The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution

Wow... what a book! Jim Simons... an idol for every trader. So far, I think this is the only book in the market about the mighty Quant. I read a Chinese version book about Jim Simons before. However, I remain suspicious on the contents of the book. Hence, when this book was introduced by Michael Covel, I have no hesitation to buy it.

Finally, we have a book that tells the whole story about Jim Simons. Well, I believe this book presented the real Jim Simons compares to those rumors and articles being circulated on the internet. The author did well in presented the whole chronology on how Jim Simons and co started till the latest. Along the way, there are newcomers as well as those who gave up. Hence, we can see how this quant revolution being made. Amazingly, it was an exciting but real tough journey.

You do not have to equipped yourself with great mathematical skill to read this book. The author did so well by presenting simple ideas that every reader shall be able to understand. After all, even if those coding was revealed, we might not understand at all. Basically, finance experts may not understand coding. Same thing applies to coder who may never understand the games of finance. So, again, what Jim Simons achieved, by combining both is really a remarkable stuff.

I believe some readers may be disappointed with this book. After all, this book does not reveal the real secret behind the success of Renaissance. However, like I mentioned above, unless you are a coder, otherwise, there is no point to show you the code. To me, this book is good enough. In fact, I rate it as excellent, 10/10! First of all, it is so hard to get the information on the mighty Jim Simons. Secondly, I am eager to know the history on how Renaissance being established. So, this book revealed what I want. This book is definately well worth reading. It is well written and surely a must read for those who works in financial market like me.

Last but not least... as listed below, I pick out certain points from the book which I found interesting. Thumbs up to the author in writing this book.

Simon quoted: "God gave me a tail to keep off the flies. But I rather have no tail and no flies. That's kind of the way I feel about publicity."

"The lesson was: Do what you like in life, not what you feel you 'should' do," Simon says. "It's something I never forgot."

Lenny Baum developed a saying that became the group's credo: "Bad ideas is good, good idea is terrific, no ideas is terrible."

Markov chains, which are sequences of events in which the probability of what happens next depends only on the current state, not past events.

In a Markov chain, it is impossible to predict future steps with certainty, yet one can observe the chain to make educated guesses about possible outcomes. Baseball can be seen as a Markov game.

A hidden Markov process is one in which the chain of events is governed by unknown, underlying parameters or variables.

"I don't want to have to worry about the market every minute. I want models that will make money while I sleep," Simons said. "A pure system without human interfering."

Stochastic equations, the broader family of equations to which Markov chains belong. Stochastic equations model dynamic processes that evolve over time and can involve a high level of uncertainty.

I strongly believe, for all babies and a significant number of grownups, curiosity is a bigger motivation than money. ~~~ Elwyn Berlekamp

Berlekamp argued that buying and selling infrequently magnifies the consequences of each move. Mess up a couple times, and your portfolio could be doomed. Make a lot of trades, and each individual move is less important, reducing portfolio's overall risk.

Berlekamp and others developed a thesis that locals, or floor traders who buy or sell, like to go home at the end of trading week holding few or no future contracts. Similarly, brokers on the floors of commodity exchanges seemed to trim future positions ahead of the economic reports. Medallion's system would buy when these brokers sold, and sell the investments back to them as they became more comfortable with the risk.

Certain trading bands from Friday morning's action had the uncanny ability to predict bands later that same afternoon, nearer to the close of trading. If market moved higher late in the day, it often paid to buy futures contracts just before the close of trading and dump them at the market's opening the next day.

"I don't know why planets orbit the sun," Simons told a colleague suggesting one needn't spend too much time figuring out why the market's patterns existed. "That doesn't mean I can't predict them."

Simons, too, became nervous when his fund went through rocky times. On the whole, though, Simons maintained faith in his trading models, recalling how difficult it had been for him to invest using his instincts. He made commitment to refrain from overriding the model, hoping to ensure that neither Medallion's returns, nor the emotions of his employees at Renaissance, influenced the fund's moves.

It continued to identify enough winning trades to make serious money, usually by wagering on reversions after stocks got out of whack. Over the years, Renaissance would add twists to this bedrock strategy, but, those would just be second order complements to the firm's core reversion to the mean predictive signals. 

Never place too much trust in trading models. Yes, the firm's system seemed to work, but all formulas are fallible. This conclusion reinforced the fund's approach to managing risk. If a strategy wasn't working, or when market volatility surged, Renaissance's system tended to automatically reduce positions and risk. 

Simons often emphasized the importance of not overriding their trading system. But, in market crisis, he tended to pull back on the reliance on certain signals, to the chagrin of researchers who didn't believe in ever adjusting their computer programs. 

Medallion made between 150,000 and 300,000 trades a day, but much of that activity entailed buying or selling in small chunks to avoid impacting the market prices, rather than profiting by stepping in front of other investors. What Simons and his team were doing wasn't quite investing, but they also weren't flash boys. 

Medallion still held thousands of lonf and short positions at any time, and its holding period ranged from one or two days to one or two weeks. The fund did even faster trades, described by some as high frequency, but many of those were for hedging purposes or to gradually build its positions. "I am not sure we're the best at all aspects of trading, but we're the best at estimating the cost of a trade, " Simons said. 

Medallion still did bond, commodity and currencies trades, and it made money from trending and reversion-predicting signals. The gain on each trade were never huge, and the fund only got it right a bit more than half the time, but that was more than enough. 

How the firm wagered was at least as important as what it wagered on. If they found a profitable signal, the wouldn't buy when the clock struck nine, potentially signalling to others that a move happened each day at that time. Instead, it spread its buying out throughout the hour in unpredictable ways, to preserve its trading signals. 

Instead of the hit-and-miss strategy of trying to find signals using creativity and thought, now you can just throw a class of formulas at machine learning engine and test our millions of different possibilities.

你的煩惱，哲學家早有答案

哲学。。。这个领域曾经是我的最爱！可能以前看了太多这类书籍，因此这几年不太热衷于这个曾经的最爱，哈哈。这回，基于工作需要，因此需要恶补这一块。

结果是。。。这本书还真的挺有趣的。。。第一，里头列出的烦恼的确是一般凡人所面对的烦恼。当然，如果你不是凡人，这本书你可以抛到云霄之外。作者很巧妙的把古人（顶级聪明的古人）一些理论套用在凡人的问题上。这方面，作者做的非常到位。第二，作者的文笔（虽然是翻译的）也是堪称一绝。哲学理论基本上挺闷的。但是，这本书读起来轻松而且很有趣。第三，虽是翻译书，但是，如果没察觉，还真的感觉不到翻译的效果。

赞赏的方面是有。但，批判也是需要的。作者虽然巧妙的把古人的智慧套用在凡人的问题上；但是往往也造成对号入座的问题。有些哲学理论显然一开始应该不是这样运用的。但，作者为了满足读者的需求，却硬生生的把这些伟大理论套用在凡人的身上。创意是有，但造作肯定也不少。再来，哲学的伟大在于思想精髓。既然是思想精髓，那么把伟大的哲学套用在凡人的琐碎问题上，岂不是大材小用吗？

再来，这本书如果纯粹的把它当作是哲学书籍来阅读，可能效果会更好。很多时候，这本书让我陷入哲学的思考中。整个过程彷佛回到哲学领域多过凡人的问题上。第一，书里凡人的问题，我不完全有。第二，因为作者尝试把哲学的理念解说的太清楚，往往我都忘了我在看着凡人的问题。整本书的概念是对的。借由凡人的问题把哲学领域推上另一个高峰的确是作者创意的一面。但是，阅读本该是学习+愉快！这方面，混乱的搭配有时反而引起反效果。

满分十分，个人给予六分。这本书整体上挺有趣，读一读无妨。但是，如果要深入了解哲学这本书顶多只能是一本初级版的哲学书。评分不高（也不低吧），还是有些语录值得深思的。以下语录与天下烦恼的凡人共勉之：

亨利 柏格森：
我们企图利用看得到的空间，类比，管理时间这种看不见的东西，借此有效的不浪费地使用时间。原本应该让自己的时间活得丰富精彩，获得自由的我们，因为受到对他人的承诺与社会规范的约束，误以为使劲的把时间填满，就是过的充实。我们对此毫无反省。

马克斯 韦伯：
舍弃对财富的执念，勤奋工作的人，最后才会成为有钱人。
尚若世上有推动我们人类的动力，绝不会是金钱本身。

亚里士多德：
暂时忘掉未来的目的和计划，让自己一头栽进当下想做的事情，应该要做的事。
不管结果如何，享受过程的一切。唯有不随便，尽全力享受过程的人，才能在关键时候做出最好的表现。

德勒兹：
即便是封闭，让人窒息的职场环境，仔细观察，其实充满了各种可以逃离的缝隙，有着许多机会的希望场所。

释迦摩尼：
放下过去的记忆，或是对未来的不安，恐惧的执着，集中精神于当下。
禅让我们从烦恼的人，变成观察烦恼的人。

尚保罗 沙特：
即便一开始和帅哥美女距离遥远，人只要凭着正确的意志和努力，往反方向奋力一跳也有机会终成眷属。

弗德里希 尼采：
生命这个东西不断的兜圈子。无论是幸福愉快的经验还是不想回忆的失败经验，最终都会因缘而结合在一起。
我们要去爱，享受那大起大落的人生。

米哈里 契克森米哈伊：
拿自己的身份状态跟别人比较，以证明自己优于他人；或是相反，觉得自己不优秀，落后别人，而感到低劣他人一等；无论那一种都是自卑情结，没有差别。

汤馬士 霍布斯：
随时提高警惕，唯有紧张兮兮到病态的程度才能存活。
多疑是存活的必备条件。
我毕生的热情，都投注在恐惧上。

阿尔弗雷德 阿德勒:
被看不起本身并不是问题。以为被看不起而感到在意，误以为别人的课题是自己的课题才是问题。
人只要在觉得自己有价值时，才有勇气进入人际关系。在外面的世界，即便被看不起也能不动声色，尽可能的充实自己的内在。这样做，就能做到课题分离了。

汉娜 尔兰：
若未能从过去的行为解放，我们的行动能力就会一直受到过去某个失败所束缚，而无法修复人与人之间的关系。
与报复相反的原谅，可以让对方和自己，从最初犯下的错误，以及报复可能引发的连锁当中获得自由，进而与断绝关系的人和解。

格欧尔格 W 黑格尔：
敌对的你和我，因为互相理解变成我们。一起往上提升才是最重要的。

丹尼尔 康纳曼：
人无法做出理性的判断。统计学的期望值例子。选择麻痹（选择越多，人反而无法选择或是直接放弃选择）
人具有这样的倾向：一旦做了决定，这个决定就会一直跟着自己，影响之后的人生。

叔本华：
让自己沉溺在兴趣之中，享受孤独，研究自己喜欢的东西，专注在独自一人能做的工作，才能度过有意义的孤独时光。孤独并不可怕。
喜爱孤独的人，犹如手中握有金矿。

亚当理论

老友介绍的一本书。。。据老友形容，这本书神奇到能让所有的交易者呈现空杯心态，然后改过自新的一本书。哇！这么神，怎能错过呢？

这本书是著名技术分析学者（师傅）Welles Wilder的呕心力作。Wilder 利用这本书颠覆了他一生引以为傲的技术分析。金融市场就是有它残酷的一面。很多交易者终其一生才明白简单的原理远远胜过复杂却又未必有效的方法。这本书恰恰带出了这个残酷的讯息！

有一点我很佩服！作者贵为技术分析的老祖宗，却又能承认自己的不足，然后空杯心态的放弃毕生研究！单单这一点，这本书就已经值回票价了。作者很用心的把所谓的亚当理论解说的清清楚楚。除了理论，作者呈现更多真实例子来巩固亚当理论的可行性。有一点，我确实费解？为什么把这理论称为亚当理论呢？这一点作者倒是漏了解说。

这是一本翻译书。基于老友推荐的功力实在行，我这个急性子就用最快的方法买下了这本翻译版本。庆幸的是，这本书的翻译还真不赖。实际上，整本书完全没有翻译的缺陷。虽然文字不完美，但是胜在明明白白。

如果满分是10分，我会毫不犹疑给予10分。除了这本书写的有理，我觉得作者也很诚恳的把它呈现出来给读者。对于市面上一直不断在寻寻觅觅圣杯的交易者来说，这本书简直就是当头棒喝！姑且不谈亚当理论的可行度。。。但是我很肯定书里的理论足够敲醒一群庸庸碌碌的交易者。这本书我个人非常欣赏。以下是书里的一些精彩语录：

从事交易不需要了解太多，比你看到的还要少。

任何好的系统和方法，几乎都可以赚上一整子钱，但是迟早会产生恶果。

假设我们声称任何一笔交易不会亏损超过300美元，为什么是300美元呢？为什么不是200美元还是400美元？这可能是我们做出来最武断的事情了。

出场的目标又如何？最不武断的行为是让市场告诉我们何时获利了结。其中一种方法就是顺着交易的方向不断移动止损点，直到触发止损出场为止。

那一年有几种商品出现大幅波动，我们只要转而交易这些正在波动的产品就行了。

优秀的交易者会利用方向和持续期，而非转折点。

我们所犯的最大错误是每次都不肯认赔小钱。我们所犯的第二错误是不跟随趋势。我们所犯的第三错误是不去赚大钱。

任何时候加码，绝对绝对不要超过最初买进的头寸。

当回档买进，其实就是在强势中的弱势情况下买进。反而，我们要见强买强，见弱卖出。

杰西利佛莫一生中赚过很多钱，但是又全部赔光了。我们能称他为优秀的交易者吗？不能。我们赚了很多钱不重要，重要的是我们能留住多少钱。

进场交易：
1. 突破。
2. 趋势改变
3. 缺口或当日高低价差大。

亚当理论：
1. 进场交易三个条件。
2. 没有想在底部或高部进场。而是等到线索2和3都满足，中心对称图显示市场不会回档到目前的进场水平后，才进场。
3. 根据市场之前的低点初步设止损，因为中心对称图尚未指出该如何设止损。
4. 要么保持止损不动，要么只沿着交易的方向移动止损。
5. 跟原先进场交易时一样，我们在同样的考虑下增加头寸。

千万别逆势交易，除非又明显的证据表明反转已经发生。（请注意，是已经发生，而不是将要发生或应该发生）

亚当理论所说的是概率很高的事，而不是绝对的事。

准确捉住顶部和底部的几率比在拉斯维加斯吃角子老虎机还差。