CTA Strategy Guide: Trend Following, Futures Arbitrage, and Python Implementation
CTA (Commodity Trading Advisor) is a broad category of quantitative strategies that trade futures. Despite the name suggesting commodities only, CTA strategies cover equity index futures, treasury futures, and FX futures as well. The space splits into two camps: trend following (go long when prices rise, short when they fall) and statistical arbitrage (find mispricings between related instruments and bet on convergence). This article covers both, with Python code for each. ...