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Produktbild: Trend Following
Band 5

Trend Following How to Make a Fortune in Bull, Bear, and Black Swan Markets

Aus der Reihe Wiley Trading Series

43,99 €

inkl. gesetzl. MwSt., Versandkostenfrei


Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

20.06.2017

Verlag

John Wiley & Sons

Seitenzahl

688

Maße (L/B/H)

24,1/19,8/4,3 cm

Gewicht

1326 g

Auflage

5. Auflage

Sprache

Englisch

ISBN

978-1-119-37187-8

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

20.06.2017

Verlag

John Wiley & Sons

Seitenzahl

688

Maße (L/B/H)

24,1/19,8/4,3 cm

Gewicht

1326 g

Auflage

5. Auflage

Sprache

Englisch

ISBN

978-1-119-37187-8

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

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  • Produktbild: Trend Following
  • Foreword by Barry L. Ritholtz xv

    Preface xix

    Section I Trend Following Principles 1

    1 Trend Following 3

    Speculation 3

    Winning versus Losing 9

    Investor versus Trader 10

    Fundamental versus Technical 11

    Discretionary versus Systematic 15

    Hiding in Plain Sight 17

    Change Is Life 19

    Follow the Trend to the End When It Bends 22

    Surf the Waves 26

    2 Great Trend Followers 31

    David Harding 33

    Bill Dunn 37

    John W. Henry 49

    Ed Seykota 62

    Keith Campbell 69

    Jerry Parker 74

    Salem Abraham 75

    Richard Dennis 77

    Richard Donchian 83

    Jesse Livermore and Dickson Watts 87

    3 Performance Proof 91

    Absolute Returns 92

    Volatility versus Risk 93

    Drawdowns 99

    Correlation 104

    Zero Sum 106

    George Soros 108

    Berkshire Hathaway 111

    4 Big Events, Crashes, and Panics 117

    Event 1: Great Recession 119

    Event 2: Dot-com Bubble 132

    Event 3: Long-Term Capital Management 145

    Event 4: Asian Contagion 157

    Event 5: Barings Bank 161

    Event 6: Metallgesellschaft 164

    Event 7: Black Monday 167

    5 Thinking Outside the Box 177

    Baseball 178

    Billy Beane 180

    Bill James 181

    Stats Take Over 183

    6 Human Behavior 189

    Prospect Theory 190

    Emotional Intelligence 195

    Neuro-Linguistic Programming 197

    Trading Tribe 197

    Curiosity, Not PhDs 199

    Commitment 201

    7 Decision Making 205

    Occam's Razor 206

    Fast and Frugal Decision Making 207

    Innovator's Dilemma 210

    Process versus Outcome versus Gut 211

    8 The Scientific Method 215

    Critical Thinking 216

    Linear versus Nonlinear 217

    Compounding 222

    9 Holy Grails 225

    Buy and Hope 228

    Warren Buffett 229

    Losers Average Losers 231

    Avoiding Stupidity 236

    10 Trading Systems 247

    Risk, Reward, and Uncertainty 248

    Five Questions 252

    Your Trading System 263

    Frequently Asked Questions 264

    11 The Game 273

    Acceptance 274

    Don't Blame Me 276

    Decrease Leverage, Decrease Return 277

    Fortune Favors the Bold 278

    Section II Trend Following Interviews 281

    12 Ed Seykota 283

    13 Martin Lueck 295

    14 Jean-Philippe Bouchaud 311

    15 Ewan Kirk 319

    16 Alex Greyserman 335

    17 Campbell Harvey 353

    18 Lasse Heje Pedersen 367

    Section III Trend Following Research 381

    19 A Multicentennial View of Trend Following 383

    The Tale of Trend Following: A Historical Study 385

    Return Characteristics over the Centuries 388

    Risk Characteristics over the Centuries 398

    Portfolio Benefits over the Centuries 400

    20 Two Centuries of Trend Following 405

    Trend Following on Futures since 1960 408

    Extending the Time Series: A Case-by-Case Approach 412

    Trend over Two Centuries 417

    21 Trend Following 425

    Introduction to Different Trend Following Models 425

    Diversification between Different Trend Following Models 427

    Aspect's Approach to Trend Following 429

    Aspect's Model Compared to Other Trend Following Models 431

    22 Evaluating Trading Strategies 435

    Testing in Other Fields of Science 435

    Revaluating the Candidate Strategy 437

    Two Views of Multiple Testing 440

    False Discoveries and Missed Discoveries 442

    Haircutting Sharpe Ratios 444

    An Example with Standard and Poor's Capital IQ 445

    In Sample and Out of Sample 446

    Trading Strategies and Financial Products 447

    23 Black Box Trend Following-Lifting the Veil 451

    The Strategies 452

    Performance Results and Graphs 456

    Sector Performance 458

    Performance of Long versus Short Trades 461

    Stability of Parameters 463

    Are CTAs a Diversifier or a Hedge to the SP500? 466

    24 Risk Management 471

    Risk 471

    Risk Management 471

    Optimal Betting 473

    Hunches and Systems 473

    Simulations 474

    Pyramiding and Martingale 474

    Optimizing-Using Simulation 475

    Optimizing-Using Calculus 477

    Optimizing-Using the Kelly Formula 478

    Some Graphic Relationships Between Luck, Payoff, and Optimal Bet Fraction 479

    Nonbalanced Distributions and High Payoffs 479

    Almost-Certain-Death Strategies 480

    Diversification 482

    The Uncle Point 482

    Measuring Portfolio Volatility: Sharpe, VaR, Lake Ratio, and Stress Testing 483

    Stress Testing 484

    Portfolio Selection 485

    Position Sizing 485

    Psychological Considerations 486

    25 How to GRAB a Bargain Trading Futures ... Maybe 489

    How to GRAB a Bargain Trading Futures 490

    Following Trends Is Hard Work 490

    Figuring Out How the Pros Do It 491

    A Computer Model of the Pros 492

    A Terrible Discovery 493

    Solving the Mystery-Why Does the GRAB System Lose? 494

    Often It Is Out of Sync with the Market 494

    Worse Still, It Misses the Best Moves! 495

    Maybe Being Profitable Means Being Uncomfortable? 496

    GRAB Trading System Details 496

    Buys on Break of Support, Sells on Break of Resistance 496

    Testing Reveals Some Behavior I Do Not Expect 498

    Difference between Parameter Values Defines Character of GRAB System 498

    GRAB Trading System Code 500

    26 Why Tactical Macro Investing Still Makes Sense 503

    Managed Futures 504

    Defining Managed Futures and CTAs 507

    Where Institutional Investors Position Managed Futures and CTAs 507

    Skewness and Kurtosis 507

    Data 509

    Basic Statistics 510

    Stocks, Bonds, Plus Hedge Funds or Managed Futures 511

    Hedge Funds Plus Managed Futures 512

    Stocks, Bonds, Hedge Funds, and Managed Futures 513

    27 Carry and Trend in Lots of Places 533

    Carry and Trend: Definitions, Data, and Empirical Study 536

    Carry and Trend in Interest Rate Futures 539

    Trend and Carry across Asset Classes 541

    Carry and Trend across Rate Regimes 545

    28 The Great Hypocrisy 549

    Epilogue 569

    Afterword by Larry Hite 575

    Trend Following Podcast Episodes 579

    Endnotes 583

    Bibliography 621

    Acknowledgments 635

    About the Author 639

    Index 641