Knowledge Cards - Systematic Trading

Raccolta di knowledge cards per studio e memorizzazione dei concetti chiave sul trading sistematico.

Panoramica

Totale Cards: 41 - Concepts: 16 cards - Formulas: 10 cards - Parameters: 8 cards - Rules: 2 cards - Procedures: 3 cards

Formato: Markdown semplice con cross-reference wiki-style [[link]]

Obiettivo: Studio e memorizzazione stile flashcard dei concetti fondamentali.

Concepts (16 cards)

Fondamenti Risk & Return

  1. Sharpe Ratio - Misura di rendimento risk-adjusted
  2. Standard Deviation - Misura primaria del rischio
  3. Risk-Adjusted Returns - Framework per confronto strategie
  4. Leverage - Leva finanziaria, leverage factor, margin

Kelly Criterion & Risk Management

  1. Kelly Criterion vs Half-Kelly - Formula leverage ottimale
  2. Skew - Asimmetria distribuzione, positive/negative/zero
  3. Geometric vs Arithmetic Mean - Compounding, volatility drag
  4. Drawdown - Perdite cumulative, max DD, recovery time

Advanced Concepts

  1. Volatility Clustering - Persistenza volatilita
  2. Diversification Multiplier (IDM) - Beneficio diversificazione
  3. Correlation - Misura movimento congiunto, diversification driver
  4. Carry - Differenza yield vs funding cost

Trading Strategies

  1. Mean Reversion - Ritorno alla media, negative skew
  2. Overfitting e Backtesting - Metodologie validation, realistico SR

Trading Basics

  1. Long vs Short - Direzioni trading, carry, asimmetria
  2. Futures vs CFD - Confronto prodotti
  3. Bid-Ask Spread - Costo implicito trading
  4. Margin Call - Richiesta margin, auto-liquidation

Formulas (10 cards)

Position Sizing & Risk

  1. Position Sizing Formula - Formula principale per calcolare contratti
  2. Kelly Criterion Formula - Calcolo leverage ottimale
  3. Notional Exposure - Calcolo exposure per prodotti
  4. Minimum Capital - Capitale minimo per strumento

Volatility & Forecasting

  1. EWMA - Exponentially Weighted MA per volatility
  2. Volatility Conversions - Daily ↔ Annual, time scaling
  3. IDM Calculation - Formula diversification multiplier

Costs & Performance

  1. Risk-Adjusted Costs - Costi in SR units
  2. Sharpe Ratio Calculation - Da dati storici

Trading Rules

  1. Forecast Scaling - Scalar calculation, combination

Parameters (8 cards)

Trading Rule Parameters

  1. EWMAC Speeds - 16/64, 32/128, 64/256 speeds
  2. Forecast Caps - Range -20 to +20, scaling
  3. Lambda Ottimale (0.06061) - EWMA parameter

Risk Parameters

  1. Volatility Targets - Raccomandati per tipo trader
  2. Blend Weights (0.7/0.3) - Short/long-term volatility
  3. Half-Kelly Multiplier (0.5) - Conservative Kelly

Cost Parameters

  1. Cost Thresholds - Speed limit rule (SR/3)
  2. Turnover Typical - Expected per strategia

Rules (2 cards)

Operative Rules

  1. Rule of 20 - Convertire one-time costs in annual equivalent
  2. Smart Execution - Limit orders strategy per minimizzare costs

Procedures (3 cards)

Trading Procedures

  1. Volatility Forecast - Procedura blend EWMA + long-term per forecast volatilita
  2. Forecast Combination - Combinare multiple trading rules in forecast scalato
  3. Rolling Futures - Passaggio smooth da contratto scadenza a successivo

Percorsi di Studio Consigliati

Principiante (Start Here)

  1. Standard Deviation
  2. Sharpe Ratio
  3. Leverage
  4. Long vs Short
  5. Bid-Ask Spread
  6. Futures vs CFD
  7. Margin Call

Poi formule base: - Notional Exposure - Sharpe Ratio Calculation - Volatility Conversions

Intermedio

Dopo principiante: 1. Risk-Adjusted Returns 2. Kelly Criterion vs Half-Kelly 3. Volatility Clustering 4. Skew 5. Drawdown 6. Carry 7. Diversification Multiplier 8. Correlation

Formule avanzate: - Position Sizing - Kelly Formula - EWMA - Risk-Adjusted Costs

Parameters: - Volatility Targets - Half-Kelly Multiplier - Cost Thresholds - EWMAC Speeds

Procedures: - Volatility Forecast

Avanzato

Tutto il precedente, poi: 1. Geometric vs Arithmetic Mean 2. Mean Reversion 3. Overfitting e Backtesting 4. Blend Weights 5. IDM Calculation

Rules: - Rule of 20 - Smart Execution

Procedures: - Forecast Combination - Rolling Futures

Implementation completa.

Come Usare le Knowledge Cards

Studio Attivo

  1. Leggi card completa - Comprendi concetto
  2. Chiudi e recall - Spiega senza guardare
  3. Check esempi - Verifica con numeri
  4. Test cross-reference - Segui [[link]]

Spaced Repetition

  • Nuove: Review giorno dopo
  • Facili: Review 3-7 giorni
  • Difficili: Review giorno dopo
  • Mastered: Review 2-4 settimane

Focus Areas Per Obiettivo

Implementare trading system: - Tutte le Formulas - Volatility Targets - Cost Thresholds - Position Sizing - EWMAC Speeds - Volatility Forecast (procedura) - Forecast Combination (procedura) - Rolling Futures (procedura)

Risk management: - Kelly Criterion - Skew - Volatility Clustering - Leverage - Half-Kelly Multiplier - Drawdown - Margin Call - Volatility Forecast (procedura)

Cost optimization: - Risk-Adjusted Costs - Bid-Ask Spread - Cost Thresholds - Turnover - Rule of 20 - Smart Execution - Rolling Futures (procedura)

Portfolio construction: - Diversification Multiplier - IDM Calculation - Correlation - Blend Weights

Strategy development: - Overfitting - Mean Reversion - Carry - Forecast Scaling - Forecast Combination (procedura)

Grafo dei Concetti Chiave

Sharpe Ratio ─────┬──────> Kelly Criterion ───> Volatility Targets
                  │                │                    │
                  │                └──> Half-Kelly      │
                  │                                     ▼
                  └──────> Risk-Adj Costs        Position Sizing
                                                         │
Standard Deviation ───> EWMA ───> Volatility Clustering ┘
                         │                │
                         │                └──> Blend Weights
                         │
                         └──> Lambda (0.06061)

Leverage ───> Kelly ───> Half-Kelly (0.5)
   │                          │
   │                          └──> Volatility Targets
   │
   └──> Margin Call

Skew ───> Quarter-Kelly (negative skew)
      └──> Mean Reversion (negative skew strategy)

Bid-Ask Spread ───┬
                  │
Trading Costs ────┼──> Risk-Adj Costs ───> Cost Thresholds
                  │                              │
Turnover ─────────┘                              └──> Speed Limit

EWMAC Speeds ───> Forecast Scaling ───> Forecast Caps
                                              │
                                              ▼
                                      Position Sizing

Correlation ───> IDM Calculation ───> Diversification Multiplier
                                              │
                                              └──> Position Sizing

Drawdown ───> Performance Monitoring
          └──> Psychology Management

Carry ───> Strategy Selection
      └──> Product Selection (Futures vs CFD)

Overfitting ───> Backtest Methodology
            └──> Realistic SR Expectations

Rule of 20 ───> Cost Comparison
           └──> Platform Selection

Smart Execution ───> Transaction Costs Reduction

Quick Reference Tables

Key Parameters Summary

Parameter Value Use Case
Lambda (volatility) 0.06061 EWMA volatility forecasting
EWMAC Fast 16/64 Starter trend following
Forecast Range -20 to +20 Position sizing
Forecast Target ±10 Average forecast
Vol Target (conservative) 12% Beginner/risk-averse
Vol Target (moderate) 20-25% Experienced trader
Vol Target (max) 50% Never exceed
Half-Kelly 0.5 Kelly multiplier
Quarter-Kelly 0.25 Negative skew
Cost Speed Limit SR / 3 Max acceptable cost
Blend Weights 0.7 / 0.3 Short/long-term vol
Rule of 20 Divide by 20 One-time to annual cost
Min Contracts 4 Position sizing flexibility

Formula Quick Access

Need to Calculate See Card
Position size Position Sizing
Optimal risk target Kelly Formula
Expected costs Risk-Adj Costs
Volatility forecast EWMA
Performance metric Sharpe Calculation
Diversification benefit IDM Calculation
Minimum capital needed Minimum Capital

Strategy Characteristics

Strategy Type SR Skew Turnover Best For
Trend Following 0.3-0.5 +0.5 to +1.0 5-10× Trending markets
Carry 0.4-0.6 -1.0 to -2.0 2-4× Range markets
Mean Reversion 0.3-0.5 -1.0 to -2.0 15-30× Range markets
Buy & Hold 0.2-0.4 0 2-3× Long-term

Statistiche per Categoria

Concepts (16 cards)

  • Livello Beginner: 6 cards (38%)
  • Livello Intermediate: 8 cards (50%)
  • Livello Advanced: 2 cards (12%)

Formulas (10 cards)

  • Livello Beginner: 3 cards (30%)
  • Livello Intermediate: 6 cards (60%)
  • Livello Advanced: 1 card (10%)

Parameters (8 cards)

  • Livello Intermediate: 6 cards (75%)
  • Livello Advanced: 2 cards (25%)

Rules (2 cards)

  • Livello Intermediate: 2 cards (100%)

Procedures (3 cards)

  • Livello Intermediate: 2 cards (67%)
  • Livello Advanced: 1 card (33%)

Tags Più Comuni

  1. risk - 18 cards
  2. volatility - 12 cards
  3. position-sizing - 10 cards
  4. costs - 9 cards
  5. trading-strategy - 8 cards
  6. kelly - 7 cards
  7. sharpe-ratio - 7 cards
  8. diversification - 6 cards

Prossime Espansioni Possibili

Fase 2 - Strategy Details (parzialmente implementate): - Breakout strategies (da implementare) - Value strategies (da implementare) - Volatility trading (da implementare) - Stop loss rules (da implementare)

Fase 3 - Advanced Topics: - Portfolio rebalancing priorities - Dynamic optimization - Multiple time frames - Seasonal patterns - Regime detection

Creato: 2025-10-28 Ultimo aggiornamento: 2025-10-28 Versione: 1.2 Fase Completata: 1 (Fundamentals + Rules + Core Procedures)