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Index
Title
Copyright
Dedication
Acknowledgments
Preface
The Problem with Mutual Funds
Mutually Assured Destruction
Exchange Traded Funds
Equities is the Most Difficult Asset Class
Peer Pressure
Survivors
Divide and Conquer
Choice of Index
Market Capitalization
Sectors
Does Trend Following Work on Stocks?
The Problem with Trend Following on Stocks
Standard Trend Following Model on Stocks
All Time High Model
Trend Following on Single Stocks
The Semantics of Trend Following
The Momentum Effect
The Rational Behind Momentum Investing
The advantage of a Systematic Approach
Market Regime Filter
Ranking Stocks
Using Exponential Regression for Ranking Stocks
Additional Filters
Position Size
Position Rebalancing
When to Sell
Portfolio Rebalancing
A Complete Momentum Trading Strategy
The Exact Trading Rules
Trading the Strategy
The Initial Portfolio
Position Rebalancing
Portfolio Rebalance
Momentum Strategy Performance
Year by Year Review
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
Conclusions of Year by Year Review
Strategy Analysis
How important is the Trend Filter?
How important is Risk Parity?
How important is Momentum Period?
How important is Ranking Methodology?
How important is Position Size?
How important is Choice of Index?
A Random Ass Kicking of Wall Street
The S&P 500 Trading System
Simulating the Strategy
Data
Real Portfolio Simulation
Programming Language
Flexibility
Multi-Currency Support
Structuring the Simulation
Bibliography
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