Perry J Kaufman

A Guide to Creating a Successful Algorithmic Trading Strategy

• Gebundenes Buch

Produktbeschreibung

THE NO-FRILLS APPROACH TO BUILDING SUCCESSFUL ALGORITHMIC TRADING SYSTEMS When Perry Kaufman started creating automated systems to trade in the early 1970s, the very idea was demeaned by professional traders as "ridiculous." Now, high-frequency trading is attacked for its unfair advantage that "steals money from the ordinary investor." In A Guide to Creating a Successful Algorithmic Trading Strategy, Perry puts the power in your hands by pulling back the curtain on algorithmic trading. Whether you're a professional trader or money manager looking to perfect your own automated trading system or an individual investor who wants financial control with today's technological advantages, this compact guide gives you a sophisticated approach to building successful algo trading systems in a user-friendly, how-to format. More than merely a step-by-step book to backtesting, this expert guide culls the author's vast experience over forty years, through all types of markets, to illustrate why achieving success in trading is not about buying and selling at a profit, but fully hinges on developing the right trades and then managing their risk. The proven guidelines inside for building a reliable trading system from the ground up give you the necessary theory and historical perspective to develop your system with confidence and the technical know-how to fine-tune it to your specific parameters and risk. Keep the expertise sought after the world over at your fingertips to: * Include the right depth of rules in your algorithms * Avoid common traps at each step of development and testing * Know exactly when your algo system is ready to stop paper trading and make real profits A cornerstone principle of this succinct guidebook is simplicity, and from the underlying trading best practices to designing the systems themselves, a straightforward approach is preferred and proven to win the day. Many algorithmic systems fail when they are finally launched into the market, but A Guide to Creating a Successful Algorithmic Trading Strategy will show you the pitfalls and process for greatly improving your ability to succeed. Once you've read this book you'll want to reread it again and again until you've made it part of your own way of working. From developing insights as a trader and turning those insights into profitable strategies all the way to the critical realities of trading for a living--this masterpiece guide boils down more than four decades of high-level experience into a clear framework that lets you compete with the experts.

---

Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.

Produktdetails

• Verlag: Wiley
• Seitenzahl: 192
• Erscheinungstermin: 1. Februar 2016
• Englisch
• Abmessung: 209mm x 132mm x 14mm
• Gewicht: 303g
• ISBN-13: 9781119224747
• ISBN-10: 1119224748
• Artikelnr.: 43706295

Autorenporträt

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.

Inhaltsangabe

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