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Systematic Trading: A unique new method for designing trading and investing systems - Original PDF

دانلود کتاب Systematic Trading: A unique new method for designing trading and investing systems - Original PDF

Author: Robert Carver

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This is not just another book with yet another trading system. This is a complete guide to developing your own systems to help you make and execute trading and investing decisions. It is intended for everyone who wishes to systematise their financial decision making, either completely or to some degree. Author Robert Carver draws on financial theory, his experience managing systematic hedge fund strategies and his own in-depth research to explain why systematic trading makes sense and demonstrates how it can be done safely and profitably. Every aspect, from creating trading rules to position sizing, is thoroughly explained. The framework described here can be used with all assets, including equities, bonds, forex and commodities. There is no magic formula that will guarantee success, but cutting out simple mistakes will improve your performance. You'll learn how to avoid common pitfalls such as over-complicating your strategy, being too optimistic about likely returns, taking excessive risks and trading too frequently. Important features include: - The theory behind systematic trading: why and when it works, and when it doesn't. - Simple and effective ways to design effective strategies. - A complete position management framework which can be adapted for your needs. - How fully systematic traders can create or adapt trading rules to forecast prices. - Making discretionary trading decisions within a systematic framework for position management. - Why traditional long only investors should use systems to ensure proper diversification, and avoid costly and unnecessary portfolio churn. - Adapting strategies depending on the cost of trading and how much capital is being used. - Practical examples from UK, US and international markets showing how the framework can be used.

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anuary 2009 IT WAS 23 JANUARY 2009 AND I WAS IN MY LONDON OFFICE. ALTHOUGH I had a desk overlooking the Thames I was usually too busy to appreciate the view. My day job was managing a portfolio of systematic trading strategies for a large hedge fund. But right now I was focusing on my own bank balance. Data was about to be released indicating how the UK economy had performed in the last three months of 2008. It would be bad news – the official confirmation that we were in recession – but nobody knew how bad. This didn’t mean extra work for me however, since a bank of computers would adjust our clients’ portfolios automatically when the news arrived. So I decided to devote some rare free time to trade my own money. With a stressful full-time job I was not a particularly active trader but very occasionally an opportunity came up that was too good to miss. This was one of them. In my research I found that historically when people’s fears were confirmed by terrible economic numbers was often the best time to buy; and this was potentially the worst news I’d seen in my lifetime. Careful analysis showed that the banks, hardest hit by the financial crisis, should rebound the most if things improved. I was particularly attracted to Barclays. I had traded for their investment bank a few years before and their balance sheet was in relatively good condition. But I also looked at investing in the other major UK banks. In all I was prepared to risk 10% of my portfolio on four banking stocks. Then the figures came out. They were worse than expected with GDP falling by 1.5%. Barclays dropped 15% almost immediately, taking it to the lowest level I had ever seen. I waited for the market to stabilise and prepared to trade. Then I hesitated. Everything had happened as expected – I should go ahead and buy. But what if this went wrong? What if the financial industry really was imploding, as everyone else seemed to think?

چکیده فارسی

 

ژانویه 2009 23 ژانویه 2009 بود و من در دفترم در لندن بودم. با وجود اینکه میزی مشرف به تیمز داشتم، معمولاً آنقدر شلوغ بودم که نمی توانستم از منظره دیدنی دیدن کنم. کار روزانه من مدیریت مجموعه ای از استراتژی های معاملاتی سیستماتیک برای یک صندوق تامینی بزرگ بود. اما در حال حاضر روی موجودی بانکی خودم تمرکز کردم. قرار بود داده‌هایی منتشر شود که نشان می‌دهد اقتصاد بریتانیا در سه ماه آخر سال 2008 چگونه عمل کرده است. این خبر بدی بود - تایید رسمی اینکه ما در رکود هستیم - اما هیچ‌کس نمی‌دانست چقدر بد است. با این حال، این به معنای کار اضافی برای من نبود، زیرا یک بانک از رایانه ها به صورت خودکار پورتفولیوی مشتریان ما را با رسیدن اخبار تنظیم می کند. بنابراین تصمیم گرفتم زمان آزاد کمیاب را به تجارت پول خود اختصاص دهم. با یک شغل تمام وقت پر استرس، من یک معامله گر فعال خاص نبودم، اما گاهی اوقات فرصتی پیش می آمد که خیلی خوب بود که نمی شد از دست داد. این یکی از آنها بود. در تحقیقاتم دریافتم که از نظر تاریخی، زمانی که ترس مردم با ارقام اقتصادی وحشتناک تأیید می‌شد، اغلب بهترین زمان برای خرید بود. و این به طور بالقوه بدترین خبری بود که در طول عمرم دیده بودم. تجزیه و تحلیل دقیق نشان داد که بانک‌هایی که بیشترین ضربه را از بحران مالی وارد کرده‌اند، در صورت بهبود اوضاع باید بیشترین بازگشت را داشته باشند. من به ویژه جذب بارکلیز شدم. من چند سال قبل برای بانک سرمایه گذاری آنها معامله کرده بودم و ترازنامه آنها وضعیت نسبتا خوبی داشت. اما من به سرمایه گذاری در سایر بانک های بزرگ بریتانیا نیز نگاه کردم. در کل من آماده بودم تا 10 درصد از پرتفوی خود را روی چهار سهام بانکی ریسک کنم. سپس ارقام بیرون آمدند. آنها بدتر از حد انتظار بودند با کاهش 1.5 درصدی تولید ناخالص داخلی. بارکلیز تقریباً بلافاصله 15 درصد سقوط کرد و آن را به پایین‌ترین سطحی که تا به حال دیده بودم رساند. منتظر ماندم تا بازار تثبیت شود و آماده معامله شدم. بعد تردید کردم. همه چیز همانطور که انتظار می رفت اتفاق افتاد - من باید ادامه دهم و بخرم. اما اگر این اشتباه پیش رفت چه؟ اگر به نظر می رسد که همه فکر می کنند، صنعت مالی واقعاً در حال فروپاشی بود؟

 

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Author(s): Robert Carver

Publisher: Harriman House, Year: 2015

ISBN: 0857194453,9780857194459

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xiii Contents Preface vii Systematic trading and investing vii Who should read this book viii The technical stuff x What is coming xi Introduction 1 January 2009 1 September 2008 2 Why you should start system trading now 3 It’s dangerous out there 5 Why you should read this book 6 Part One. Theory 9 Chapter One. The Flawed Human Brain 11 Chapter overview 11 Humans should be great traders, but... 11 Simple trading rules 16 Sticking to the plan 16 Good system design 19 Chapter Two. Systematic Trading Rules 25 Chapter overview 25 What makes a good trading rule 26 When trading rules don’t work 29 Why certain rules are profitable 30 Classifying trading styles 38 Achievable Sharpe ratios 46 Conclusion 48 Part Two. Toolbox 49 Chapter Three. Fitting 51 Chapter overview 51 The perils of over-fitting 52 Some rules for effective fitting 65 How I choose my rules 67 xivSystematic Trading Chapter Four. Portfolio Allocation 69 Chapter overview 70 Optimising gone bad 70 Saving optimisation from itself 75 Making weights by hand 77 Incorporating Sharpe ratios 85 Part Three. Framework 91 Chapter Five. Framework Overview 93 Chapter overview 93 A bad example 94 Why a modular framework? 96 The elements of the framework 98 Chapter Six. Instruments 101 Chapter overview 102 Necessities 102 Instrument choice and trading style 103 Access 105 Summary of instrument choice 107 Chapter Seven. Forecasts 109 Chapter overview 110 What makes a good forecast 110 Discretionary trading with stop losses 114 The asset allocating investor’s ‘no-rule’ rule 116 Two example systematic rules 117 Adapting and creating trading rules 120 Selecting trading rules and variations 122 Summary of trading rules and forecasts 122 Chapter Eight. Combined Forecasts 125 Chapter overview 126 Combining with forecast weights 126 Choosing the forecast weights 126 Getting to 10 128 Capped at 20 132 Summary for combining forecasts 133 Chapter Nine. Volatility targeting 135 Chapter overview 136 The importance of risk targeting 136 Setting a volatility target 137 Rolling up profits and losses 149 What percentage of capital per trade? 150 Summary of volatility targeting 151 Chapter Ten. Position Sizing 153 Chapter overview 154 How risky is it? 154 Volatility target and position risk 158 From forecast to position 159 xv Contents Summary for position sizing 161 Chapter Eleven. Portfolios 165 Chapter overview 166 Portfolios and instrument weights 166 Instrument weights – asset allocators and systems traders 167 Instrument weights – semi-automatic trading 169 Instrument diversification multiplier 169 A portfolio of positions and trades 171 Summary for creating a portfolio of trading subsystems 175 Chapter Twelve. Speed and Size 177 Chapter overview 178 Speed of trading 178 Calculating the cost of trading 179 Using trading costs to make design decisions 187 Trading with more or less capital 199 Determining overall portfolio size 202 Summary of tailoring systems for costs and capital 203 Part Four. Practice 207 Chapter Thirteen. Semi-automatic Trader 209 Chapter overview 209 Who are you? 209 Using the framework 210 Process 216 Trading diary 219 Chapter Fourteen. Asset Allocating Investor 225 Chapter overview 225 Who are you? 225 Using the framework 226 Weekly process 233 Trading diary 234 Chapter Fifteen. Staunch Systems Trader 245 Chapter overview 245 Who are you? 245 Using the framework 246 Daily process 254 Trading diary 255 Epilogue. What Makes a Good Systematic Trader? 259 Glossary 261 Appendices 273 Appendix A. Resources 275 Further reading 275 Sources of free data 277 Brokers and platforms 278 Automation and coding 279 xviSystematic Trading Appendix B. Trading Rules 281 The A and B system: Early profit taker and early loss taker 281 The exponentially weighted moving average crossover (EWMAC) rule 282 The carry trading rule 285 Appendix C. Portfolio Optimisation 289 More details on bootstrapping 289 Rule of thumb correlations 291 Appendix D. Framework Details 297 Rescaling forecasts 297 Calculation of diversification multiplier 297 Calculating price volatility from historic data 298 Acknowledgements 301 Index 303

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