Money management strategies for futures traders:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York [u.a.]
Wiley
1992
|
| Series: | Wiley finance editions
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIV, 267 S. graph. Darst. |
| ISBN: | 0471522155 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents
1 Understanding the Money Management Process 1
Steps in the Money Management Process, 1
Ranking of Available Opportunities, 2
Controlling Overall Exposure, 3
Allocating Risk Capital, 4
Assessing the Maximum Permissible Loss on
a Trade, 4
The Risk Equation, 5
Deciding the Number of Contracts to be Traded:
Balancing the Risk Equation, 6
Consequences of Trading an Unbalanced Risk
Equation, 6
Conclusion, 7
2 The Dynamics of Ruin 8
Inaction, 8
Incorrect Action, 9
Assessing the Magnitude of Loss, 11
The Risk of Ruin, 12
Simulating the Risk of Ruin, 16
Conclusion, 21
xi
xii CONTENTS
3 Estimating Risk and Reward 23
The Importance of Defining Risk, 23
The Importance of Estimating Reward, 24
Estimating Risk and Reward on Commonly
Observed Patterns, 24
Head-and-Shoulders Formation, 25
Double Tops and Bottoms, 30
Saucers and Rounded Tops and Bottoms, 34
V-Formations, Spikes, and Island Reversals, 35
Symmetrical and Right-Angle Triangles, 41
Wedges, 43
Hags, 44
Reward Estimation in the Absence of Measuring
Rules, 46
Synthesizing Risk and Reward, 51
Conclusion, 52
4 Limiting Risk through Diversification 53
Measuring the Return on a Futures Trade, 55
Measuring Risk on Individual Commodities, 59
Measuring Risk Across Commodities Traded Jointly:
The Concept of Correlation Between Commodities, 62
Why Diversification Works, 64
Aggregation: The Flip Side to Diversification, 67
Checking for Significant Correlations Across
Commodities, 67
A Nonstatistical Test of Significance of Correlations, 69
Matrix for Trading Related Commodities, 70
Synergistic Trading, 72
Spread Trading, 73
Limitations of Diversification, 74
Conclusion, 75
5 Commodity Selection 76
Mutually Exclusive versus Independent
Opportunities, 77
The Commodity Selection Process, 77
The Sharpe Ratio, 78
CONTENTS xiii
Wilder s Commodity Selection Index, 80
The Price Movement Index, 83
The Adjusted Payoff Ratio Index, 84
Conclusion, 86
6 Managing Unrealized Profits and Losses 87
Drawing the Line on Unrealized Losses, 88
The Visual Approach to Setting Stops, 89
Volatility Stops, 92
Time Stops, 96
Dollar-Value Money Management Stops, 97
Analyzing Unrealized Loss Patterns on Profitable Trades, 98
Bull and Bear Traps, 103
Avoiding Bull and Bear Traps, 104
Using Opening Price Behavior Information to Set Protective
Stops, 106
Surviving Locked-Limit Markets, 107
Managing Unrealized Profits, 109
Conclusion, 112
7 Managing the Bankroll: Controlling Exposure 114
Equal Dollar Exposure per Trade, 114
Fixed Fraction Exposure, 115
The Optimal Fixed Fraction Using the Modified Kelly
System, 118
Arriving at Trade-Specific Optimal Exposure, 119
Martingale versus Anti-Martingale Betting
Strategies, 122
Trade-Specific versus Aggregate Exposure, 124
Conclusion, 127
8 Managing the Bankroll: Allocating Capital 129
Allocating Risk Capital Across Commodities, 129
Allocation within the Context of a Single-commodity
Portfolio, 130
Allocation within the Context of a Multi-commodity
Portfolio, 130
Equal-Dollar Risk Capital Allocation, 131
xiv CONTENTS
Optimal Capital Allocation: Enter Modern Portfolio Theory, 131
Using the Optimal/as a Basis for Allocation, 137
Linkage Between Risk Capital and Available Capital, 138
Determining the Number of Contracts to be Traded, 139
The Role of Options in Dealing with Fractional Contracts, 141
Pyramiding, 144
Conclusion, 150
9 The Role of Mechanical Trading Systems 151
The Design of Mechanical Trading Systems, 151
The Role of Mechanical Trading Systems, 154
Fixed-Parameter Mechanical Systems, 157
Possible Solutions to the Problems of Mechanical Systems, 167
Conclusion, 169
10 Back to the Basics 171
Avoiding Four-Star Blunders, 171
The Emotional Aftermath of Loss, 173
Maintaining Emotional Balance, 175
Putting It All Together, 179
Appendix A Turbo Pascal 4.0 Program to Compute
the Risk of Ruin 181
Appendix B BASIC Program to Compute the Risk of Ruin 184
Appendix C Correlation Data for 24 Commodities 186
Appendix D Dollar Risk Tables for 24 Commodities 211
Appendix E Analysis of Opening Prices for 24 Commodities 236
Appendix F Deriving Optimal Portfolio Weights: A Mathematical
Statement of the Problem 261
Index 263
|
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| id | DE-604.BV035234988 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:29:14Z |
| institution | BVB |
| isbn | 0471522155 |
| language | English |
| lccn | 91038287 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017040863 |
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| physical | XIV, 267 S. graph. Darst. |
| publishDate | 1992 |
| publishDateSearch | 1992 |
| publishDateSort | 1992 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance editions |
| spelling | Balsara, Nauzer J. Verfasser aut Money management strategies for futures traders Nauzer J. Balsara New York [u.a.] Wiley 1992 XIV, 267 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance editions Investimentos larpcal Futures Futures market Investments Termingeschäft (DE-588)4117190-1 gnd rswk-swf Termingeschäft (DE-588)4117190-1 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017040863&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Balsara, Nauzer J. Money management strategies for futures traders Investimentos larpcal Futures Futures market Investments Termingeschäft (DE-588)4117190-1 gnd |
| subject_GND | (DE-588)4117190-1 |
| title | Money management strategies for futures traders |
| title_auth | Money management strategies for futures traders |
| title_exact_search | Money management strategies for futures traders |
| title_full | Money management strategies for futures traders Nauzer J. Balsara |
| title_fullStr | Money management strategies for futures traders Nauzer J. Balsara |
| title_full_unstemmed | Money management strategies for futures traders Nauzer J. Balsara |
| title_short | Money management strategies for futures traders |
| title_sort | money management strategies for futures traders |
| topic | Investimentos larpcal Futures Futures market Investments Termingeschäft (DE-588)4117190-1 gnd |
| topic_facet | Investimentos Futures Futures market Investments Termingeschäft |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017040863&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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