Guide to Creating A Successful Algorithmic Trading Strategy

Inbunden, Engelska, 2016

569 kr

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Turn insight into profit with guru guidance toward successful algorithmic trading A Guide to Creating a Successful Algorithmic Trading Strategy provides the latest strategies from an industry guru to show you how to build your own system from the ground up. If you're looking to develop a successful career in algorithmic trading, this book has you covered from idea to execution as you learn to develop a trader's insight and turn it into profitable strategy. You'll discover your trading personality and use it as a jumping-off point to create the ideal algo system that works the way you work, so you can achieve your goals faster. Coverage includes learning to recognize opportunities and identify a sound premise, and detailed discussion on seasonal patterns, interest rate-based trends, volatility, weekly and monthly patterns, the 3-day cycle, and much more—with an emphasis on trading as the best teacher. By actually making trades, you concentrate your attention on the market, absorb the effects on your money, and quickly resolve problems that impact profits.Algorithmic trading began as a "ridiculous" concept in the 1970s, then became an "unfair advantage" as it evolved into the lynchpin of a successful trading strategy. This book gives you the background you need to effectively reap the benefits of this important trading method. Navigate confusing marketsFind the right trades and make themBuild a successful algo trading systemTurn insights into profitable strategiesAlgorithmic trading strategies are everywhere, but they're not all equally valuable. It's far too easy to fall for something that worked brilliantly in the past, but with little hope of working in the future. A Guide to Creating a Successful Algorithmic Trading Strategy shows you how to choose the best, leave the rest, and make more money from your trades.

Produktinformation

Utgivningsdatum2016-03-15
Mått137 x 185 x 20 mm
Vikt240 g
FormatInbunden
SpråkEngelska
SerieWiley Trading
Antal sidor192
FörlagJohn Wiley & Sons Inc
ISBN9781119224747

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Finansiering inom Ekonomi och ledarskap

PERRY J. KAUFMAN is a leading investment consultant with more than forty years of experience in the equity and derivatives markets. He is the author of twelve trading books, including Trading Systems and Methods, Fifth Edition; A Short Course in Technical Trading; Smarter Trading; and Global Equity Investing. Perry continues to be a pioneer in the use of computer models for making financial decisions.

Acknowledgments xiChapter 1 A Brief Introduction: The Ground Rules 1My Objective 2The Ground Rules 3The Process 3Basic Trading Systems 6Chapter 2 The Idea 9Begin at the Beginning 9The Idea Must Match Your Trading Personality 11I Need a Fast Payout 12Withstanding the Test of Time 13Chapter 3 Don’t Make It Complex 15A Word about Noise 17Integrated Solutions versus Building Blocks 18More Rules, Fewer Opportunities, Less Success 19Chapter 4 Why Should I Care about “Robust”If I’m Trading Only Apple? 21Is It Robust? 22Another Dimension 25But Which Parameter Value Do I Trade? 27Multiple Time Frames 28Is One Trend Method Better Than Another? 29Chapter 5 Less is More 33Volatility Cuts Both Ways 34Bull Markets Happen When Everyone is in Denial 36Chapter 6 If You’re a Trend Follower, Don’t Use Profit-Taking or Stops 39The Dynamics of a Trend Strategy 42It’s Getting Harder to Find the Trend 42The Eurodollar Trend 43Where Do You Place Your Stop? 45What about Profit-Taking? 46Entering on a Pullback 47Which is the Best Trend-Following Method? 48Chapter 7 Take Your Profit If You’re a Short-Term Trader 51What’s Bad for the Trend is Good for the Short-Term Trader 53If You Can’t Use Stops for Trend Following, Can You Use Them for Short-Term Trading? 55There Are Always Exceptions 56Chapter 8 Searching for the Perfect System 59Looking at the Results 61How Much Data and How Many Trades Are Enough? 62So, Which Parameter Value Do I Pick? 63Chapter 9 Equal Opportunity Trading 65Calculating Position Size 66Avoid Low-Priced Stocks 66True Volatility-Adjusting Doesn’t Work for a Portfolio of Stocks 67Risk in Futures 67Target Risk 68Calculate the Rate of Return for the Portfolio 69Assigning Risk to Your Portfolio 72Multiple Strategies Are More Important 73Not So Easy for the Institutions 75Too Much of a Good Thing Can Be Bad 75Chapter 10 Testing—The Fork in the Road 79Let the Computer Solve It for You 81How Do You Evaluate the Results? 83What’s Feedback? 84Hidden Danger 86Forgotten History 86Use True Costs 87Use Dirty Data 89Back-Adjusted and Split-Adjusted Data 91The Different Performance Measures 92Interpreting the Ratio 92Not Everyone Uses the Information Ratio 93Number of Trades 94Expectations 94Chapter 11 Beating It into Submission 97Fixing Losing Periods 97Use the Average Results 99Squeezing the Life Out of a System 101Generalizing the Rules 105Chapter 12 More on Futures 107Leverage 108Conversion Factors for Calculating Returns 109Don’t Forget FX 110FX Quotes 111Real Diversification 113The Life Cycle of a Commodity Market 115Chapter 13 I Don’t Want No Stinkin’ Risk 117A Clear Plan 119Avoid Low-Priced Stocks 120Volatility Over 100%? 121Don’t Trade When Volatility is Very High 122Sidestepping Price Shocks 122Portfolio Drawdown 123Business Risk 124Gearing Back Up 125Chapter 14 Picking the Best Stocks (and Futures Markets)for Your Portfolio 127Asking Too Much 127The Practical Solution 128Ranking Success 130Rotation 132Chapter 15 Matching the Strategy to the Market 133Noise for Stocks 134Noise for ETFs 136Noise for Futures 136Chapter 16 Constructing a Trend Strategy 139The Trend 140Buying and Selling Rules 141First Tests 141Costs 143Expectations 143Satisfying the First Milestone 144Profit-Taking 146Volatility Filter 148Combining Rules 149Multiple Entries and Exits 150More Markets, More Robustness 151Stabilizing the Risk 152Do It Yourself 153Chapter 17 Constructing an Intraday Trading Strategy 155The Time Frame 156Outline 157Deciding on the Strategy 158Choosing a Strategy 158Directional or Mean Reverting 159The Basic Rules 160The Breakout Rule 161Profit Taking and Extreme Volatility 162What About the Trend? 163Chapter 18 Summary 167Resources 169System Development Platforms 169Blogs 170Periodicals 171Perry Kaufman Websites 172Index 173