Encomium Moriae: 2月 2011

2011年2月18日星期五

主動投資的必修科目

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順勢交易(順勢、逆勢、籌碼、週期)/移動停損
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How to Trade in Stocks
Jesse L. Livermore

http://www.amazon.com/How-Trade-Stocks-Jesse-Livermore/dp/B000OOIXK6/ref=sr_1_2?s=books&ie=UTF8&qid=1295804438&sr=1-2

http://www.stockvision.org/books/Jesse_Livermore-How_To_Trade_In_Stocks_(1940_original)-EN.pdf

http://www.books.com.tw/exep/prod/booksfile.php?item=0010359583

New Concepts in Technical Trading Systems
J. Welles Wilder

http://www.amazon.com/New-Concepts-Technical-Trading-Systems/dp/0894590278/ref=sr_1_1?s=books&ie=UTF8&qid=1295804310&sr=1-1

http://www.filestube.com/23Q6U3r7V6TKzqHiWPibmx/Welles-Wilder-New-Concepts-in-Technical-Trading-Systems.html

Turtle Trading Rules
Richard Dennis

https://www.bsp-capital.com/documents/turtlerules.pdf

http://www.books.com.tw/exep/prod/booksfile.php?item=0010384228

The Next Big Investment Boom: Learn the Secrets of Investing from a Master and How to Profit from Commodities
Mark Shipman

http://www.amazon.co.uk/Next-Big-Investment-Boom-Commodities/dp/0749445777/ref=sr_1_3?s=books&ie=UTF8&qid=1295804759&sr=1-3

http://www.filestube.com/dym3T9OfiknW7BmHbmCTGd/The-Next-Big-Investment-Boom.html

Big Money, Little Effort: A Winning Strategy for Profitable Long-Term Investment
Mark Shipman

http://www.amazon.co.uk/Big-Money-Little-Effort-Profitable/dp/0749449438/ref=sr_1_2?s=books&ie=UTF8&qid=1295804759&sr=1-2

http://www.filestube.com/614018e922c70f3e03e9,g/Big-Money-Little-Effort-downarchive.html

http://www.books.com.tw/exep/prod/booksfile.php?item=0010422786

A Quantitative Approach to Tactical Asset Allocation

http://breitercapital.com/BCMCambriaOct2009.pdf

http://www.intercontilimited.com/mfutsarchive/ssrn-id962461.pdf

http://trendfollowing.com/whitepaper/CMT-Simple.pdf

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績效評估
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參數個數

越多越糟，過多會過度最佳化，曲線擬合( Curve fitting )
一般市面上賣的軟體績效很好，都是因此所致
最多不要超過4個

參數高原

http://tw.myblog.yahoo.com/Blue-Speculator/article?mid=966&sc=1

http://tw.myblog.yahoo.com/futurex168/article?mid=347&prev=368&next=329&l=f&fid=6

Out Of Sample

增加穩健度(Robustness)的backtesting方法

http://tw.myblog.yahoo.com/Blue-Speculator/article?mid=693&prev=702&next=608&l=f&fid=7

向前走的backtesting方法(Walk forward Backtesting) - 可以看交易系統是不是有穩健度(Robutness)

http://tw.myblog.yahoo.com/Blue-Speculator/article?mid=702&prev=807&next=693&l=f&fid=7

什麼是Walk Forward Efficiency(WFE)?

http://tw.myblog.yahoo.com/Blue-Speculator/article?mid=1040&prev=1467&l=f&fid=7

ROA Return on account

= Total Net Profit / ( Max intraday drawdown * 3 ) / 交易年數

ZScore

http://tinyurl.com/2a78tpv

= (((Total # of trades)/ Years)*Avg trade (win & loss))/(SQRT(((Total # of trades)/ Years)*(Percent profitable*(1-Percent profitable)))*(Average winning trade+|Average losing trade|))

( n*(P*W+(1-P)*L) ) / ( ((n*P*(1-P))^0.5)*(W-L) )

if P*W+(1-P)*L >= 0
maximum drawdown <= 5*( ((n*P*(1-P))^0.5)*(W-L) )

交易策略評估與最佳化(第二版)
作者：Robert Pardo
譯者：李佳儒
出版社：寰宇
出版日期：2010年12月24日
語言：繁體中文 ISBN：9789866320200
http://www.books.com.tw/exep/prod/booksfile.php?item=0010492407

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投資組合/資產配置 (不同商品、不同時間尺度、不同策略組合)
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http://greenhornfinancefootnote.blogspot.com/2008/07/asset-allocation-in-essence.html

http://www.books.com.tw/exep/prod/booksfile.php?item=0010396232

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部位管理/加減碼/資金管理
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The Trading Game: Playing by the Numbers to Make Millions
Ryan Jones

http://www.amazon.com/Trading-Game-Playing-Millions-ebook/dp/B000WCVVYU/ref=sr_1_40?s=books&ie=UTF8&qid=1295805273&sr=1-40

http://www.filestube.com/8ae264b7d64d779903ea,g/RYAN-JONES-THE-TRADING-GAME.html

Dynamic Strategies for Asset Allocation

http://greenhornfinancefootnote.blogspot.com/2008/10/dynamic-strategies-for-asset-allocation.html

http://www.indiceperu.com/lecturas/paper09.pdf

http://homepage.ntu.edu.tw/~kslin/course/fch8.ppt

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Equity Curve Trading
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http://tw.myblog.yahoo.com/Blue-Speculator/article?mid=1735&sc=1

http://tw.myblog.yahoo.com/futurex168/article?mid=14

http://tw.myblog.yahoo.com/futurex168/article?mid=86&prev=147&l=f&fid=6

Equity Curve Trading

http://tw.myblog.yahoo.com/Blue-Speculator/article?mid=1735&sc=1

http://tw.myblog.yahoo.com/futurex168/article?mid=14

http://tw.myblog.yahoo.com/futurex168/article?mid=86&prev=147&l=f&fid=6

2011年2月16日星期三

我曾經讀過好多成功者的故事，故事裡總有些銜接問題

http://goo.gl/rixvU

企管叢書作者

如果研讀教導成功的書籍就可以功成名就，那麼人人都可以成為億萬富翁，只有文盲例外；可是文盲只要聽聽有聲書，照樣可以錦衣玉食。這世界多美好呀！只要閱讀企管叢書，笨經理就可以變聰明，懶骨頭也可以變得既勤奮又有企圖心。可惜，在現實生活裡，你幾乎從未聽經理說：「看過管理書籍之後，我才發現原來自己以前是個懶惰愛整人又一竅不通的白癡。從今以後我要改頭換面了!」

儘管效用不大，企管叢書還是很暢銷，原因是人腦裡有一種叫愚蠢的元素，讓我們相信成功者的故事可能在我們的身上重演。我曾經讀過好多成功者的故事，故事裡總有些銜接問題，譬如說：

■某人是個擦鞋童

■（未交代）

■他在餐廳端盤子

■（未交代）

■他變成了垃圾工人

■（完全沒交代）

■他買下曼哈頓的地標，改裝成一家豪華大飯店

這沒來由的斷層通常不是繼承遺產就是結婚致富，要不就是貪贓枉法或走狗屎運。成功經理們的故事也大同小異。總之，就是天時地利人和，幸運到家。統計學家很少出版管理書籍，因為他們知道在任何體制下都有白癡可以憑機運平步青雲。普天之下就有一位經理，每次開會他就在員工面前使勁用壓舌棒抓頭髮，可是業績卻一路長紅達十年之久。這名經理的背後有位企管書作者埋頭做筆記，準備寫一本《壓舌棒管理》。