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Overview

Table of Contents

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A Trader’s Guide to Trade Idea Generation

Overview

Objective: a 3-day seminar providing a first course on trade idea generation via the forecasting and analyses tools of Technical Analyses, Fundamental Analyses, Statistical Analyses, and Arbitrage consideration, set in a framework that ties together trade ideas to risk/return objectives and trading discipline, including:

·     to provide a lucid explanation of methods used to come with "views"

·      to provide a risk/return framework for "views"

·      to examine trading rules/discipline

Audience:

·     market maker, prop traders, sales, support, structurers

·     management, treasurers,

·     Risk Management

Table of Contents

1)   Trade Idea Preliminaries: establishes the foundation for trade idea generation from the perspective of investors/clients risk/return profiles with both a reactive and proactive approach and considers the connection to financial engineering, including the notion of verification (the "prove it" syndrome).

2)   Trading Preliminaries: examines rules and discipline required in positioning and managing trades from risk/return requirements to the setting of exit conditions.

3)   Technical Analyses: examines the tenants and methods primarily focusing on Basic Charting and Dow Theory as well as Volume/OI analyses, but also covering other methods such as Fibonacci, Elliot Wave and Point&Figure.  Case studies include TBonds, FTSE, Dollar/Yen, Notes over Bonds, Euro deposits, Gold.

4)   Fundamental Analyses:  based on macro/micro-economic and financial considerations supply/demand, term-structure theory, IRP, and company fundamentals, the linkage to value/price is examined for credibility vs. fashion statement. The case studies include International yield spreads, Asset allocation of S&P vs. Treasuries, Curve shape, The corporate balance sheet and a “good story”.

5)   Statistical Analyses:  Outright prices vs. spread and implied measures, Periodicity and stationarity, Credibility of parameters, Advanced methods and limitations (Pattern recognition, Periodic vs. aperiodic, ...). Case Studies include behaviour of swap spreads, and Implied vs. historical volatility vs. P&L.

6)    Arbitrage Analyses:  Review of the “real” meaning of arbitrage, Arbitrage as the driver for modern valuation theory, Modern valuation theory and model arbitrage, Searching for arbs, Arbs in terms of indices vs. cash, and Is it really risk-free?  Case Studies include an "Economic arb" (Interest rate parity), a "Finance arb" (Put/Call parity), and a "Model arb" (“risk-neutral” vs. delta rebalancing).

7)    Market Mode Analyses:  examination of temporary market "modes" that repeat themselves during which particular types of structures may be in demand. 

8)   Trade Audit and Reality Impact:  Bounding Conditions, Audit (What did the market do? What did I do? What did P&L do? What was my risk adjusted return?), as well as Back-testing (Simple and P&L).

Extras

850 Pages of comprehensive and extensively illustrated Handout Notes (see samples here)

Plus copies of relevant TG2 Books/e-Books

Note: Seminars can be tailored to your trading, risk, client, and systems needs.  Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard" list HERE)

    Get a Syllabus in more detail

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Last modified: July 25, 2011