Intraday Futures Trading, Volatility Filters, and Quantitative Risk Control

Summary

This interview describes David U. Ordiz’s progression from discretionary Bund futures trading to systematic research and portfolio management. His approach focuses on intraday algorithms seeking short-term trend or counter-trend moves across index futures, bonds, and commodities, with later experience in cryptocurrency markets. He explains that evaluating strategies with code and historical data helped him reduce subjectivity and assess whether they had an edge.

Ordiz says his firm used volatility filters to avoid opening trades in extreme conditions, aiming to limit slippage and manage risk. During the pandemic, it added further intraday filters. He also emphasizes diversification, money management, and statistical evaluation as ways to improve the chances of long-term survival. The interview provides career anecdotes, including strategy performance on a social trading platform, but no detailed rules, measured results, or independent validation. It is an illustrative account of one practitioner’s experience, not evidence that the described approach will work for other traders.

Key ideas

• Historical testing can help assess strategies whose discretionary rules make their edge difficult to judge.
• Volatility filters can suspend intraday trading during unusually volatile periods to manage risk and slippage.
• The trader describes algorithms targeting short-term trend and counter-trend moves in several futures markets.
• Diversification and money management are presented as important parts of systematic trading.
• The interview gives practitioner experience but no detailed strategy specifications or independently verified performance.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.