Trend following how to make a fortune in bull, bear and black swan markets
"The legendary trading strategy in depth from A to Z Michael Covel's Trend Following reveals the truth about a trading strategy that makes money in up, down and surprise markets. By applying straightforward and repeatable rules, anyone can learn to make money in the markets whether bull,...
| Otros Autores: | |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken, New Jersey :
Wiley
2017.
|
| Edición: | Fifth edition |
| Colección: | Wiley trading.
|
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009630092906719 |
Tabla de Contenidos:
- Cover
- Title Page
- Copyright
- Contents
- Foreword
- Preface
- 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
- 2 Great Trend Followers
- David Harding
- Bill Dunn
- Extreme Performance Numbers
- Be Nimble
- Early Years
- Life inside Dunn Capital
- No Profit Targets
- Check Your Ego
- John W. Henry
- Prediction Is Futile
- On the Farm
- Worldview Philosophy
- What You Think You Know Gets You in Trouble
- Starting with Research
- On the Record
- Change Is Overrated
- Fade the Fed
- Trading Retirement
- Ed Seykota
- Performance
- The Secret
- Never Mind the Cheese
- System Dynamics
- FAQs
- Students
- Keith Campbell
- Campbell versus Benchmarks
- Correlation and Consistency
- Jerry Parker
- Skeptics
- Intelligence
- Salem Abraham
- Richard Dennis
- Turtle Traders
- Selection Process
- Richard Donchian
- Personification of Persistence
- Students
- Jesse Livermore and Dickson Watts
- 3 Performance Proof
- Absolute Returns
- Volatility versus Risk
- Volatility
- Drawdowns
- Correlation
- Zero Sum
- George Soros
- Don't Blame Zero-Sum
- Berkshire Hathaway
- 4 Big Events, Crashes, and Panics
- Event 1: Great Recession
- Day-to-Day Analysis
- Event 2: Dot-com Bubble
- Drawdowns and Recoveries
- Enron, California, and Natural Gas
- September 11, 2001
- Event 3: Long-Term Capital Management
- The Losers
- The Winners
- Footnotes to LTCM
- Event 4: Asian Contagion
- Niederhoffer on Trend Following
- Event 5: Barings Bank
- Who Won?
- Event 6: Metallgesellschaft
- Event 7: Black Monday
- 5 Thinking Outside the Box
- Baseball.
- Billy Beane
- Bill James
- Stats Take Over
- 6 Human Behavior
- Prospect Theory
- Emotional Intelligence
- Neuro-Linguistic Programming
- Trading Tribe
- Curiosity, Not PhDs
- Commitment
- 7 Decision Making
- Occam's Razor
- Fast and Frugal Decision Making
- Innovator's Dilemma
- Process versus Outcome versus Gut
- 8 The Scientific Method
- Critical Thinking
- Linear versus Nonlinear
- Compounding
- 9 Holy Grails
- Buy and Hope
- Warren Buffett
- Losers Average Losers
- Avoiding Stupidity
- 10 Trading Systems
- Risk, Reward, and Uncertainty
- Five Questions
- What Do You Buy or Sell?
- How Much Do You Buy or Sell?
- When Do You Buy or Sell?
- When Do You Get Out of a Loser?
- When Do You Get Out of a Winner?
- Your Trading System
- Frequently Asked Questions
- FAQ 1 : Starting Capital
- FAQ 2: Trend Following for Stocks
- FAQ 3: Computers and Curve Fitting
- FAQ 4: Day Trading Limits
- FAQ 5: Wrong Way to View a Trade
- 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
- Interest Rate Regime Dependence
- Inflationary Environments
- Financial Bubbles and Crisis
- Market Divergence
- Risk Characteristics over the Centuries
- Portfolio Benefits over the Centuries
- Summary
- Assumptions and Approximations
- 20 Two Centuries of Trend Following
- Introduction
- Trend Following on Futures since 1960
- Measuring Trends
- The Pool of Assets
- The Results.
- Extending the Time Series: A Case-by-Case Approach
- Currencies
- Government Rates
- Indexes and Commodities
- Validating the Proxies
- Trend over Two Centuries
- Results of the Full Simulation
- A Closer Look at the Signal
- A Closer Look at the Recent Performance
- Interpretation
- Conclusions
- 21 Trend Following
- 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
- 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
- 23 Black Box Trend Following-Lifting the Veil
- Synopsis
- The Strategies
- Strategy Mechanics
- Markets Traded
- Data Notes
- Trade Sizing
- Sector Weights
- Time Span
- Commission and Slippage
- Interest
- Fees
- 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
- 24 Risk Management
- Risk
- Risk Management
- The Coin Toss Example
- Optimal Betting
- Hunches and Systems
- Fixed Bet and Fixed-Fraction Bet
- 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
- 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
- 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
- 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
- 28 The Great Hypocrisy
- Epilogue
- Afterword by Larry Hite
- Trend Following Podcast Episodes
- Endnotes
- Bibliography
- Acknowledgments
- About the Author
- Index
- EULA.
