Alpha Trading
Profitable Strategies That Remove Directional Risk
Wiley Trading Series
1. Auflage April 2011
320 Seiten, Hardcover
Wiley & Sons Ltd
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.
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.
