ED Thropの投資方法
Earn from inefficiency
1. 情報の伝達
Much information stats out known only to a limited number of people, then spreads to a wider groups in stages.
2. In real markets, the rationality of the participants is limited.
3. Participants typically have only some of the relevant information for determining the fair price of a security.
4. The reaction to news is spread out over minutes, hours, days, or months, as academic literature documents.
このような不合理からどのように利益を生むか？
1. Get good information early.
2. Be a disciplined rational investor. Follow logic and analysis rather than sales pitches, whims, or emotion. Don't gamble unless you are highly confident you have the edge.
→幾つかのシナリオをsimulationしてみる。
3. Find a superior method of analysis.
Ex. statistical arbitrage, convertible hedging, the Black-Scholes formula, and card counting at blackjack.4. the earliest traders gain the most and their continued trading tends to reduce or eliminate the misprising. When you have identified an opportunity, invest ahead of the crowd.
It's also a good idea to try finding a solid trading edge in markets you love. As Throp explains:
To beat the market, focus on investments well within your knowledge and ability to evaluate, your 'circle of compentence'.
Combining technicals with fundamentals
Anchoring
買値に拘ること以上の愚かなことは無い。
What I had done was focus on a price that was of unique historical significance to me, only me, namely my purchase price.
Interpreting financial headlines
Routine financial reporting also fools investors
One way to separate signal from noise is to track the market's expected move for the day. To calculate the expected percentafe move of the S&P500, take the VIX and divide it by the square root of 252.
If the price stays within that band, any 'news' for the day is likely not worth paying attention to.
Correlation
We tracked a correlation matrix that was used to reduce exposures in correlated markets. If two markets were highly correlated, and the technical system went long one and short the other, that was great. But if it wanted to go long both, we would take a smaller position in each.
A common problem traders face when monitoring correlation is the lookbacl period. Throp found that 60 days was best. A shorter window is too noisy and a longer one will produce correlations that aren't relevant anymore.
Position Sizing
長期目的で投資する場合も、短期で損失することは多い。どのタイミングで上昇するか？、どの値が底値か？を特定することは不可能なので、下降していく際は徐々にpositionを減らしていき、再び上昇すると確信が持てた際にpositionを増やせばよい。
The program would gradually shut itself down, as we got deeper in the hole, and then it had to earn its way out.
We would wait for a threshold point between a 5% and 10% drawdoen before begnning to reduce our positions, and then we would incrementally reduce our position with each additional 1% draedown.
逆もまた然りで、上昇した際、5%-10%で一定数を利確するのも良い投資方法であろう。
