
A Guide to Creating A Successful Algorithmic Trading Strategy
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Content
- Intro
- 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
- What's Bad for the Trend Is Good for the Short-Term Trader
- If You Can't Use Stops for Trend Following, Can You Use Them for Short-Term Trading?
- There Are Always Exceptions
- 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
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