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www.facebook.com/mangmaoclub 167,000 Likes

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Note 1 :

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, , , , (Clinical - Discretional Decision Making)

(Trade by Trade) ,

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1 :

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(Complex) (Randomness)

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() 1

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(Bias)

Note 2 :

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20 ( .. 1930 ) .. 1970 () SPM Statistical Prediction Method 2

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2 :

( 2)

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() ( 3) Trade by Trade

3 :

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Note 3 : SPM SPM ,

Note 4 :

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SPM Paul E. Meehl Clinical Versus Statistical Prediction : A Theoretical Analysis and a Review of the Evidence .. 1954

4 : Clinical vs. Statistical Prediction Paul E. Meehl

Meehl SPM

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Meehl Robyn Dawes Journal of Clinical Psychology .. 2005 Meehl Dawes SPM 135 SPM SPM () Dowes

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House of Cards : Psychology and Psychotherapy Built on Myth

5 : House of Cards : Psychology and Psychotherapy Built on Myth Robyn Dawes

Jesse Livermore 20 (.. 1900 - 1940) Livermore (, , ) Livermore

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.. 1940

Less is more

Andrew Martin Kavin Quinn .. 2001 SPM

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! 38 SPM SPM

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1. 2. 3. 4. 5. ( )6.

? 38 SPM 59% SPM 75% 3 !

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(Robustness) Over-Fitting

Over-Fitting ( System 2 4 ) Link

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6 : Over Fitting http://www.mangmaoclub.com/overfitting-effect/

3

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1. (Heuristic Judgment Errors or Fuzzy Thinking)

2. (Complexity Thinking Errors)

3. (Intractable Thinking Errors)

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(Heuristic Judgment Errors or Fuzzy Thinking)

(Heuristic Judgement Error) ,

30 (Cognitive Psychology)

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, (Heuristic Judgement)

(Complex and Random) (Bias)

(Over Confident Bias)

(Commitment Bias)

(Herding Bias)

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(Anchoring Bias)

(Emotional Connection Bias)

(Avaliability Bias)

(Recency Event)

(Stories)

Note 5 :

,

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(Complexity Thinking Errors)

(Extreme Prediction Based on Insufficient Data)

(Ignoring The Base Line)

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(Failure to Understand The Law of Large Number)

Kahneman Tversky .. 1974 ( )

Gamblers Fallacy 50 : 50

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( Serial Correlation )

(Crime of Small Numbers) (Sample Size)

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(Point Estimation) (Range Estimation) ( 10%) ( Confidence Interval) (Variance) (Number of Observations)

(Law of Large Numbers) (!!)

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(Intractable Thinking Errors)

(linear

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Problem) (Configural Problem)

7 : Configural Problem

Configural Problem

(Rubik Cube)

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, , ,

(Non-Linear Relationship) ( )

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()

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( ) SPM

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8 : SPM

SPM .. 1970 () SPM Hedge fund Managed Futures CTA (Commodities Trading Advisor) TOP 10 SPM

Jim Simon Reneseince Technologies4 HFT (High Frequency Trading) RenTech AUM (Asset Under Management) 1.5 ($15 Billion) .. 1989 Medallion Fund 35%

Ray Dailo Bridgewater5

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Bridgewater (Global Macro) Bridgewater (Fund of Funds) Bridgewater Hedge Fund AUM ($122 Billion)

David Harding Winton Capital Management6 Trend Following Futures Winton Systematic Trend Following AUM (25.5 Billion) . 1997 Winton 2

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SPM Algorithm (

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Magic Formula

Magic Formula7 Joel Greenblatt The Little Book That Beats The Market .. 2005 Greenblatt .. 1988 - 2004 30% ( Magic Formula ) Magic Formula Magic Formula

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9 : Magic Formula Long Short , (EEMEA) .. 2008 - 8 Long Order Magic Formula

Turtle System

Turtle System Commodities

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(Price Channel Breakout) Turtle System Systematic Trend Following9 Hedge Fund CTA

10 : CTA Barclay CTA Index .. 1980 - 10 Systematic Trend Following

CANSLIM

CANSLIM11

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Trend Following .. 1988 How to Make Money in Stocks William J. ONeil Investor Business Daily CANSLIM Wallstreet

11 : NorthCoast Private Fund Systematic CANSLIM .. 2001 - 12 S&P500

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1 ?

-

(Outlier)

, 2 SPM Statistical Prediction Method Naked Portfolio Manager Robert J. Fischer, CFP

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Systematic Trading, Algorithmic Trading Mechanical Trading3 Super Crunchers : Why Thinking by Numbers The New Way To Be Smart Ian Ayres4 http://en.wikipedia.org/wiki/Renaissance_Technologies5 http://en.wikipedia.org/wiki/Bridgewater_Associates6 http://en.wikipedia.org/wiki/Winton_Capital_Management7 Magic Formula http://en.wikipedia.org/wiki/Magic_formula_investing8 http://www.valuewalk.com/2013/09/joel-greenblatt-eema-magic-formula9 Trend Following http://en.wikipedia.org/wiki/Trend_following10 http://www.barclayhedge.com/research/indices/cta/sub/cta11 CANSLIM http://en.wikipedia.org/wiki/CAN_SLIM12 http://www.northcoastam.com/canslim.html

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