Details

Alpha Trading


Alpha Trading

Profitable Strategies That Remove Directional Risk
Wiley Trading, Band 455 1. Aufl.

von: Perry J. Kaufman

54,99 €

Verlag: Wiley
Format: PDF
Veröffentl.: 04.02.2011
ISBN/EAN: 9781118001202
Sprache: englisch
Anzahl Seiten: 320

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Beschreibungen

From a leading trading systems developer, how to make profitable trades when there are no obvious trends <p>How does a trader find alpha when markets make no sense, when price shocks cause diversification to fail, and when it seems impossible to hedge? What strategies should traders, long conditioned to trend trading, deploy? In <i>Alpha Trading: Profitable Strategies That Remove Directional Risk</i>, author Perry Kaufman presents strategies and systems for profitably trading in directionless markets and in those experiencing constant price shocks. The book<br /> </p> <ul> <li>Details how to exploit new highs and lows</li> <li>Describes how to hedge primary risk components, find robustness, and craft a diversification program</li> <li>Other titles by Kaufman: <i>New Trading Systems and Methods, 4th Edition</i> and <i>A Short Course in Technical Trading</i>, both by Wiley</li> </ul> <p>Given Kaufman's 30 years of experience trading in almost every kind of market, his <i>Alpha Trading</i> will be a welcome addition to the trading literature of professional and serious individual traders for years to come.</p>
<p>Preface ix</p> <p><b>Chapter 1 Uncertainty 1</b></p> <p>Impact on Trading 2</p> <p>The Inevitable Price Shocks 3</p> <p>Why So Much about Price Shocks? 9</p> <p>Complexity and Contagion Risk 10</p> <p>The Ugly Side 11</p> <p>Taking Defensive Action 11</p> <p>Accepting Performance for What it is 13</p> <p><b>Chapter 2 The Importance of Price Noise 15</b></p> <p>Noise Explained 15</p> <p>Different Markets 19</p> <p>A Closer Look at Equity Index Markets 21</p> <p>Importance of Noise 22</p> <p>Determining the Strategy 25</p> <p>Capitalizing on the Trend of Noise 29</p> <p><b>Chapter 3 Pairs Trading: Understanding the Process 31</b></p> <p>The Process 32</p> <p>The Basics 32</p> <p>Target Volatility 54</p> <p>Home Builders 65</p> <p>Using ETFs 78</p> <p>Portfolio of Home Builder Pairs 84</p> <p>Execution and the Part-Time Trader 89</p> <p>Stop-Losses 89</p> <p>Trading Intraday 90</p> <p>Key Points to Remember 90</p> <p><b>Chapter 4 Pairs Trading Using Futures 93</b></p> <p>Futures 94</p> <p>Mechanics of a Pairs Trade in Futures 97</p> <p>Inflation Scares 100</p> <p>Trading Energy Pairs 102</p> <p>Revisiting Momentum with Energy Markets 105</p> <p>A Miniportfolio of Natural Gas Pairs 112</p> <p>The Inflation Pairs: Crude, the EURUSD, and Gold 119</p> <p>Equity Index Pairs 128</p> <p>Leveraging with Futures 138</p> <p>London Metals Exchange Pairs 141</p> <p>Volatility Filters 153</p> <p>Interest Rate Futures 154</p> <p>Summary 154</p> <p><b>Chapter 5 Risk-Adjusted Spreads 155</b></p> <p>Dell and Hewlett-Packard 155</p> <p>Trading Both Long-Term (Hedged) Trends and Short-Term Mean Reversion 159</p> <p>Gold, Platinum, and Silver 161</p> <p>The Platinum/Gold Ratio 163</p> <p>Implied Yield 170</p> <p>The Yield Curve 174</p> <p>Trend Trading of London Metal Exchange Pairs 179</p> <p>Summary 184</p> <p><b>Chapter 6 Cross-Market Trading and the Stress Indicator 187</b></p> <p>The Crossover Trade 188</p> <p>The Stress Indicator 189</p> <p>Gold, Copper, and Platinum 195</p> <p>Mining Companies 198</p> <p>Agribusiness Pairs 206</p> <p>The Major Energy Producers 208</p> <p>Portfolio of Cross-Market Energy Pairs 220</p> <p>Other Opportunities 226</p> <p>Some Final Notes 228</p> <p><b>Chapter 7 Revisiting Pairs Using the Stress Indicator 229</b></p> <p>Futures Markets and the Stress Indicator 229</p> <p>Equity Index Futures 230</p> <p>Interest Rate Futures 238</p> <p>The Portfolio Spreadsheet 245</p> <p>Summary of Pairs Trading 248</p> <p><b>Chapter 8 Traditional Market-Neutral Trading 249</b></p> <p>Home Builders 250</p> <p>Trend or Mean Reversion? 250</p> <p>Basic Market-Neutral Concept 251</p> <p>Volatility-Adjusting the Position Size 264</p> <p>Arbing the Dow: A Large-Scale Program 267</p> <p>Thoughts about Market-Neutral Trend Following 274</p> <p>Market Neutral Using Futures 274</p> <p>Market-Neutral Comments 277</p> <p><b>Chapter 9 Other Stat-Arb Methods 281</b></p> <p>Trade-Offs 282</p> <p>System Briefs 282</p> <p>New Highs and New Lows 290</p> <p>Merger Arb 290</p> <p>Creating Your Own Index Arbitrage 292</p> <p>Arbing the Dow 301</p> <p>Arbing the S&P 500—Index Arbitrage 302</p> <p>About the Companion Web Site 305</p> <p>About the Author 306</p> <p>Index 307</p>
“Whenever Perry Kaufman writes a new book . . .system traders take note. What separates Kaufman’s work from that of many other writers on trading strategies is that he goes into the nuts and bolts of designing and testing system candidates. . . The website that accompanies the book has spreadsheets that make the calculations necessary for setting up trades ever so much easier. . .  What Kaufman offers is different — essentially a do-it-yourself manual for the trader who wants to develop strategies that remove directional risk and unearth opportunities for creating alpha.” <i><b>(Seeking Alpha)</b></i>
<p><b>PERRY KAUFMAN</b> has more than thirty years of experience in financial engineering and hedge funds, and is well-known for his role in algorithmic trading. Since 1971, he has specialized in the development of fully systematic trading programs in derivatives and equities as well as risk management and leverage overlays. He is the author of <i>New Trading Systems and Methods, Fourth Edition</i>, <i>A Short Course in Technical Trading</i>, both from Wiley, and other books and articles that have gained worldwide acclaim.
<p>In the fall of 2008, the investment world received a rude reminder that forecasts and risk have more uncertainty than we would like to believe. From August 28 to the following March 9, the S&P 500 dropped 47%. Even more remarkable was that every investment was dragged down with it—hedge funds that were expected to offer diversification, commodity funds, real estate, art, and of course, every possible stock in nearly every country. When a market like this comes along, what is a trader to do? How to manage risk? Where are the hedges?</p> <p>The solution to all this risk and uncertainty, says world-renowned trading systems expert Perry Kaufman, is to take market positions that are not exposed to directional risk. Trading a spread or market neutral position takes price shocks out of the picture completely. In <i>Alpha Trading</i>, Kaufman shows how to make trading profits even when there are no market trends and price shocks rock the markets every day. His strategies, long shown to be profitable, are called statistical arbitrage, or stat-arb, and they can be traded by holding positions for a few days, as he suggests, or for milliseconds as implemented by the big investment houses. They include all forms of stat-arb trading, from spreads to yield-curve trading to program trading, and from the simplest pairs trade to large-scale market neutral strategies. Kaufman covers each one in detail, ultimately showing you how to change the shape of your risk and drastically increase your probability of profiting under any market conditions.</p> <p>With his decades of experience in almost every type of market, Kaufman's guidance, strategies, and lessons will be a welcome addition to the trading literature for professional and serious individual traders for years to come.</p> <p>A companion website includes spreadsheets to perform the calculations found in the book, including those for pairs trading, risk-adjusted spreads, cross-market trading, traditional market neutral trading, and other stat-arb methods.</p> <p><i>Alpha Trading</i> will help serious investors and traders make money when markets make no sense. With tested strategies and systems for profitably trading in directionless markets, Kaufman shows traders how to exploit new highs and lows, hedge primary risk components, find robustness, craft a diversification program, and much more, complete with spreadsheets to do the calculations. Each step of the process is explained and illustrated with examples of how the numbers should look.</p>

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