Trend following : how to make a fortune in bull, bear and black swan markets / Michael W. Covel.

Format:

Book

Author/Creator:

Covel, Michael W., 1968- author.

Series:

Wiley trading.

Wiley Trading Series

Language:

English

Subjects (All):

Investments.

Stocks.

Physical Description:

1 online resource (691 pages).

Edition:

Fifth edition.

Place of Publication:

Hoboken, New Jersey : Wiley, 2017.

System Details:

text file

Summary:

"The legendary trading strategy in depth from A to Z Michael Covel's Trend Following reveals the truth about a trading strategy that makes money in up, down and surprise markets. By applying straightforward and repeatable rules, anyone can learn to make money in the markets whether bull, bear, or black swan - by following the trend to the end when it bends. In this timely reboot of his bestselling classic, Michael Covel dives headfirst into trend following strategy to examine the risks, benefits, people, and systems. You'll hear from traders who have made millions by following trends, and learn from their successes and mistakes - insights only here. You'll learn the trend philosophy, and how it has performed in booms, bubbles, panics and crashes. Using incontrovertible data and overwhelming supporting evidence, with a direct connection to the foundations of behavioral finance, Covel takes you inside the core principles of trend following and shows everyone, from brand new trader to professional, how alpha gets pulled from the market. Covel's newest edition has been revised and extended, with 7 brand new interviews and research proof from his one of kind network. This is trend following for today's generation. If you're looking to go beyond passive index funds and trusting the Fed, this cutting edge classic holds the keys to a weatherproof portfolio. Meet great trend followers learning their rules and philosophy of the game Examine data to see how trend following excels when the you-know-what hits the fan Understand trend trading, from behavioral economics to rules based decision-making to its lambasting of the efficient markets theory Compare trend trading systems to do it yourself or invest with a trend fund Trend following is not prediction, passive index investing, buy and hope or any form of fundamental analysis. It utilizes concrete rules, or heuristics, to profit from a behavioral perspective. Trend Following is clear-cut, straightforward and evidence-based and will secure your financial future in bull, bear and black swan markets. If you're finally ready to profit in the markets, Trend Following is the definitive treatise for a complex world in constant chaos"-- Provided by publisher.

"Trend Following doesn't contain any trading "secrets" or tricks. Rather, it's a foundational text that thoroughly describes the philosophy and concepts underlying a trading system driven solely by price trends"-- Provided by publisher.

Contents:

Cover

Title Page

Copyright

Contents

Foreword

Preface

Section I Trend Following Principles

1 Trend Following

Speculation

Winning versus Losing

Investor versus Trader

Fundamental versus Technical

Discretionary versus Systematic

Hiding in Plain Sight

Change Is Life

Follow the Trend to the End When It Bends

Surf the Waves

2 Great Trend Followers

David Harding

Bill Dunn

Extreme Performance Numbers

Be Nimble

Early Years

Life inside Dunn Capital

No Profit Targets

Check Your Ego

John W. Henry

Prediction Is Futile

On the Farm

Worldview Philosophy

What You Think You Know Gets You in Trouble

Starting with Research

On the Record

Change Is Overrated

Fade the Fed

Trading Retirement

Ed Seykota

Performance

The Secret

Never Mind the Cheese

System Dynamics

FAQs

Students

Keith Campbell

Campbell versus Benchmarks

Correlation and Consistency

Jerry Parker

Skeptics

Intelligence

Salem Abraham

Richard Dennis

Turtle Traders

Selection Process

Richard Donchian

Personification of Persistence

Jesse Livermore and Dickson Watts

3 Performance Proof

Absolute Returns

Volatility versus Risk

Volatility

Drawdowns

Correlation

Zero Sum

George Soros

Don't Blame Zero-Sum

Berkshire Hathaway

4 Big Events, Crashes, and Panics

Event 1: Great Recession

Day-to-Day Analysis

Event 2: Dot-com Bubble

Drawdowns and Recoveries

Enron, California, and Natural Gas

September 11, 2001

Event 3: Long-Term Capital Management

The Losers

The Winners

Footnotes to LTCM

Event 4: Asian Contagion

Niederhoffer on Trend Following

Event 5: Barings Bank

Who Won?

Event 6: Metallgesellschaft

Event 7: Black Monday

5 Thinking Outside the Box

Baseball.

Billy Beane

Bill James

Stats Take Over

6 Human Behavior

Prospect Theory

Emotional Intelligence

Neuro-Linguistic Programming

Trading Tribe

Curiosity, Not PhDs

Commitment

7 Decision Making

Occam's Razor

Fast and Frugal Decision Making

Innovator's Dilemma

Process versus Outcome versus Gut

8 The Scientific Method

Critical Thinking

Linear versus Nonlinear

Compounding

9 Holy Grails

Buy and Hope

Warren Buffett

Losers Average Losers

Avoiding Stupidity

10 Trading Systems

Risk, Reward, and Uncertainty

Five Questions

What Do You Buy or Sell?

How Much Do You Buy or Sell?

When Do You Buy or Sell?

When Do You Get Out of a Loser?

When Do You Get Out of a Winner?

Your Trading System

Frequently Asked Questions

FAQ 1 : Starting Capital

FAQ 2: Trend Following for Stocks

FAQ 3: Computers and Curve Fitting

FAQ 4: Day Trading Limits

FAQ 5: Wrong Way to View a Trade

11 The Game

Acceptance

Don't Blame Me

Decrease Leverage, Decrease Return

Fortune Favors the Bold

Section II Trend Following Interviews

12 Ed Seykota

13 Martin Lueck

14 Jean-Philippe Bouchaud

15 Ewan Kirk

16 Alex Greyserman

17 Campbell Harvey

18 Lasse Heje Pedersen

Section III Trend Following Research

19 A Multicentennial View of Trend Following

The Tale of Trend Following: A Historical Study

Return Characteristics over the Centuries

Interest Rate Regime Dependence

Inflationary Environments

Financial Bubbles and Crisis

Market Divergence

Risk Characteristics over the Centuries

Portfolio Benefits over the Centuries

Summary

Assumptions and Approximations

20 Two Centuries of Trend Following

Introduction

Trend Following on Futures since 1960

Measuring Trends

The Pool of Assets

The Results.

Extending the Time Series: A Case-by-Case Approach

Currencies

Government Rates

Indexes and Commodities

Validating the Proxies

Trend over Two Centuries

Results of the Full Simulation

A Closer Look at the Signal

A Closer Look at the Recent Performance

Interpretation

Conclusions

21 Trend Following

Overview

Introduction to Different Trend Following Models

Diversification between Different Trend Following Models

Aspect's Approach to Trend Following

Aspect's Model Compared to Other Trend Following Models

Conclusion

Chart Disclaimer

22 Evaluating Trading Strategies

Testing in Other Fields of Science

Revaluating the Candidate Strategy

Two Views of Multiple Testing

False Discoveries and Missed Discoveries

Haircutting Sharpe Ratios

An Example with Standard and Poor's Capital IQ

In Sample and Out of Sample

Trading Strategies and Financial Products

Limitations and Conclusions

23 Black Box Trend Following-Lifting the Veil

Synopsis

The Strategies

Strategy Mechanics

Markets Traded

Data Notes

Trade Sizing

Sector Weights

Time Span

Commission and Slippage

Interest

Fees

Performance Results and Graphs

Sector Performance

Performance of Long versus Short Trades

Stability of Parameters

Are CTAs a Diversifier or a Hedge to the SP500?

24 Risk Management

Risk

Risk Management

The Coin Toss Example

Optimal Betting

Hunches and Systems

Fixed Bet and Fixed-Fraction Bet

Simulations

Pyramiding and Martingale

Optimizing-Using Simulation

Optimizing-Using Calculus

Optimizing-Using the Kelly Formula

Some Graphic Relationships Between Luck, Payoff, and Optimal Bet Fraction

Nonbalanced Distributions and High Payoffs

Almost-Certain-Death Strategies

Diversification

The Uncle Point.

Measuring Portfolio Volatility: Sharpe, VaR, Lake Ratio, and Stress Testing

Stress Testing

Portfolio Selection

Position Sizing

Psychological Considerations

Risk Management-Summary

25 How to GRAB a Bargain Trading Futures ... Maybe

How to GRAB a Bargain Trading Futures

Following Trends Is Hard Work

Figuring Out How the Pros Do It

A Computer Model of the Pros

A Terrible Discovery

Solving the Mystery-Why Does the GRAB System Lose?

Often It Is Out of Sync with the Market

Worse Still, It Misses the Best Moves!

Maybe Being Profitable Means Being Uncomfortable?

GRAB Trading System Details

Buys on Break of Support, Sells on Break of Resistance

Testing Reveals Some Behavior I Do Not Expect

Difference between Parameter Values Defines Character of GRAB System

GRAB Trading System Code

26 Why Tactical Macro Investing Still Makes Sense

Managed Futures

Defining Managed Futures and CTAs

Where Institutional Investors Position Managed Futures and CTAs

Skewness and Kurtosis

Data

Basic Statistics

Stocks, Bonds, Plus Hedge Funds or Managed Futures

Hedge Funds Plus Managed Futures

Stocks, Bonds, Hedge Funds, and Managed Futures

Appendix A

Appendix B

Appendix C

27 Carry and Trend in Lots of Places

Carry and Trend: Definitions, Data, and Empirical Study

Carry and Trend in Interest Rate Futures

Trend and Carry across Asset Classes

Carry and Trend across Rate Regimes

28 The Great Hypocrisy

Epilogue

Afterword by Larry Hite

Trend Following Podcast Episodes

Endnotes

Bibliography

Acknowledgments

About the Author

Index

EULA.

Notes:

Revised edition of the author's Trend following.

Includes bibliographical references and index.

Description based on print version record.

ISBN:

9781119371908

1119371902

9781119371915

1119371910

OCLC:

983738043