Trend Following
Реклама. ООО «ЛитРес», ИНН: 7719571260.
Оглавление
Ritholtz Barry. Trend Following
Praise for Trend Following
Foreword
Preface
Trend Following
Section I. Trend Following Principles
1. Trend Following
Speculation
Winning versus Losing
Investor versus Trader
Fundamental versus Technical
Discretionary versus Systematic
Hiding in Plain Sight
Change Is Life
Follow the Trend to the End When It Bends
Surf the Waves
Summary Food for Thought
2. Great Trend Followers
David Harding
Summary Food for Thought
Bill Dunn
Summary Food for Thought
John W. Henry
Summary Food for Thought
Ed Seykota
Summary Food for Thought
Keith Campbell
Summary Food for Thought
Jerry Parker
Salem Abraham
Summary Food for Thought
Richard Dennis
Summary Food for Thought
Richard Donchian
Summary Food for Thought
Jesse Livermore and Dickson Watts
Summary Food for Thought
Notes
3. Performance Proof
Absolute Returns
Volatility versus Risk
Drawdowns
Correlation
Zero Sum
George Soros
Berkshire Hathaway
Summary Food for Thought
4. Big Events, Crashes, and Panics
Event 1: Great Recession
Event 2: Dot-com Bubble
Event 3: Long-Term Capital Management
Event 4: Asian Contagion
Event 5: Barings Bank
Event 6: Metallgesellschaft
Event 7: Black Monday
5. Thinking Outside the Box
Baseball
Billy Beane
Bill James
Stats Take Over
Summary Food for Thought
6. Human Behavior
Prospect Theory
Emotional Intelligence
Neuro-Linguistic Programming
Trading Tribe
Curiosity, Not PhDs
Commitment
Summary Food for Thought
7. Decision Making
Occam’s Razor
Fast and Frugal Decision Making
Innovator’s Dilemma
Process versus Outcome versus Gut
Summary Food for Thought
8. The Scientific Method
Critical Thinking
Linear versus Nonlinear
Compounding
Summary Food for Thought
9. Holy Grails
Buy and Hope
Warren Buffett
Losers Average Losers
Avoiding Stupidity
Summary Food for Thought
10. Trading Systems
Risk, Reward, and Uncertainty
Five Questions
Your Trading System
Frequently Asked Questions
Summary Food for Thought
11. The Game
Acceptance
Don’t Blame Me
Decrease Leverage, Decrease Return
Fortune Favors the Bold
Section II. Trend Following Interviews
12. Ed Seykota
13. Martin Lueck
14. Jean-Philippe Bouchaud
15. Ewan Kirk
16. Alex Greyserman
17. Campbell Harvey
18. Lasse Heje Pedersen
Section III. Trend Following Research
19. A Multicentennial View of Trend Following
The Tale of Trend Following: A Historical Study
Return Characteristics over the Centuries
Risk Characteristics over the Centuries
Portfolio Benefits over the Centuries
Summary
Appendix: Included Markets and Relevant Assumptions
20. Two Centuries of Trend Following
Introduction
Trend Following on Futures since 1960
Extending the Time Series: A Case-by-Case Approach
Trend over Two Centuries
Conclusions
Notes
21. Trend Following. Quality, Not Quantity
Overview
Introduction to Different Trend Following Models
Diversification between Different Trend Following Models
Aspect’s Approach to Trend Following
Aspect’s Model Compared to Other Trend Following Models
Conclusion
Chart Disclaimer
Notes
22. Evaluating Trading Strategies
Testing in Other Fields of Science
Revaluating the Candidate Strategy
Two Views of Multiple Testing
False Discoveries and Missed Discoveries
Haircutting Sharpe Ratios
An Example with Standard and Poor’s Capital IQ
In Sample and Out of Sample
Trading Strategies and Financial Products
Limitations and Conclusions
Note
23. Black Box Trend Following – Lifting the Veil
Synopsis
The Strategies
Performance Results and Graphs
Sector Performance
Performance of Long versus Short Trades
Stability of Parameters
Are CTAs a Diversifier or a Hedge to the SP500?
Summary
Note
24. Risk Management
Risk
Risk Management
Optimal Betting
Hunches and Systems
Simulations
Pyramiding and Martingale
Optimizing – Using Simulation
Optimizing – Using Calculus
Optimizing – Using the Kelly Formula
Some Graphic Relationships Between Luck, Payoff, and Optimal Bet Fraction
Nonbalanced Distributions and High Payoffs
Almost-Certain-Death Strategies
Diversification
The Uncle Point
Measuring Portfolio Volatility: Sharpe, VaR, Lake Ratio, and Stress Testing
Stress Testing
Portfolio Selection
Position Sizing
Psychological Considerations
Risk Management – Summary
Note
25. How to GRAB a Bargain Trading Futures.. Maybe
Introduction
How to GRAB a Bargain Trading Futures
Following Trends Is Hard Work
Figuring Out How the Pros Do It
A Computer Model of the Pros
A Terrible Discovery
Solving the Mystery – Why Does the GRAB System Lose?
Often It Is Out of Sync with the Market
Worse Still, It Misses the Best Moves!
Maybe Being Profitable Means Being Uncomfortable?
GRAB Trading System Details
Buys on Break of Support, Sells on Break of Resistance
Testing Reveals Some Behavior I Do Not Expect
Difference between Parameter Values Defines Character of GRAB System
GRAB Trading System Code
Indicator Setup
Position Entry
Position Exit
Position Sizing
Note
26. Why Tactical Macro Investing Still Makes Sense
Introduction
Managed Futures
Defining Managed Futures and CTAs
Where Institutional Investors Position Managed Futures and CTAs
Skewness and Kurtosis
Data
Basic Statistics
Stocks, Bonds, Plus Hedge Funds or Managed Futures
Hedge Funds Plus Managed Futures
Stocks, Bonds, Hedge Funds, and Managed Futures
Conclusion
Appendix A
Appendix B
Appendix C. Review of Skewness and Kurtosis654
Notes
27. Carry and Trend in Lots of Places
Carry and Trend: Definitions, Data, and Empirical Study
Carry and Trend in Interest Rate Futures
Trend and Carry across Asset Classes
Carry and Trend across Rate Regimes
Conclusions
Notes
28. The Great Hypocrisy
Epilogue
Oz Behind the Curtain
Afterword
Trend Following Podcast Episodes
Bibliography
Acknowledgments
About the Author
WILEY END USER LICENSE AGREEMENT
Отрывок из книги
Wiley Trading Series
Founded in 1807, John Wiley & Sons is the oldest independent publishing company in the United States. With offices in North America, Europe, Australia, and Asia, Wiley is globally committed to developing and marketing print and electronic products and services for our customers’ professional and personal knowledge and understanding.
.....
This is my most radical and extended volume. Content changes and additions are everywhere. It’s now three books in one. I have added material in a way where you can take small steps or go for the deep dive – starting on almost any page. The tone is different, too. Toned down in some areas, toned up in others. Some of my younger blank and vinegar was expunged and reformulated to a new mature version, while staying true to the heart and soul of my origins. Last, some might complain there is too much information, too much content, and I am throwing the kitchen sink at the subject. If so, I will be happy with that criticism. Guilty as charged.
Now, if you’re looking for guru secrets or easy money riches – please head on back to that OxyContin bender. There is no such thing. If you’re in the mood for outlandish predictions, stories about the ultimate gut trader, or what it’s like to work inside a Wall Street bank, or if you want to complain life is unfair and beg for the government to save you with a bailout – no one can help you on your path to irrelevance. Or, worse yet, if you maintain faith in EMT, steadfastly refusing to consider overwhelming contradictory evidence, maybe you can burn me in effigy along with Bouchaud and Harding. If you fit any of these problematic profiles, there is a good chance my words, and my politically incorrect perspective, will give you an aneurysm. Turn me off now.
.....