I warmly recommend the book Systematic Trading by Robert Carver. [1] The perils of trading bots are explained in it. The author himself runs one for a long time. [2] In particular, the greatest risks are overtrading (so you get eaten up by fees),…
这在具有负偏度（negative skew）或尾部风险（tail risk）的交易策略中是很常见的模式。哪怕是像 LTCM 这样的大型对冲基金，也会掉进同一个坑里。如果有兴趣的话，我推荐 Robert Carver 的《Systematic Trading》。就算你不做量化交易（algorithmic trading），光是里面讲风险管理以及正负偏度对比的章节就已经值回票价了。
That's a common pattern in trading strategies with negative skews or tail risks. Even large hedge funds, like LTCM, can fall into this same pitfall. For anyone interested, I can recommend the book "Systematic Trading" by Robert Carver. You don't have to be into algorithmic trading, the sections on risk management and positive vs negative skews are already worth the read.
/r/algotrading - Andreas F. Clenow 的《Trading Evolved》- Robert Carver 的《Systematic Trading》- Brian Peterson 的《Developing & Backtesting Systematic Trading Strategies》- Ernest P. Chan 的《Algorithmic Trading》- Barry Johnson 的《Algorithmic Trading and DMA》- Emilio… 的《Trading Systems》
/r/algotrading - Trading Evolved, Andreas F. Clenow - Systematic Trading, Robert Carver - Developing & Backtesting Systematic Trading Strategies, Brian Peterson - Algorithmic Trading, Ernest P. Chan - Algorithmic Trading and DMA, Barry Johnson - Trading Systems, Emilio…
我强烈推荐 Robert Carver 写的《Systematic Trading》[1]。书里详细解释了 trading bot 的种种凶险。作者本人自己就跑了一个 bot 跑了很久。[2] 尤其是最大的风险在于过度交易（overtrading，导致你直接被手续费吃光），…
I warmly recommend the book Systematic Trading by Robert Carver. [1] The perils of trading bots are explained in it. The author himself runs one for a long time. [2] In particular, the greatest risks are overtrading (so you get eaten up by fees),…
这在具有负偏度（negative skew）或尾部风险（tail risk）的交易策略中是很常见的模式。哪怕是像 LTCM 这样的大型对冲基金，也会掉进同一个坑里。如果有兴趣的话，我推荐 Robert Carver 的《Systematic Trading》。就算你不做量化交易（algorithmic trading），光是里面讲风险管理以及正负偏度对比的章节就已经值回票价了。
That's a common pattern in trading strategies with negative skews or tail risks. Even large hedge funds, like LTCM, can fall into this same pitfall. For anyone interested, I can recommend the book "Systematic Trading" by Robert Carver. You don't have to be into algorithmic trading, the sections on risk management and positive vs negative skews are already worth the read.
/r/algotrading - Andreas F. Clenow 的《Trading Evolved》- Robert Carver 的《Systematic Trading》- Brian Peterson 的《Developing & Backtesting Systematic Trading Strategies》- Ernest P. Chan 的《Algorithmic Trading》- Barry Johnson 的《Algorithmic Trading and DMA》- Emilio… 的《Trading Systems》
/r/algotrading - Trading Evolved, Andreas F. Clenow - Systematic Trading, Robert Carver - Developing & Backtesting Systematic Trading Strategies, Brian Peterson - Algorithmic Trading, Ernest P. Chan - Algorithmic Trading and DMA, Barry Johnson - Trading Systems, Emilio…
以前在对冲基金工作过的 Robert Carver 写过一本讲这些思路的书，叫《Systematic Trading》兼。
Robert Carver, who used to work at a hedge fund, has a book on these ideas, "Systematic Trading".