how these risks are measured. Further, you will see that to manage risk, it is very important that each position you hold has an equal impact on your portfolio. This section explains why we should allocate more to the slow moving markets and less to the fast moving markets. It explains the concept of actual risk exposure and the notional value. Further, you will also learn how futures markets are different from the cash markets. You will also apply the learnings and calculate the position size for two assets in order to allocate equal risk to both.

• Financial Risk Primer 2m 8s
• Financial Risk Management 2m
• Importance of Time in Risk Management 2m
• Limitations of Allocating Equal Amount 2m
• Measuring Financial Risk Using Volatility 2m 22s
• Purpose of Volatility Parity Position Sizing 2m
• Position Allocation 3m 57s
• Volatility Parity Position Sizing 2m
• Leverage in Futures Space 2m
• Risk Factor 2m
• Number of Contracts 2m
• Position Allocation Using Python 10m
• Daily Dollar Variation of a Contract 5m
• Target Daily Variation 5m
• Number of Contract 5m
• Notional Dollar Value 5m

Trend Following Exits

The exit rules for the trend following strategy are discussed in this section. A pullback indicator is calculated which exits the position if the market moves against our position by a threshold value. The overall strategy position for trend following is calculated by combining the entry and exit signals.

• Trend Following Exits 2m 8s
• Purpose of Trend Following Stops 2m
• Drawback of Profit Targets 2m
• Setting the Stop Distance 2m 55s
• Drawback of Fixed Percent Stops 2m
• Drawback of Fixed Dollar Stops 2m
• Calculating Trend Exit 2m
• Trend Following Exits: Single Asset 10m
• Rolling Volatility 5m
• Rolling Maximum Price 5m
• Long Exit 5m
• Carry Forward the Position 5m
• Pullback for Bearish Trend 2m

Trend Following Analysis on Single Markets

There are trading strategies that work well on both individual markets and portfolios of markets. This section discusses the trend following model rules for entry and exit on the individual markets. Further, you will apply these rules on the Palladium futures price and analyse the backtest results.

• Trend Following Rules 1m 57s
• Trend Following Rules Flowchart 10m
• Enter the Position 2m
• Trend Following on Single Markets 3m 17s
• Conclusion from Backtest Results 2m
• Strategy Returns for Trend Following 10m
• Total Positions 5m
• Strategy Returns 5m
• Cumulative Strategy Returns 5m
• Plot Cumulative Strategy Returns 5m

Diversification in Trend Following

The trend following strategy works best when the portfolio is diversified. This section highlights the importance of diversification for obtaining good results using trend following strategies. For illustration purposes, a sample strategy is implemented on multiple assets and analysed.

• The Power of Diversification 3m 2s
• Trend Following Backtest Performance 2m
• Diversified Portfolio Backtest 2m
• Trend Following Strategy on Multiple Assets 10m
• Inverse Volatility 5m
• Inverse Volatility Weights 5m
• Volatility Weighted Returns 5m
• Portfolio Returns 5m

Strategy Analysis

Analysing your strategy is very important to safeguard your capital. Return is not the only metric that can help you in understanding the performance of your strategy. In this section, you will learn the importance of analysing your strategy through thorough backtesting. It talks about various metrics, like Sharpe ratio and maximum drawdown, and rolling analysis. Further, it talks about how the number of winning trades are much smaller than the number of failing trades. And yet, the less winning trades results in net profit. It also explains how optimising the rules of a strategy will lead to overfitting.

• Strategy Analysis 4m 24s
• Analysing Strategy Returns 2m
• Conclusions on Strategy 2m
• Trend Following Trades 2m 9s
• Interpret the Graph 2m
• Limitations of Trend Following Trades 1m 56s
• Losing Trades in Trend Following Strategies 2m
• Drawbacks of Doubling the Stop Loss 2m
• Backtested Results from Diversified Market 2m
• Backtested Results from Single Market 2m
• Optimising the Rules 2m
• Strategy Analysis 10m
• Log-scale Axis 5m
• Annualised Returns 2m
• Annualised Volatility 2m

Counter Trend Models

It is often seen that the trend following strategy stops out too early and too often. The counter trend strategy attempts to overcome this problem by entering into a position when the trend following strategy exits. You will learn how counter trend models try to capture the continuation of a trend, after the trend following strategy stops out.

• Counter Trend Models 2m 50s
• Counter Trend Nomenclature 2m
• Counter Trend Logic 2m
• Counter Trend Features 2m
• Diversification in Counter Trend 2m

Counter Trend Entries

In this section, you will learn about the importance of the entry points in the counter trend models. In the trend model, the exit is followed by an immediate entry signal, which leads to frustration in the trend followers. The section explains how the counter trend model overcomes this issue by reversing the logic of the trend model. It also explains the concept of pullback. Further, you will apply the learnings to generate your own entry signals on the S&P 500 Total Return index.

• Counter Trend Entries 2m 37s
• Entry Logic 2m
• Trend Filter 2m
• Trend Pullback 2m
• Need for Trend Filter 2m
• Measuring Trend Pullback 2m
• Trend Pullback Using Volatility Method 2m
• Entry Signal 10m
• Calculate the Pullback 5m
• Generate the Entry Signal 5m

Counter Trend Exits

Experimenting with the exit rules is very important in order to create a proper exit rule. This section will walk you through a simple exit rule. It will explain how the model ends up with a reasonable profit even for a simple exit rule. You will further apply the learnings to generate your own exit signals.

• Counter Trend Exits 2m 41s
• Identify Exit Point for a Long Trade 2m
• Exit Rule 2m
• Counter Trend Exits 10m
• Exit Logic: Position Held for a Month 2m
• Exit Logic for a Long Position 2m

Counter Trend Strategy Analysis

The returns of the counter trend strategy are analysed in this section. You will learn how this strategy not only outperforms the benchmark but also performes well in equity bear markets.

• Counter Trend Strategy Analysis 1m 36s
• Counter Trend Strategy Performance 2m
• Counter Trend Performance Comparison 2m
• Test on Trend-Following and Counter-Trend Strategies 14m

Term Structure

The concept of term structure trading is quite different from anything you may have seen with stocks, currencies or other common asset classes. In this section, you will learn about contango and backwardation structure and visualise them. Next, you will learn about annualised implied yield and its calculation in Python. Further, you will plot the implied yield to quantify the term structure which helps to make trading decisions.

• Futures Price and Delivery Dates 3m 14s
• Reason for Difference in Price 2m
• Introduction to Term Structure 2m 37s
• Interpret Term Structure Graph 2m
• Interpret Contango 2m
• Term Structure 2m
• Quantifying Term Structure 4m 17s
• Purpose of Annualising Term Structure 2m
• Annualised Term Structure Formula 2m
• Annualised Implied Yield Calculation 10m
• Days Between Spot and Futures Expiry 5m
• Percentage Difference 5m
• Annualised Implied Yield 5m
• Term Structure Concept 8m 29s

Term Structure Trading

In this section, you will use the implied yield and open interest to decide if a contract that is further from the one nearing expiry can deliver more gains. Part of the gains will come from saving on the transaction cost of rolling over from the front contract to the one farther out. You will also look at the calendar spread strategy which considers the term structure as the sole indicator.

• Contract Selection 2m 55s
• Analysing Term Structure 2m
• Shorting Future Contracts 2m
• Calendar Spread Strategy 1m 30s
• Advantages of Calendar Spread Strategy 2m
• Examples of Application of Term Structure 2m
• Long or Short in Calendar Spread Strategy 2m
• Calendar Spread and Arbitrage 2m
• Positions in Calendar Spread Strategy 2m
• Timing the Exit of Calendar Spread Strategy 2m
• Trading Term Structure 3m
• Trading One Year from Current Futures 2m
• Usage of Term Structure 2m
• Term Structure Strategy Analysis 1m 36s
• Term Structure Strategy Performance 2m
• Term Structure Performance Comparison 2m
• Trading the Curve Presentation (Optional) 10m
• Term Structure Strategies 13m
• Test on Term Structure 14m

Pushing Diversification Further

The concept of diversification using multiple assets is portfolio diversification. But we don’t know for sure which strategy to run for the assets in the portfolio. The concept of style diversification is introduced in this section where you learn that diversification of the strategy also results in a better return on investment.

• Pushing Diversification Further 4m 54s
• Style Diversification 2m
• Strategy Performance 2m
• Diversification Benefits 2m
• Pushing Diversification Further10m
• Rebalancing Logic 2m
• Test on Diversification, Risk Management and Strategy Analysis 16m

Run Codes Locally on Your Machine

Learn to install the Python environment in your local machine.

• Python Installation Overview 1m 59s
• Flow Diagram 10m
• Install Anaconda on Windows 10m
• Install Anaconda on Mac 10m
• Know your Current Environment 2m
• Troubleshooting Anaconda Installation Problems 10m
• Creating a Python Environment 10m
• Changing Environments 2m
• Quantra Environment 2m
• Troubleshooting Tips For Setting Up Environment 10m
• How to Run Files in Downloadable Section? 10m
• Troubleshooting For Running Files in Downloadable Section 10m

Live Trading on IBridgePy

This section gives an overview of live trading your strategies using IBridgePy. It includes details about the code structure, how to place orders, and the link to our free course on IBridgePy.

• Section Overview 2m 2s
• Live Trading Overview 2m 41s
• Vectorised vs Event Driven 2m
• Process in Live Trading 2m
• Real-Time Data Source 2m
• Code Structure 2m 15s
• Important API Methods 10m
• Schedule Strategy Logic 2m
• Fetch Historical Data 2m
• Place Orders 2m
• IBridgePy Course Link 10m
• Additional Reading 10m
• Frequently Asked Questions 10m

Automate Trading Strategy Using IBridgePy

This section includes a template for live trading which can be used on IBridgePy. The live trading strategy template is based on the strategies discussed in the course, modified to run in a live trading environment. A data subscription may be required based on the asset being traded in the strategy.

• Template Documentation 10m
• Live Trading Strategy Template 2m

Capstone Project

In this section, you will undertake a capstone project on real-world data. This project will require you to apply and practice the concepts learnt throughout this course.

• Capstone Project: Getting Started 10m
• Problem Statement 10m
• Frequently Asked Questions 10m
• Code Template and Data Files 2m
• Model Solution: Futures Trading Capstone Project 10m
• Capstone Solution Downloadable 2m

Course Summary

In this section, you will go through the different concepts you learnt throughout the course. You will also be able to download all the strategy notebooks as a zip file. You can use these notebooks and modify its contents to create your own unique strategy.

• Conclusion 3m 38s
• Python Codes and Data 2m

ABOUT THE AUTHOR

Andreas F. Clenow
Andreas F. Clenow is the Chief Investment Officer and a partner at ACIES Asset Management, where he oversees and directs investment strategies managing assets in the nine-figure range. Under his leadership, the ACIES group provides advisory services to multiple funds and client mandates, while also being actively engaged in diverse private equity ventures. Their portfolio spans a wide array of industries, including quantitative hedge funds, structured financial products, merchant cash advance initiatives, fracking operations, saltwater disposal systems, and real estate investments.

Beyond his role in asset management, Andreas is a highly regarded author whose work has shaped the understanding of systematic and quantitative trading worldwide. His international bestsellers include:

• Following the Trend (Wiley, 2013), a comprehensive guide on trend-following strategies.

• Stocks on the Move (2015), focusing on systematic approaches to equity trading.

• Trading Evolved (2019), which bridges the gap between quantitative finance and practical implementation.

With a blend of real-world expertise and a talent for simplifying complex concepts, Clenow has become a trusted voice for both professionals and aspiring traders who want to succeed in today’s markets.

WHY CHOOSE QUANTRA®?

Quantra® provides a structured, high-quality learning experience tailored for traders and investors who want to advance their skills. Its unique approach ensures:

• Faster Learning: Access well-designed modules that help you absorb complex ideas in less time.

• Learn From Experts: Courses are taught by real practitioners who actively trade and manage money in the markets.

• Flexible Pace: Study anytime, anywhere, and revisit material as often as you like.

• Hands-On Practice: Get access to real market data, coding exercises, and strategy models so you can apply concepts immediately.

With Quantra®, you don’t just learn theory—you practice trading strategies in real-world conditions.

STUDENT REVIEWS

Hans Nordemann – Founder, Norquest Capital (Huntington, United States)
“Although I already had a good understanding of how Futures work, this course was still a valuable and enriching experience. I particularly appreciated the way it was structured—the video lessons made it easy to grasp key concepts, while the PDF resources allowed me to dive deeper into the material. The integrated Jupyter notebooks were incredibly useful, enabling me to practice coding in real time as I progressed. The exercises were well thought out, making it possible to apply knowledge directly as I learned. Overall, this course gave me the confidence to pursue algorithmic trading more seriously in the near future.”

Niranjan Bhaskar – Member of Technical Staff 3, VMware (United States)
“My main objective was to gain a deeper understanding of the term structure of Futures, and this course explained it brilliantly. Everything else provided turned out to be an added bonus. The coding challenges were especially helpful, and the quizzes kept me on track by testing my knowledge. Backtesting and algorithm implementation were completely new to me, yet the course presented them in an approachable way. All in all, this program offered excellent insights into what’s really happening behind the scenes in Futures trading, and I now feel better equipped to continue my journey in this field.”