70,000 Likes

2013 : Inside Trend Following

Contrarian Investing

Trend Following

,

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Contrarian Investing
()

,


!

!! !?
Mass !!
Contrarian Investing


(Paretos Principle)
(
80/20) Contrarian Investing

Mass Always Wrong!

 ()


?

13 ( ..2000)

 1 2 : 13

.. 2000


(Retail Customer) !


(Net Trading Value by
Investor Type)

()

(Correlation
Coefficient)

3 : (Correlation Coefficient)

4 : (Correlation Coefficient)
20

Note : (Correlation Coefficient)

1 1
1

1
0.3 0.3

!!
Correlation Coefficient 3
(Daily Net FOR)
(Daily Net CUST) 0.84


0.15

4 Daily Correlation
Coefficient

(Campaign Trading)
Correlation Coefficient
20

0.92
0.57

!?

(
Backtesting)

 5 :
Net Foreign ( )
(
) 0 0
10

(
)

 NET Foreign
- 4/1/2000 25/9/2013
()
- 1
- SET100

- (Position Size)
5% ( 20 /)
- 10
( 10
) 0
- 10

- (Ranking)
20 100 ()
10 20
Top Down Investing
(Leading Stock Theory)

 6 :
( Log-Scale)
SET Index ,
, Buy and
Hold SET Index

7 :
SET
Index

)
!


(
)

Note 2 :
%
Trade Win

(Mass Always Wrong)
Mass
(Mass Always Have Large
Losses)

% System Max
Drawdown
!

Parameter
10

10


(% Compound
Annual Return) Parameter

8 : %CAR
Parameter

11

Trend Following

Trend Following

Trend Following

12

Trend
Following

Trend Following
Trend Following

Trend Following
!

Trend Following



Trend Following

(Diversification) (Risk &

Money Management)

Trend Following
Breakout Breakdown

13

 9 : Breakout
Breakdown 20 SET Index
(
)

Breakout Breakdown
20
?
Parameter 20
SET Index
Parameter
SET Index

14


Trend Following

Value
Investing






!!

10 : Breakout
Breakdown 20 SET Index
4/1/2000 25/9/2013 SET Index
238 (62.96%) 140
(37.04%) 378

15

 11 :
SET Index Breakout
Breakdown 20

Breakout
20 SET Index - SET
Buy - 238 ()
(Net
Buy) 80%
SET Sell Breakdown
140 (Net
Sell) 90%

16

SET Buy
SET Sell 2

12 :
SET Index Breakout
Breakdown 20
12
SET Buy 238
(Net Sell) 80%
SET Sell 140

17

 (Net Buy) 90%

13 :

18

 SET Index Breakout

Breakdown 20
13

SET Index

(Net Buy) 60%

Trend Following
!

(Backtesting) SET Buy
SET Sell

Mangmao SET Buy

(
SET Buy SET Sell 9)

19

 Mangmao SET Buy

- 4/1/2000 25/9/2013
- 1
- SET100

- (Position Size)
5% ( 20 /)
- SET Buy Breakout
20 SET Index
(
)
- SET Sell Breakdown
20 SET Index

- (Ranking)
20 100 ()
10 20
Top Down Investing
(Leading Stock Theory)

Mangmao SET Buy System Net Foreign

10

20

 14 : Mangmao SET
Buy NET Foreign
10


2
%CAR

(Monthly Correlation Coefficient)

0.75 ( 75%
Mangmao SET Buy
)

21

 Trend
Following
10
Mangmao SET Buy System
NET Foreign
!

Trend Following

Trend Following


1.


%
Trade Win

2.


SET Index
3. SET
Buy 80%

22


90%
4.

Anti-Martingale (
)

Martingale (
)
5.
Trend Following


(
)
Backtest
, Breakout-Breakdown
SET Index, Mangmao SET Buy
NET Foreign Correlation Coefficient
0.75

Trend Following

23

:)

24

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