A Guide to Creating a Successful Algorithmic Trading Strategy by Perry J. Kaufman -- Read -- Imperial Library of Trantor

Index

Cover Series Title Page Copyright Acknowledgments Chapter 1: A Brief Introduction: The Ground Rules

My Objective The Ground Rules The Process Basic Trading Systems

Chapter 2: The Idea

Begin at the Beginning The Idea Must Match Your Trading Personality I Need a Fast Payout Withstanding the Test of Time

Chapter 3: Don’t Make It Complex

A Word About Noise Integrated Solutions Versus Building Blocks More Rules, Fewer Opportunities, Less Success

Chapter 4: Why Should I Care about “Robust” If I’m Trading Only Apple?

Is It Robust? Another Dimension But Which Parameter Value Do I Trade? Multiple Time Frames Is One Trend Method Better Than Another?

Chapter 5: Less Is More

Volatility Cuts Both Ways Bull Markets Happen When Everyone Is in Denial

Chapter 6: If You’re a Trend Follower, Don’t Use Profit-Taking or Stops

The Dynamics of a Trend Strategy It’s Getting Harder to Find the Trend The Eurodollar Trend Where Do You Place Your Stop? What About Profit-Taking? Entering on a Pullback Which Is the Best Trend-Following Method?

Chapter 7: Take Your Profit If You’re a Short-Term Trader

Chapter 8: Searching for the Perfect System

Looking at the Results How Much Data and How Many Trades Are Enough? So, Which Parameter Value Do I Pick?

Chapter 9: Equal Opportunity Trading

Calculating Position Size Avoid Low-Priced Stocks True Volatility-Adjusting Doesn’t Work for a Portfolio of Stocks Risk in Futures Target Risk Calculate the Rate of Return for the Portfolio Assigning Risk to Your Portfolio Multiple Strategies Are More Important Not So Easy for the Institutions Too Much of a Good Thing Can Be Bad

Chapter 10: Testing—The Fork in the Road

Let the Computer Solve It for You How Do You Evaluate the Results? What’s Feedback? Hidden Danger Forgotten History Use True Costs Use Dirty Data Back-Adjusted and Split-Adjusted Data The Different Performance Measures Interpreting the Ratio Not Everyone Uses the Information Ratio Number of Trades Expectations

Chapter 11: Beating It into Submission

Fixing Losing Periods Use the Average Results Squeezing the Life Out of a System Generalizing the Rules

Chapter 12: More on Futures

Leverage Conversion Factors for Calculating Returns Don’t Forget FX FX Quotes Real Diversification The Life Cycle of a Commodity Market

Chapter 13: I Don’t Want No Stinkin’ Risk

A Clear Plan Avoid Low-Priced Stocks Volatility Over 100%? Don’t Trade When Volatility Is Very High Sidestepping Price Shocks Portfolio Drawdown Business Risk Gearing Back Up

Chapter 14: Picking the Best Stocks (and Futures Markets) for Your Portfolio

Asking Too Much The Practical Solution Ranking Success Rotation

Chapter 15: Matching the Strategy to the Market

Noise for Stocks Noise for ETFs Noise for Futures

Chapter 16: Constructing a Trend Strategy

The Trend Buying and Selling Rules First Tests Costs Expectations Satisfying the First Milestone Profit-Taking Volatility Filter Combining Rules Multiple Entries and Exits More Markets, More Robustness Stabilizing the Risk Do It Yourself

Chapter 17: Constructing an Intraday Trading Strategy

The Time Frame Outline Deciding on the Strategy Choosing a Strategy Directional or Mean Reverting The Basic Rules The Breakout Rule Profit Taking and Extreme Volatility What About the Trend?

Chapter 18: Summary Resources

System Development Platforms Blogs Periodicals Perry Kaufman Websites

Index EULA