Alpha Trading: Profitable Strategies That Remove Directional Risk
Look inside TOC Index

Finance › Investment / Trading

Alpha Trading Profitable Strategies That Remove Directional Risk

By Perry J. Kaufman
John Wiley & Sons March 2011

Specifications

ISBN-13
9780470529744
Publisher
John Wiley & Sons
Publication
March 2011
Format
Hardback , 310 pages
Jurisdiction
International ? Countri(es) for reference only

Details

From a leading trading systems developer, how to make profitable trades when there are no obvious trends

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 Alpha Trading: Profitable Strategies That Remove Directional Risk, author Perry Kaufman presents strategies and systems for profitably trading in directionless markets and in those experiencing constant price shocks. The book
 

  • Details how to exploit new highs and lows
  • Describes how to hedge primary risk components, find robustness, and craft a diversification program
  • Other titles by Kaufman: New Trading Systems and Methods, 4th Edition and A Short Course in Technical Trading, both by Wiley

 

Given Kaufman's 30 years of experience trading in almost every kind of market, his Alpha Trading will be a welcome addition to the trading literature of professional and serious individual traders for years to come..

 

 

 Reviews

“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.” (Seeking Alpha)

Table of Contents

Preface.

Chapter 1 Uncertainty.

Impact on Trading.

The Inevitable Price Shocks.

Why So Much About Price Shocks?

Complexity and Contagion Risk.

The Ugly Side.

Taking Defensive Action.

Accepting Performance for What It Is.

Chapter 2 The Importance of Price Noise.

Noise Explained.

Different Markets.

A Closer Look at Equity Index Markets.

Importance of Noise.

Determining the Strategy.

Capitalizing on the Trend of Noise.

Chapter 3 Pairs Trading -- Understanding the Process.

The Process.

The Basics.

Target Volatility.

Home Builders.

Using ETFs.

Portfolio of Home Builders Pairs.

Execution and the Part-Time Trader.

Stop-Losses.

Trading Intraday.

Key Points to Remember.

Chapter 4 Pairs Trading Using Futures.

Futures.

Mechanics of a Pairs Trade in Futures.

Inflation Scares.

Trading Energy Pairs.

Revisiting Momentum with Energy Markets.

A Mini-Portfolio of Natural Gas Pairs.

The Inflation Pairs: Crude, the EURUSD, and gold.

Equity Index Pairs.

Leveraging with Futures.

London Metals Exchange Pairs.

Volatility Filters.

Interest Rate Futures.

Summary.

Chapter 5 Risk-Adjusted Spreads.

Dell and Hewlett-Packard.

Trading Both Long-Term (Hedged) Trends and Short-Term Mean Reversion.

Gold, Platinum, and Silver.

The Platinum/Gold Ratio.

Implied Yield.

The Yield Curve.

Trend Trading of London Metal Exchange Pairs.

Summary.

Chapter 6 Cross-Market Trading and the Stress Indicator.

The Crossover Trade*.

The Stress Indicator.

Gold, Copper, and Platinum.

Mining Companies.

Agribusiness Pairs.

The Major Energy Producers.

Portfolio of Cross-Market Energy Pairs.

Other Opportunities.

Some Final Notes.

Chapter 7 Revisiting Pairs Using the Stress Indicator.

Futures Markets and the Stress Indicator.

Equity Index Futures.

Interest Rate Futures.

The Portfolio Spreadsheet.

Summary of Pairs Trading.

Chapter 8 Traditional Market-Neutral Trading.

Home Builders.

Trend or Mean Reversion?

Basic Market-Neutral Concept.

Volatility-Adjusting the Position Size.

Arbing the Dow: A Large Scale Program.

Thoughts About Market-Neutral Trend Following.

Market-Neutral Using Futures.

Market-Neutral Comments.

Chapter 9 Other Stat-Arb Methods.

Trade-Offs.

System Briefs.

New Highs and New Lows.

Merger Arb.

Creating Your Own Index Arbitrage.

Arbing the Dow.

Arbing the S&P 500 -- Index Arbitrage.

About the Companion Web Site.

About the Author.

Index.

About the Author

PERRY KAUFMAN 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 equitieP

Out of stock
This title is currently unavailable for purchase.
  • Free HK shipping over HK$1,000
  • International shipping to 35+ countries
Save

Recommended

You may also be interested in these books:

More titles from Investment / Trading

View all
Trading ETFs
John Wiley & Sons

Trading ETFs

Deron Wagner; Alan Farley
HKD 750.00
Volatility Trading
John Wiley & Sons

Volatility Trading

Euan Sinclair
HKD 700.00
Models. Behaving. Badly.
John Wiley & Sons

Models. Behaving. Badly.

Emanuel Derman
HKD 270.00
High-Probability Trade Setups
John Wiley & Sons

High-Probability Trade Setups

Timothy Knight
HKD 950.00
401(k) Day Trading
John Wiley & Sons

401(k) Day Trading

Richard Schmitt
HKD 500.00
Invest My Way
Wrightbooks

Invest My Way

Alan Hull
HKD 300.00