My first introduction to futures trading came following graduate school as a wholesaler for an Austrian-based trend follower. Despite a 10%+ average annual return from 2002–2008, the program lost money in every July for its first eight years (average loss >6%). The pattern was unique to that month and illustrated a simple truth: trading low-volume markets is hard. Growth of high-frequency and systematic strategies has helped a little, yet almost every summer still brings a noticeable, measur...
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