"Comfortable" trading 3
"Natural" trading 3
100-hour moving average filters, relative strength index with 96—97
15-minute bar systems 99
16.67-hour moving average filter, relative strength index with 99—100
2-hour bars, swing trading with 90—93
200-day moving average filter, Bollinger bands with 79—80
200-day moving average filter, relative strength index with 75—79
200-day simple moving average 4—5
200-hour moving average filter, relative strength index with 93—94
30-minute bars, mean reversion, systems with 96—99
400-hour moving average filter, relative strength index with 92
5-minute bar systems 99 100
50-hour moving average filter, relative strength index with 99
52-period moving average 26
60-minute bars, mean reversion, systems with 93—94
accuracy of data 117
Adaptive moving averages 19
ADX see "Average directional movement index"
Aesop 1
Alcott, Louisa May 163
Anti-Martingale strategy 168 169
Appel, Gerald 27
Aristotle 189
Asset classes, data analysis by 151—154
Asset classes, trending 63—64
Average directional movement index (ADX) 28—29
Average directional movement index (ADX), Bollinger bands with 81—82
Average directional movement index (ADX), DMI with 57 58
Averaging down 168—169
Backtesting 48 89—90
Backtesting and same-day profit target/stop loss 73—74
Backtesting for data integrity 116—118
Bad data 117
Behavioral Finance 1
Benchmarking 123
Body-mind interaction 191—192
Bollinger bands and Ichimoku three moving average crossover 61
Bollinger bands and moving average, convergence/divergence indicator 62
Bollinger bands with 200-day moving average filter 79—80
Bollinger bands with ADX filter 81—82
Bollinger bands, mean reversion systems 36—37
Bollinger bands, trend-following systems 60—61
Bollinger, John 36
Breakeven syndrome 68
Breakouts, Bollinger band 60
Breakouts, channel 30—31 59—60 90—91
Breakouts, false 19
CCI see "Commodity channel index"
Channel breakout for trend-following swing trading 90—91
Channel breakout in trend-following systems 59—60
Channel breakout, nth period (Donchian's) 30—31
Collins, Art 59
Commodity Channel Index (CCI) 37—39
Commodity channel index (CCI), slow stochastics extremes with 82—83
Commodity channel index (CCI), slow stochastics extremes with time exit and 83—85 92—93
Conflict, internal 193
Confucius 177
Consciousness, evolution of 196—197
Consecutive losses 161
Consistency 195 196
Contract size 43—44
Contrarian investing 16 17
Corrections 8—9
Correlation history 172
Countertrend reversals 8—9
CQG programming code for Bollinger band breakout system 60
CQG programming code for Bollinger bands with 200-day moving average 79—80
CQG programming code for Bollinger bands with ADX filter 81—82
CQG programming code for channel breakout 59
CQG programming code for directional movement indicator 56—57
CQG programming code for DMI with ADX 58
CQG programming code for Ichimoku three moving average crossover 54
CQG programming code for Ichimoku two moving average crossover 2
CQG programming code for MACD stop and reverse 55
CQG programming code for RSI crossover 95—96
CQG programming code for RSI with 20-day moving average filter 75 76
CQG programming code for seven-period reversal 94—95
CQG programming code for slow stochastics extremes with CCI 82—83
CQG programming code for slow stochastics extremes with CCI and time exit 83—85
CQG programming code for three moving average crossover 53
CQG programming code for two moving average crossover system 50—51
Cumulative losses 171
Curve fitting 123—125
Cutting losses 65—66
Cutting profits 66—69
Data analysis process 151—158
Data analysis process by asset classes 151—154
Data analysis process, out-of-sample 157—158
Data analysis process, out-of-sample, year-by-year in-sample 152—157
Data curve fitting 124 125
Data integrity 44—48 116—120 149
Day trading 101 see
Day trading, mean reversion with trend-following filter 112—113
Day trading, nondirectionally biased mean reversion 113
Design, Testing and Optimization of Trading Systems (Robert Pardo) 125
Differential oscillators 34
Directional movement indicator (DMI) 27—28 56—58
discipline 85—86 189—191 195
Discretion 185—188
Discretion and paradigm shirts 185—186
Discretion and price shock events 186
Discretion and volatility 186—187
Discretion, mechanical 187—188
Discretion, pros and cons of 188
Diversification 177—183
Diversification of parameter sets 177—180
Diversification, mechanics of 180—182
Diversification, psychology of 182—183
Diversification, types of 177
DMI see "Directional movement indicator"
Donchain's channel breakout 30—31 59
Donchian, Richard 30
Dow Jones Industrial Average 16—17
Drawdowns 175
Drawdowns, duration of 160
Drawdowns, maximum drawdown duration 49
Drawdowns, profit to maximum drawdown 50 62 67 161
Drawdowns, worst peak-to-valley 48 160—165
Dualism 197
Duration of drawdowns 160
Duration of trades 119 159
Emerson, Ralph Waldo 41
Emotionalism 5 17—18 192 193 196
Enlightenment 197
Entering trades, basic questions about 42—43
Entering trades, control over point for 163
Entering trades, data integrity and price level for 117—118
Entering trades, psychology of 2
Entering trades, random entry signals 164
Equalized continuation price series charts 45—47
Euphoria 195
Evolution of consciousness 196—197
Exiting trades 2—3
Exiting trades with losses 86
Exiting trades, basic questions about 42—43
Exiting trades, data integrity and price level for 117—118
Expected return 160
Fading 22 23 87
False breakouts 19
Fear 195
Filters 63
Filters, Bollinger bands with 200-day moving average filter 79—80
Filters, Bollinger bands with ADX filter 81—82
Filters, intermediate-term mean reversion with trend-following filter 109—110
Filters, mean reversion day trading with trend-following filter 112—113
Filters, mean reversion swing trading with trend-following filter 111
Filters, RSI with 100-hour moving average filters 96—97
Filters, RSI with 16.67-hour moving average filter 99—100
Filters, RSI with 20-day moving average filter 75 76
| Filters, RSI with 200-day moving average filter 75—79
Filters, RSI with 200-hour moving average filter 93—94
Filters, RSI with 400-hour moving average filter 92
Filters, RSI with 50-hour moving average filter 99
Filters, slow stochastics extremes with CCI filter and time exit 83—85 92—93
Fixed fractional money management 169
Flat time 159
flexibility 189—192
Futures contracts 44—48
Galileo 115
Greed 195
Guaranteed return of principal investments 164
Heteroskedasticity 158
Hilltops, performance 148
Historical data as basis for system development 115 119
Historical data for value at risk 170
Historical data, percentage changes in 47—48
Historical data, performance 125
Ichimoku Kinkou Hyou 26
Ichimoku three moving average crossover 54—55 61
Ichimoku two moving average crossover 52
Illiquidity 87—88
Inconsistency 195
Indicator-driven triggers 18—26
Indicator-driven triggers, definition of 9
Indicator-driven triggers, moving averages 18—26
Indicator-driven triggers, psychological significance of 9 10
Indicator-driven triggers, simple moving averages 18
Indicator-driven triggers, volume-adjusted moving averages 18
Indicators see "Technical indicators"
Inefficient market, myth of 1—2
Integrity, data 44—48 116—120 149
Integrity, system 119 121—122
Intermediate-term trader psychology 6 182
Intermediate-term trader psychology for mean reversion with trend-following filter 109—110
Intermediate-term trader psychology for trend following 107—109
Intermittent losses 161
Internal conflict 193
Interpretive technical indicators 4
Intraday slippage 88
Intuition, psychic trader syndrome vs. 194—195
journaling 192
Lambert, Donald 37
Lane, George 32
Leptokurtic markets 10
Liquidity in short-term systems 87—89
Liquidity, risk, liquidity 159 164 172
Locked limit 118 172
Long view of trading 192
Long-term, trader psychology 106—108
Long-term, traders 6
Loss limits 65
Losses, cumulative 171
Losses, cutting 65—66
Losses, exiting trades with 86
Losses, intermittent vs. consecutive 161
Losses, probability of 170
MACD see "Moving average convergence/divergence indicator"
Market corrections 8—9
Markets and transformational growth 190
Markets for backtesting 43
Markets, higher truth of 190—191
Markets, irrationality of 1—2
Markets, leptokurtic 10
Markets, paradigm shifts in dynamics of 149—150 185—186
Markets, paradoxical nature of 189—190
Martingale strategy 168—169
Mathematical technical analysis 15—39
Mathematical technical analysis and types of technical indicators 16—17
Mathematical technical analysis, Donchian's channel breakout 30—31
Mathematical technical analysis, mean reversion indicators 17—18 31—39
Mathematical technical analysis, price-triggered trend following indicators 30—31
Mathematical technical analysis, trend-following indicators 16—30
Mathematical technical indicators 4 6
Maximum consecutive losses (MCL) 49—50 160
Maximum drawdown duration (MDD) 49
MCl see "Maximum consecutive losses"
MDD (maximum drawdown duration) 49
Mean reversion 10
Mean reversion indicators 17—18 31—39
Mean reversion indicators, Bollinger bands 36—37
Mean reversion indicators, commodity channel index 37—39
Mean reversion indicators, differential oscillators 34
Mean reversion indicators, momentum oscillators 34—36
Mean reversion indicators, oscillators 31
Mean reversion indicators, percentage oscillators 32—39
Mean reversion indicators, rate of change 34—36
Mean reversion indicators, relative strength index 33—34
Mean reversion indicators, statistical oscillators 35 36
Mean reversion indicators, stochastics 32—33
Mean reversion indicators, success of 17
Mean reversion systems 73—87
Mean reversion systems with 30-minute bars 96—99
Mean reversion systems with 60-minute bars 93—94
Mean reversion systems, day trading with trend-following filter 112—113
Mean reversion systems, nondirectionally biased 81—85
Mean reversion systems, psychological profile of traders in 85—87
Mean reversion systems, results of trend-following systems vs. 73
Mean reversion systems, same-day profit target and stop loss 73—74
Mean reversion systems, stop losses 74
Mean reversion systems, swing trading with 2-hour bars 92
Mean reversion systems, swing trading with trend-following filter 111
Mean reversion systems, trader psychology for 109—113
Mean reversion systems, trend-following 74—81
Mechanical discretion 187—188
Mechanical trading systems 5—6
Mechanical trading systems in price risk management 174—175
Mechanical trading systems, benefits of 116
Mechanical trading systems, definition of 5
Mechanical trading systems, pitfalls of 116—122
Momentum oscillators 34—36
Moving average and Bollinger bands 62
Moving average crossover, Ichimoku three moving average crossover 54—55
Moving average crossover, Ichimoku two moving average crossover 52
Moving average crossover, three 53—55
Moving average crossover, two 50—52
Moving average envelope 21—23
Moving average with profit exit 66—67
Moving average, convergence/divergence indicator (MACD) 26—27 55—56
moving averages 18—26
Moving averages, convergence/divergence 26—27
Moving averages, percentage penetrations of 21—23
Moving averages, simple 4 5 18
Moving averages, theory behind 4—5
Moving averages, time-driven confirmation patterns 19—22
Moving averages, trade-offs with 19
Moving averages, two and three moving average crossovers 23—26
Moving averages, volume-adjusted 18
Myths 1—3
Nearest futures charts 44 45
Non-exchange-traded instruments 117
Nonattachment 195 197
Nondirectionally biased mean, day trading 113
Nondirectionally biased mean, reversion systems 81—85 94—96
Nondirectionally biased mean, swing trading 112
Number of days 49
Number of trades 49
NYMEX 6 7
Oil futures market 6—8
Optimization 122—148
Optimization, avoiding pitfalls in 123—126
Optimization, benefits of 122—123
Optimization, definition of 122
Optimization, limited utility of studies on 123
Optimization, mechanics of 126—127 148
Optimization, two moving average crossover system study 127—148
oscillators 31—39
Oscillators, Bollinger bands 36—37
Oscillators, commodity channel index 37—39
Oscillators, momentum 34—36
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