Following the Trend

Andreas F. Clenow 지음

Wiley 2012년 11월 21일 출간

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During bull and bear markets, there is a group of hedge funds and professional traders which have been consistently outperforming traditional investment strategies for the past 30 odd years. They have shown remarkable uncorrelated performance and in the great bear market of 2008 they had record gains. These traders are highly secretive about their proprietary trading algorithms and often employ top PhDs in their research teams. Yet, it is possible to replicate their trading performance with relatively simplistic models. These traders are trend following cross asset futures managers, also known as CTAs. Many books are written about them but none explain their strategies in such detail as to enable the reader to emulate their success and create their own trend following trading business, until now.Following the Trend explains why most hopefuls fail by focusing on the wrong things, such as buy and sell rules, and teaches the truly important parts of trend following. Trading everything from the Nasdaq index and T-bills to currency crosses, platinum and live hogs, there are large gains to be made regardless of the state of the economy or stock markets. By analysing year by year trend following performance and attribution the reader will be able to build a deep understanding of what it is like to trade futures in large scale and where the real problems and opportunities lay.Written by experienced hedge fund manager Andreas Clenow, this book provides a comprehensive insight into the strategies behind the booming trend following futures industry from the perspective of a market participant. The strategies behind the success of this industry are explained in great detail, including complete trading rules and instructions for how to replicate the performance of successful hedge funds. You are in for a potentially highly profitable roller coaster ride with this hard and honest look at the positive as well as the negative sides of trend

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Foreword xiPreface xiiiAcknowledgements xvii1 CROSS-ASSET TREND FOLLOWING WITH FUTURES 1Diversifi ed Trend Following in a Nutshell 2The Traditional Investment Approach 4The Case for Diversifi ed Managed Futures 7Criticism of Trend-Following Strategies 8Managed Futures as a Business 10Differences Between Running a Trading Business and Personal Trading 12Marketability of your strategy 13Volatility profi le 13Subscriptions and redemptions 15Psychological difference 152 FUTURES DATA AND TOOLS 17Futures as an Asset Class 17Futures exchanges 21Futures and currency exposure 22Futures Data 24Dealing with limited life span 24Term structure 26Basis gaps 28Futures Sectors 30Agricultural commodities 31Non-agricultural commodities 33Currencies 37Equities 38Rates 39Required Tools 42A word about programming 42Development environment 42Data vendors 44Data storage 443 CONSTRUCTING DIVERSIFIED FUTURES TRADING STRATEGIES 45They Are All Doing the Same Thing 45Cracking Open the Magic Trend-Following Black Box 49Investment universe 52Position sizing 53Slippage, commission and other costs 56Interest on liquidity 56Strategy personality 56Anatomy of a trend-following strategy 574 TWO BASIC TREND-FOLLOWING STRATEGIES 61Strategy Performance 63Correlations between strategies 68Parameter stability 70Conclusions from the basic strategies 72Improving the Strategies 72Trend fi lter 73An improved stop loss mechanism 75Controlling the risk level 80Parameter stability check 84A solid foundation for futures trading 86Core strategy rules 875 IN-DEPTH ANALYSIS OF TREND-FOLLOWING PERFORMANCE 89St

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저자(글) Andreas F. Clenow

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Andreas Clenow CMT, is a principal at ACIES Asset Management with headquarters in Zurich, Switzerland, which he joined after having successfully established his own hedge fund. He specialises in developing and trading quantitative strategies across all asset classes. Prior to his role as a hedge fund trader he had a lightning career with Reuters, where he, as Global Head of Equity and Commodity Quant Modelling, was one of the youngest ever in such a role. He was also the Global Head of Institutional Charting and Technical Analysis for Equis International before departing for the hedge fund world.