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Quantitative trading strategies

Author: Kestner, Lars N. Publisher: McGraw-Hill, 2003.Language: EnglishDescription: 344 p. : Graphs/Ill. ; 24 cm.ISBN: 0071412395Type of document: BookBibliography/Index: Includes index
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Item type Current location Collection Call number Status Date due Barcode Item holds
Book (short loan) Asia Campus
Textbook Collection
Print HG4661 .K47 2003
(Browse shelf)
Available 900095443
Book Asia Campus
Textbook Collection
Print HG4661 .K47 2003
(Browse shelf)
Consultation only 900095435
Total holds: 0

Includes index


Quantitative trading strategies ACKNOWLEDGMENTS PROLOGUE XIII 1 VI PART ONE STRUCTURAL FOUNDATIONS FOR IMPROVING TECHNICAL TRADING PERFORMANCE 1 C h n p t e r l Introduction to Quantitative Trading: How Statistics Can Help Achieve Trading Success 3 Trading Strategies and the Scientific Method 3 The Origins of This Book 5 New Markets and Methods of Trading 6 The Scientific Bent and Quantitative Trading 6 The Pioneers of Quantitative Trading: W. D. Gann, Richard Donchian, Welles Wilder, Thomas DeMark 9 The Recent Explosion of Quantitative Trading 10 Today's Quantitative Traders: Monroe Trout, John Henry, Ken Griffen, Jim Simons 11 Why Quantitative Trading Is Successful 14 Birth of a New Discipline 2 1 Technology and Inefficiencies in Financial Markets 30 Merits and Limitations of Fundamental Analysis 33 Chapter 2 An Introduction to Statistics: Using Scientific Methods to Develop Cutting Edge Trading Strategies 39 Measuring the Markets Using Statistics 39 Mean and Average of Returns and Prices 40 Measuring the Dispersion of Returns 40 Correlation 42 The Usehlness of the Normal Distribution 46 The Irregularity of Market Volatility 49 The Range of Volatilities 50 The Lognormality of Market Prices 53 Chapter 3 Creating Trading Strategies: The Building Blocks That Generate Trades 55 k The Need to Explain Price Changes 55 Trading Strategy Entries 56 Trend Following Techniques 56 Moving Averages 57 Channel Breakouts 60 Momentum 62 Volatility Breakouts 63 Price Oscillators 66 Relative Strength Index 66 Stochastics 66 Moving Average ConvergenceIDivergence 68 Price Patterns 69 Trading Strategy Exits 69 Projit Targets 70 Trailing Stops 70 Fail Safe Exits 72 Trading Strategy Filters 72 Creating New Strategies: QuantifL-ingRules from Trading Theories The Need forTrading Systems and a Trading Plan 73 Chapter 4 73 Evaluating Trading Strategy Performance: How to Correctly Assess Performance 75 Popper's Theories Applied to Trading Flaws in Performance Measures 76 75 Net Profit 76 Profit Factor 78 Profit to Drawdown 80 Percent of Profitable Trades 82 Better Measures of Trading Performance 84 The Sharpe Ratio 84 The K-Ratio 85 Comparison of Benchmark Strategies 90 Performance Evaluation Templates 90 Summary Page 90 Breakdown Statistics 94 The "Half Life" of Strategy Performance 94 What to Do When Strategies Deteriorate 97 Gold Mines of Bad Performance 97 Other Testing Methods 98 The Fallacy of Magical Thinking 98 Performance of Portfolios: Maintaining Returns While Decreasing Risk The Lessons Learned from a Casino 99 The Benefits of Diversification 100 Don't Put All Your Eggs in One Basket 102 The Best Diversification: Across Markets 104 Better Diversification: Across Uncorrelated Strategies 105 Good Diversification: Across Parameters Within Strategies 106 The Trader's Holy Grail 107 Chapter 6 Optimizing Parameters and Filtering Entry Signals: Improving the Basic Strategy 109 Optimizing Trading Signals to Enhance Profitability 109 Optimization Versus Curve Fitting 110 Measuring the Value of Optimization 112 Filtering to Enhance Profitability 117 Similarities of Trade Filters: ADX and VHF 117 Measuring the Value of Filtering 1 17 Regime Switching Strategies 118 Filtering Using the Profitability of the Last Trade 121 99 Trading the Equity Curve 123 How Often Do Markets Trend? 124 PART TWO HARNESSING THE POWER OF QUANTITATIVE TECHNIQUES TO CREATE A TRADING PROGRAM 127 Chapter 7 Dissecting Strategies Currently Available: What Works and What Doesn 't 129 Testing Stocks and Futures Markets 129 Constructing Continuous Futures Contracts 130 Normalizing Stock and Futures Volatility 133 Dealing with Commission and Slippage 139 Performance gf Popular Strategies 139 Channel Breakout 139 Dual Moving Average Crossover 145 Momentum 150 Volatility Breakout 155 Stochastics 155 Relative Strength Index 165 Moving Average Convergence/Divergence 170 A Baseline for Future Trading Strategies 175 Chapter 8 New Ideas of Entries, Exits, and Filters: Enhancing Trading Performance Using Cutting Edge Techniques 181 A Wolf in Sheep's Clothing 181 The Song Remains the Same: Similarities of Oscillators 11 New Trading Techniques 182 Kestner k Moving Average System 183 Second Order Breakout 183 MACD Histogram Retracement 19 1 Divergence Index 197 Moving Average Confluence Method 202 Normalized Envelope Indicator 208 Multiple Entry Oscillator System 2 13 Adjusted Stochastic 2 19 Three in a Row 222 182 Volume Reversal Strategy 227 Saitta 5 Support and Resistance Strategy The Value of Stop Loss Exits 236 Pyramiding vs. Profit Taking 242 New Trend Filters 243 Chapter 9 233 New Ideas of Markets: Trading Doesn't End with Stocks and Futures 247 The World of Relative Value Trading 247 Pure Arbitrage 248 Bottom-Up Relative Value 249 Top-Down Relative Value 250 Macro Trading 250 Introducing Relative Value Markets 25 1 Yield curve Markets 25 1 Credit Spreads 253 Equity Volatility 257 Relative Performance of Stock Indices 259 Single Stock Pairs 263 Commodity Substitutes 264 Stock and Commodity Market Relationships 265 Developing Strategies for Relative Value Markets 266 Applying Quantitative Trading Strategies to Relative Value Markets Channel Breakout 269 Dual Moving Average Crossover 269 Momentum 269 Stochastics 272 Relative Strength Index 272 Dzference from 100-Day Moving Average 277 Difference Between 10- and 40-Day Moving Average 280 New Markets, New Opportunities 283 Chapter 10 Investing in the SandP 500: Beating a Buy and Hold Return Using Quantitative Techniques 289 267 The Popularity of Equities 289 The Importance of Interest Rates in Predicting Equity Prices Testing Medium-Term Strategies 294 Short-Term Trading Methodologies 295 292 Index Funds and ETFs 295 Day o Week and Day o Month Eflects 297 f f Using the Volatility Index to Trade the SandP 500 Chapter 11 299 New Techniques in Money Management: Optimizing the Results of Our Strategies 305 The Importance of Money Management 305 The Relationship Between Leverage and Returns 306 The Danger of Leverage 3 11 Leverage and the Trader with an Edge 3 11 Leverage and the Trader with No Edge 3 12 Leverage in the Real World 3 13 The Kelly Criteria 3 15 Vince's Optimal f 3 16 An Improved dethod for Calculating Optimal Leverage The Role of Dollar and Percentage Returns 3 16 The Paradox of Optimal Leverage 3 19 Chapter 12 Solving the Trading Puzzle: Creating, Testing, and Evaluating a New Trading Strategy 32 1 Creating the Strategy 32 1 Testing the New Strategy 324 Determining Optimal Leverage 325 IN CONCLUSION INDEX 331 3 16 329

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