Download PDF TRADING REGIME ANALYSIS The Probability of Volatility by Murray Gunn
Sinopsis
I started my career in the financial markets the way most people do. I went to university, earned an honours degree in economics and entered my first full-time job at the age of 22 believing that the markets obeyed the laws of macro- and microeconomics I had just spent the last four years studying. How wrong I was! I have subsequently come to realise, as I think many people do, that the financial markets do not actually behave according to the textbook laws of economics and capital market theory. In fact, my own personal belief now is that the markets can (and will!) do anything at any point of time and “prediction”, as we commonly think of it, is a totally impossible and futile exercise. However, I do not look back and think that my years studying messrs Fischer, Begg, Dornbusch, the theory of comparative advantage, the theory of purchasing power parity, the capital asset pricing model and a host of other “laws” was a complete waste of time. Not at all and I will tell you why.
Content
- There is NO Holy Grail
- The “Nature” of Markets
- Volatility Defined
- Orthodox Pattern Recognition
- Japanese Candlesticks
- Volume Considerations
- Previous Highs and Lows
- Elliott Wave Principle
- Moving Average Envelopes
- Bollinger Band Width
- The ADX
- Point and Figure Charts
- Rate of Change and Divergence
- Williams %R
- Donchian Channels
- A Nod to the Quants
- Implied Volatility Curves
- The Volatility Smile
- My Mate
- Trend-Following Performance Indicator
- Trading Regime Indicator
- An Eclectic Approach
- Applications for Traders and Investors
- Trading Regime Analysis for Economists and Fundamentalists
- Case Studies
- There is Still No Holy Grail
Download PDF Trading Systems A new approach to system development and portfolio optimisation by Emilio Tomasini
Sinopsis
Nowadays the term trading system conveys many meanings that can sometimes be misleading. A trading system is a precise set of rules that automatically defines, without any human discretionary intervention, the entry and the exit on the markets. Since rules are precise there is no doubt over when and where to apply them and this makes the trading system statistically testable. This means that we can figure out how the system performed in the past and how it could perform in the future with a certain degree of confidence. If you add a money management rule and a portfolio rule to the set of rules that define entry and exit on the market then you have a “trading strategy” or, in other terms, a completely automatic approach to the markets, given a starting capital. When we talk about money management we are not talking about what is commonly believed to be risk management; that is, where to place an initial stop loss or a target price and so on. We are talking instead about “how much” to invest on a particular trade; that is, the position sizing or how many shares and how many futures contracts to buy and sell. And if we move to the construction of a portfolio of systems on uncorrelated price series, then money management is foremost what we should deal with in order to maximise the portfolio returns relative to the risk. Thus this process is also called portfolio management.
Content
- What is a trading system?
- Design, test, optimisation and evaluation of a trading system
- How to develop a trading system step-by-step – using the example of the British pound/US dollar pair
- Two methods for evaluating the system’s predictive power
- The factors around your system
- Periodic re-optimisation and walk forward analysis
- Position sizing example, using the LUXOR system
- Dynamic portfolio construction
Download PDF THE HEDGE FUND EDGE MAXIMUM PROFIT / MINIMUM RISK GLOBAL TREND TRADING STRATEGIES by Mark Boucher
Sinopsis
This book is written for every investor or trader—large or small— who wants a methodology to consistently profit from the markets without incurring huge risks. In this era of exploding U.S. and global stock markets, many investors are focusing most of their attention on returns, not on risk. I can safely say that the methodologies advocated in this book offer highly pleasing potential returns. Our newsletter to clients has shown average annual returns of over 32 percent per year since 1992, without a losing year and, more significantly, without a drawdown of over 10 percent (this has more than doubled the total return of the Standard & Poor's 500 [S&P] over this period). During this same period, the funds I have consulted for have done even better in terms of both risk and return, with real money, investing millions of dollars globally. And in researching the concepts on which these methodologies are based, my colleagues and I have gone back to the early 1900s to verify their rigor. Thus while I am confident that the methodologies described here can enable you to pull consistently large profits from the markets, I also hope that the book sharpens your focus on two equally important factors of investment—risk and market understanding.
Content
- The Risk of Traditional Investment Approaches
- Liquidity—The Pump That Artificially Primes Investment Flows
- Index Valuation Gauges—Do Not Ignore the Price You Pay
- Macro Technical Tools—Making Sure the Tide Is Moving in the Right Direction
- Containing Risk—Sound Strategy and Money Management Methods and the Principles of Character Necessary to Achieve Them
- The Essence of Consistent Profits—Understanding
- Equity Selection Criteria Long and Short— How Profits Are Magnified
- Other Asset Classes and Models to Exploit Them
- Asset Allocation Models and Global Relative Strength Analysis—Constructing a Portfolio
