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Index
Foreword
Preface
Acknowledgments
Part I
1 Trend Following
The Market
Winning Versus Losing
Investor Versus Trader
Fundamental Versus Technical
Discretionary Versus Mechanical
In Plain Sight
Change
Modus Operandi: Price
Follow the Trend
Loss
Conclusion
2 Great Trend Followers
David Harding
Bill Dunn
John W. Henry
Ed Seykota
Keith Campbell
Jerry Parker
Salem Abraham
Richard Dennis
Richard Donchian
Jesse Livermore and Dickson Watts
Part II
3 Performance Data
Absolute Returns
Fear of Volatility and Confusion with Risk
Drawdowns
Correlation
Zero Sum Nature of the Markets
George Soros and Zero Sum
4 Big Events, Crashes, and Panics
Event #1: 2008 Stock Market Bubble and Crash
Day-by-Day Analysis
Event #2: 2000–2002 Stock Market Bubble
Event #3: Long-Term Capital Management Collapse
Event #4: Asian Contagion
Event #5: Barings Bank
Event #6: Metallgesellschaft
Final Thoughts
The Always “New” Coming Storm
5 Baseball: Thinking Outside the Batter’s Box
The Home Run
Moneyball and Billy Beane
John W. Henry Enters the Game
Red Sox 2003–2007
Part III
6 Human Behavior
Prospect Theory
Emotional Intelligence: Daniel Goleman
Charles Faulkner
Ed Seykota’s Trading Tribe
Curiosity Is the Answer, Not Degrees
Commitment to Habitual Success
7 Decision Making
Occam’s Razor
Fast and Frugal Decision Making
The Innovator’s Dilemma
Process Versus Outcome
8 Science of Trading
Critical Thinking
Chaos Theory: Linear Versus Nonlinear
Compounding
9 Holy Grails
Buy and Hold
Warren Buffett
Losers Average Losers
Crash and Panic
Analysis Paralysis
Final Thoughts
Part IV
10 Trading Systems
Risk, Reward, and Uncertainty
Five Questions for a Trading System
Your Trading System
Frequently Asked Questions
11 The Game
Slow Acceptance
Blame Game
Understand the Game
Decrease Leverage; Decrease Return
Fortune Favors the Bold
Afterword
Acceptance
Inefficient Markets
Trend Following Critics
Critic Geetesh Bhardwaj
Final Thoughts
Foreword to the First Edition by Charles Faulkner
About Charles Faulkner
Appendices
Introduction to Appendices
A Trend Following for Stocks
Does Trend Following Work on Stocks?
Short Selling
Tax Efficiency
The Capitalism Distribution: Observations of Individual Common Stock Returns, 1983–2006
Charts
B Performance Guide
Trend Following Historical Performance Data
Abraham Trading Company
Campbell & Company, Inc.—Financial Metals & Energy—Large Program
Chesapeake Capital Corporation—Diversified Program
Clarke Capital Management, Inc.—Millennium Program
Drury Capital, Inc.—Diversified Trend Following Program
DUNN Capital Management, Inc.—World Monetary Assets
Eckhardt Trading Company—Standard Program
John W. Henry & Company, Inc.—Financials and Metals Program
Millburn Ridgefield Corporation—Diversified Program
Rabar Market Research, Inc.—Diversified
Sunrise Capital Partners LLC—Expanded Diversified
Superfund
Transtrend B.V.—Diversified Trend Program—Enhanced Risk (USD)
Winton Capital Management Ltd—Diversified Winton Futures Fund
Risk Disclaimer
C Short-Term Trading
D Personality Traits of Successful Traders
E Trend Following Models
F Trading System Example from Mechanica
System Background Information
System Details
A Canadian Dollar Trade
System Performance
Summary
G Critical Questions for Trading Systems
Resources
Endnotes
Bibliography
Trend following
Index
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