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  3. دانلود کتاب Following the Trend: Diversified Managed Futures Trading (Wiley Trading) - Original PDF
Following the Trend: Diversified Managed Futures Trading (Wiley Trading) - Original PDF

دانلود کتاب Following the Trend: Diversified Managed Futures Trading (Wiley Trading) - Original PDF

Author: Andreas F. Clenow

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An up-to-date and practical roadmap for diversified futures trading using CTA fund strategies In the newly revised second edition of Following the Trend: Diversified Managed Futures Trading, renowned hedge fund founder and asset manager Andreas F. Clenow presents a systematic asset management methodology in a way that allows readers to emulate the success of CTA industry professionals. In the book, you’ll find performance and attribution details for every year between 2002 and 2021 and detailed explanations of how the markets, industry, and strategy have evolved between the publication of the first edition and today. The author also offers: Detailed discussions of whether CTA hedge funds continue to show high internal correlation and exhibit homogeneous behaviour The impact of low and negative interest rate environments, massive inflows into equity markets, and the rise of quant trading firms Explorations of the combination of different types of trading models to enhance performance, complete with rulesets and fulsome analyses A ground-breaking and thoroughly incisive examination of the commodity trading advisor industry, Following the Trend: Diversified Managed Futures Trading is an essential volume for sophisticated retail traders, day traders, private investors, investment managers, portfolio managers, and institutional investors.

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This book is an excellent training manual for anyone interested in learn- ing how to make money as a trend follower. I know a bit about trend following because I was part of the famous Turtle experiment in the 1980s when Richard Dennis, the Prince of the Pits, showed the world that trading could be taught and that people with the right sort of training and perspective could make consistent returns that far exceeded normal investments. Ultimately, that ordinary people could learn to trade like the most successful hedge funds. I started as a 19-year-old kid and by the time I was 24 in 1987, I took home $8 million, which was my cut of the $31.5 million I earned for Richard Dennis as a trend follower. I even wrote a book about it, Way of the Turtle. It became a bestseller because many traders wanted to know the secrets of our success and to hear about the story first-hand which had been kept secret because of confiden- tiality agreements and our loyalty to Richard Dennis, a great man and a trading legend. I’d thought about writing a follow-on book a few times in the intervening years; something meatier and with more detail. My book was part-story and part-trading manual and I thought about writing a book that was all trad- ing manual. In Following the Trend, Andreas F. Clenow has written a trend-following trading manual I would be proud to put my own name on. I’m very picky too, so I don’t say this lightly

چکیده فارسی

 

این کتاب یک راهنمای آموزشی عالی برای هر کسی است که علاقه مند به یادگیری نحوه کسب درآمد به عنوان دنبال کننده روند است. من کمی در مورد دنبال کردن روند می دانم زیرا بخشی از آزمایش معروف لاک پشت در دهه 1980 بودم، زمانی که ریچارد دنیس، شاهزاده گودال ها، به دنیا نشان داد که تجارت می تواند آموزش داده شود و افرادی با نوع آموزش و دیدگاه مناسب می توانند انجام دهند. بازده ثابتی که بسیار بیشتر از سرمایه گذاری های معمولی است. در نهایت، مردم عادی می توانند مانند موفق ترین صندوق های تامینی معامله کنند. من به عنوان یک بچه 19 ساله شروع کردم و در سال 1987 در زمانی که 24 ساله بودم، 8 میلیون دلار به خانه بردم، که کمتر از 31.5 میلیون دلاری بود که برای ریچارد دنیس به عنوان دنبالگر روند به دست آوردم. من حتی یک کتاب در مورد آن نوشتم، راه لاک پشت. این کتاب به یک پرفروش تبدیل شد زیرا بسیاری از معامله گران می خواستند اسرار موفقیت ما را بدانند و از دست اول درباره داستانی که به دلیل قراردادهای محرمانه و وفاداری ما به ریچارد دنیس، یک مرد بزرگ و یک اسطوره تجارت، مخفی مانده بود، بشنوند. در این سال‌ها چند بار به نوشتن یک کتاب بعدی فکر کردم. چیزی گوشتی تر و با جزئیات بیشتر کتاب من جزوه داستانی و جزئی بود و به نوشتن کتابی فکر کردم که تماماً کتابچه راهنمای معاملاتی باشد. در دنبال کردن روند، آندریاس اف. کلنوو کتابچه راهنمای معاملاتی مطابق با روند نوشته است که با افتخار نام خودم را روی آن بگذارم. من هم بسیار حساس هستم، بنابراین این را ساده نمی گویم

 

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Author(s): Mark Galant , Brian Dolan

Publisher: For Dummies, Year: August 6, 2007

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v Foreword by Jerry Parker xi Foreword to the First Edition xiii Preface xv CHAPTER 1 Cross- Asset Trend Following with Futures 1 Diversified Trend Following in a Nutshell 3 The Traditional Investment Approach 4 The Case for Diversified Managed Futures 8 Criticism of Trend-Following Strategies 9 Managed Futures as a Business 11 Differences between Running a Trading Business and Personal Trading 15 Marketability of Your Strategy 15 Volatility Profile 16 Subscriptions and Redemptions 17 Psychological Difference 18 CHAPTER 2 Futures Data 21 Futures as an Asset Class 21 Futures Exchanges 21 Futures and Currency Exposure 21 C O N T E N T S CoNTENTS vi Futures Data 23 Dealing with Limited Life Span 23 Term Structure 25 Basis Gaps 27 The Change in How Continuations Are Used 30 Futures Sectors 31 Agricultural Commodities 31 Non-Agricultural Commodities 34 Currencies 37 Equities 39 Rates 40 CHAPTER 3 Constructing Diversified Futures Trading Strategies 45 They Are All Doing the Same Thing 46 Cracking open the Magic Trend-Following Black Box 49 The Investment Universe 49 Position Sizing 51 Slippage and Commission 54 Strategy Personality 54 Anatomy of a Trend-Following Strategy 55 CHAPTER 4 Two Basic Trend-Following Strategies 59 Strategy Performance 61 Correlations Between Strategies 68 Conclusions from the Basic Strategies 70 Combining the Strategies 71 Trend Filter 71 A Core Trend- Following Strategy 74 Controlling the Risk Level 76 Cash Management and the Effect of Free Government Money 78 Loading Fees 83 CHAPTER 5 In- Depth Analysis of Trend- Following Performance 85 Strategy Behaviour 85 Strategy Long-Term Performance 87 CoNTENTS vii Crisis Alpha 88 Trading Direction 93 Sector Impact 96 Putting Leverage into Context 99 As a Complement to an Equity Portfolio 103 CHAPTER 6 A Year- by- Year Review 107 How to Read This Chapter 108 2002 109 2003 117 2004 124 2005 130 2006 136 2007 142 2008 148 2009 156 2010 162 2011 167 2012 173 2013 179 2014 184 2015 190 2016 195 2017 200 2018 205 2019 211 2020 217 2021 223 Year- by-Year Conclusions 230 CHAPTER 7 Counter- Trend Trading 235 Building a Counter-Trend Model 236 Counter-Trend Performance 239 CHAPTER 8 Systematic Trading Without Time Series 243 Term Structure 244 Measuring Term Structure 247 Using Term Structure for Trading 249 Limitations of Term Structure Models 251 CoNTENTS viii CHAPTER 9 Tweaks and Improvements 253 Trading Synthetic Contracts 254 Correlation Matrices, Position Sizing, and Risk 255 optimisation and Its Discontents 257 Style Diversification 258 Volatility-Based Stop Loss 262 CHAPTER 10 Practicalities of Futures Trading 265 Required Asset Base 265 Going Live 267 Execution 268 Cash Management 269 Higher Volatility in Drawdown Mode 272 Portfolio Monitoring 273 Strategy Follow- Up 273 CHAPTER 11 Modelling Futures Strategies 275 Why You Need to Do Your own Research 275 A Word about Programming 276 Settling on a Research Environment 277 Python and Zipline 278 Sourcing Your Data 280 Data Storage 281 The Dangers of Backtesting 282 CHAPTER 12 Does Trend Following Work on Stocks? 283 Define Trend Following 283 What about ETFs? 285 CHAPTER 13 Trading for a Living 287 How Much Does a Good Trader Make? 287 Getting a Job in Trading 289 Trading Your own Money 292 Trading oPM 293 Reasons Not to Trade oPM 294 CoNTENTS ix CHAPTER 14 Final Words of Caution 297 Diminishing Returns of Futures Funds 297 Setting the Initial Risk Level 298 Going Live 300 Bibliography 303 About The Author 307 Index 309

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