vladimir daragan - how to win the stock market game

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1、1HowtoWintheStockMarketGameDevelopingShort-TermStockTradingStrategiesbyVladimirDaraganPART1TableofContents1.Introduction2.Comparisonoftradingstrategies3.Returnpertrade4.Averagereturnpertrade5.Moreaboutaveragereturn6.Growthcoefficient7.Distributionofreturns8.Riskoftradin

2、g9.Moreaboutriskoftrading10.Correlationcoefficient11.EfficienttradingportfolioIntroductionThispublicationisforshort-termtraders,i.e.fortraderswhoholdstocksforonetoeightdays.Short-termtradingassumesbuyingandsellingstocksoften.Aftertwotofourmonthsatraderwillhavegoodstatis

3、ticsandheorshecanstartananalysisoftradingresults.Whatarethemainquestions,whichshouldbeansweredfromthisanalysis?-Ismytradingstrategyprofitable?-Ismytradingstrategysafe?-HowcanIincreasetheprofitabilityofmystrategyanddecreasetheriskoftrading?Nodoubtitisbettertoasktheseques

4、tionsbeforeusinganytradingstrategy.Wewillconsidermethodsofestimatingprofitabilityandriskoftradingstrategies,optimallydividingtradingcapital,usingstopandlimitordersandmanyotherproblemsrelatedtostocktrading.ComparisonofTradingStrategiesConsidertwohypotheticaltradingstrate

5、gies.Supposeyouusehalfofyourtradingcapitaltobuystocksselectedbyyoursecretsystemandsellthemonthenextday.Theotherhalfofyourcapitalyouusetosellshortsomespecificstocksandclosepositionsonthenextday.2Inthecourseofonemonthyoumake20tradesusingthefirstmethod(letuscallitstrategy#

6、1)and20tradesusingthesecondmethod(strategy#2).Youdecidetoanalyzeyourtradingresultsandmakeatable,whichshowsthereturns(in%)foreverytradeyoumade.Returnpertradein%Returnpertradein%#Strategy1Strategy21+3+42+2-53+3+64-5+95+6-166+8+157-9+48+5-199+6+1410+9+211+1+912-5-1013-2+81

7、4+0+1515-3-1616+4+817+7-918+2+819-4+1620+3-5Thenextfiguregraphicallypresentstheresultsoftradingforthesestrategies.ReturnspertradesfortwohypotheticaltradingstrategiesWhichstrategyisbetterandhowcanthetradingcapitalbedividedbetweenthesestrategiesinordertoobtainthemaximalpr

8、ofitwithminimalrisk?Thesearetypicaltrader'squestionsandwewilloutlinemethodsofsolvingthemandsimilarproblems.3Th