Systematic Trading

Preface
- Systematic trading and investing
- Who should read this book
- The technical stuff
- What is coming

Introduction
- January 2009
- September 2008
- Why you should start system trading now
- It's dangerous out there
- Why you should read this book

Part One. Theory

Chapter One. The Flawed Human Brain
- Chapter overview
- Humans should be great traders, but...
- Simple trading rules
- Sticking to the plan
- Good system design

Chapter Two. Systematic Trading Rules
- Chapter overview
- What makes a good trading rule
- When trading rules don't work
- Why are certain rules profitable
- Classifying trading styles
- Achievable Sharpe ratios
- Conclusion

Part Two. Toolbox

Chapter Three. Fitting
- Chapter overview
- The perils of over-fitting
- Some rules for effective fitting
- How I choose my rules

Chapter Four. Portfolio Allocation
- Chapter overview
- Optimising gone bad
- Saving optimisation from itself
- Making weights by hand
- Incorporating Sharpe ratios

Part Three. Framework

Chapter Five. Framework Overview
- Chapter overview
- A bad example
- Why a modular framework?
- The elements of the framework

Chapter Six. Instruments
- Chapter overview
- Necessities
- Instrument choice and trading style
- Access
- Summary of instrument choice

Chapter Seven. Forecasts
- Chapter overview
- What makes a good forecast
- Discretionary trading with stop losses
- The asset allocating investor's 'no-rule' rule
- Two example systematic rules
- Adapting and creating trading rules
- Selecting trading rules and variations
- Summary of trading rules and forecasts

Chapter Eight: Combined Forecasts
- Chapter overview
- Combining with forecast weights
- Choosing the forecast weights
- Getting to 10
- Capped at 20
- Summary for combining forecasts

Chapter Nine. Volatility targeting
- Chapter overview
- The importance of risk targeting
- Setting a volatility target
- Rolling up profits and losses
- What percentage of capital per trade?
- Summary of volatility targeting

Chapter Ten. Position Sizing
- Chapter overview
- How risky is it?
- Volatility target and position risk
- From forecast to position
- Summary for position sizing

Chapter Eleven. Portfolios
- Chapter overview
- Portfolios and instrument weights
- Instrument weights - asset allocators and systems traders
- Instrument weights - semi-automatic trading
- Instrument diversification multiplier
- A portfolio of positions and trades
- Summary for creating a portfolio of trading subsystems

Chapter Twelve. Speed and Size
- Chapter overview
- Speed of trading
- Calculating the cost of trading
- Using trading costs to make design decisions
- Trading with more or less capital
- Determining overall portfolio size
- Summary of tailoring systems for costs and capital

Part Four. Practice

Chapter Thirteen. Semi-automatic Trader
- Chapter overview
- Who are you?
- Using the framework
- Process
- Trading diary

Chapter Fourteen. Asset Allocating Investor
- Chapter overview
- Who are you?
- Using the framework
- Weekly process
- Trading diary

Chapter Fifteen. Staunch Systems Trader
- Chapter overview
- Who are you?
- Using the framework
- Daily process
- Trading diary

Epilogue. What makes a good systematic trader?
Glossary

Appendices

Appendix A. Resources
- Further reading
- Sources of free data
- Brokers and platforms
- Automation and coding

Appendix B: Trading Rules
- The A and B system: Early profit taker and early loss taker
- The exponentially weighted moving average crossover (EWMAC) rule
- The carry trading rule

Appendix C. Portfolio optimisation
- More details on bootstrapping (technical)
- Rule of thumb correlations

Appendix D. Framework details
- Rescaling forecasts
- Calculation of diversification multiplier
- Calculating price volatility from historic data

Acknowledgements
Index