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Weisman R. Ч Mechanical Trading Systems
Weisman R. Ч Mechanical Trading Systems

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Ќазвание: Mechanical Trading Systems

јвтор: Weisman R.

язык: en

–убрика: “ехнологи€/

—татус предметного указател€: √отов указатель с номерами страниц

ed2k: ed2k stats

√од издани€: 2005

 оличество страниц: 240

ƒобавлена в каталог: 16.03.2013

ќперации: ѕоложить на полку | —копировать ссылку дл€ форума | —копировать ID
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ѕредметный указатель
"Comfortable" trading      3
"Natural" trading      3
100-hour moving average filters, relative strength index with      96Ч97
15-minute bar systems      99
16.67-hour moving average filter, relative strength index with      99Ч100
2-hour bars, swing trading with      90Ч93
200-day moving average filter, Bollinger bands with      79Ч80
200-day moving average filter, relative strength index with      75Ч79
200-day simple moving average      4Ч5
200-hour moving average filter, relative strength index with      93Ч94
30-minute bars, mean reversion, systems with      96Ч99
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      93Ч94
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      151Ч154
Asset classes, trending      63Ч64
Average directional movement index (ADX)      28Ч29
Average directional movement index (ADX), Bollinger bands with      81Ч82
Average directional movement index (ADX), DMI with      57 58
Averaging down      168Ч169
Backtesting      48 89Ч90
Backtesting and same-day profit target/stop loss      73Ч74
Backtesting for data integrity      116Ч118
Bad data      117
Behavioral Finance      1
Benchmarking      123
Body-mind interaction      191Ч192
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      79Ч80
Bollinger bands with ADX filter      81Ч82
Bollinger bands, mean reversion systems      36Ч37
Bollinger bands, trend-following systems      60Ч61
Bollinger, John      36
Breakeven syndrome      68
Breakouts, Bollinger band      60
Breakouts, channel      30Ч31 59Ч60 90Ч91
Breakouts, false      19
CCI      see "Commodity channel index"
Channel breakout for trend-following swing trading      90Ч91
Channel breakout in trend-following systems      59Ч60
Channel breakout, nth period (Donchian's)      30Ч31
Collins, Art      59
Commodity Channel Index (CCI)      37Ч39
Commodity channel index (CCI), slow stochastics extremes with      82Ч83
Commodity channel index (CCI), slow stochastics extremes with time exit and      83Ч85 92Ч93
Conflict, internal      193
Confucius      177
Consciousness, evolution of      196Ч197
Consecutive losses      161
Consistency      195 196
Contract size      43Ч44
Contrarian investing      16 17
Corrections      8Ч9
Correlation history      172
Countertrend reversals      8Ч9
CQG programming code for Bollinger band breakout system      60
CQG programming code for Bollinger bands with 200-day moving average      79Ч80
CQG programming code for Bollinger bands with ADX filter      81Ч82
CQG programming code for channel breakout      59
CQG programming code for directional movement indicator      56Ч57
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      95Ч96
CQG programming code for RSI with 20-day moving average filter      75 76
CQG programming code for seven-period reversal      94Ч95
CQG programming code for slow stochastics extremes with CCI      82Ч83
CQG programming code for slow stochastics extremes with CCI and time exit      83Ч85
CQG programming code for three moving average crossover      53
CQG programming code for two moving average crossover system      50Ч51
Cumulative losses      171
Curve fitting      123Ч125
Cutting losses      65Ч66
Cutting profits      66Ч69
Data analysis process      151Ч158
Data analysis process by asset classes      151Ч154
Data analysis process, out-of-sample      157Ч158
Data analysis process, out-of-sample, year-by-year in-sample      152Ч157
Data curve fitting      124 125
Data integrity      44Ч48 116Ч120 149
Day trading      101 see
Day trading, mean reversion with trend-following filter      112Ч113
Day trading, nondirectionally biased mean reversion      113
Design, Testing and Optimization of Trading Systems (Robert Pardo)      125
Differential oscillators      34
Directional movement indicator (DMI)      27Ч28 56Ч58
discipline      85Ч86 189Ч191 195
Discretion      185Ч188
Discretion and paradigm shirts      185Ч186
Discretion and price shock events      186
Discretion and volatility      186Ч187
Discretion, mechanical      187Ч188
Discretion, pros and cons of      188
Diversification      177Ч183
Diversification of parameter sets      177Ч180
Diversification, mechanics of      180Ч182
Diversification, psychology of      182Ч183
Diversification, types of      177
DMI      see "Directional movement indicator"
Donchain's channel breakout      30Ч31 59
Donchian, Richard      30
Dow Jones Industrial Average      16Ч17
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 160Ч165
Dualism      197
Duration of drawdowns      160
Duration of trades      119 159
Emerson, Ralph Waldo      41
Emotionalism      5 17Ч18 192 193 196
Enlightenment      197
Entering trades, basic questions about      42Ч43
Entering trades, control over point for      163
Entering trades, data integrity and price level for      117Ч118
Entering trades, psychology of      2
Entering trades, random entry signals      164
Equalized continuation price series charts      45Ч47
Euphoria      195
Evolution of consciousness      196Ч197
Exiting trades      2Ч3
Exiting trades with losses      86
Exiting trades, basic questions about      42Ч43
Exiting trades, data integrity and price level for      117Ч118
Expected return      160
Fading      22 23 87
False breakouts      19
Fear      195
Filters      63
Filters, Bollinger bands with 200-day moving average filter      79Ч80
Filters, Bollinger bands with ADX filter      81Ч82
Filters, intermediate-term mean reversion with trend-following filter      109Ч110
Filters, mean reversion day trading with trend-following filter      112Ч113
Filters, mean reversion swing trading with trend-following filter      111
Filters, RSI with 100-hour moving average filters      96Ч97
Filters, RSI with 16.67-hour moving average filter      99Ч100
Filters, RSI with 20-day moving average filter      75 76
Filters, RSI with 200-day moving average filter      75Ч79
Filters, RSI with 200-hour moving average filter      93Ч94
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      83Ч85 92Ч93
Fixed fractional money management      169
Flat time      159
flexibility      189Ч192
Futures contracts      44Ч48
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      47Ч48
Historical data, performance      125
Ichimoku Kinkou Hyou      26
Ichimoku three moving average crossover      54Ч55 61
Ichimoku two moving average crossover      52
Illiquidity      87Ч88
Inconsistency      195
Indicator-driven triggers      18Ч26
Indicator-driven triggers, definition of      9
Indicator-driven triggers, moving averages      18Ч26
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      1Ч2
Integrity, data      44Ч48 116Ч120 149
Integrity, system      119 121Ч122
Intermediate-term trader psychology      6 182
Intermediate-term trader psychology for mean reversion with trend-following filter      109Ч110
Intermediate-term trader psychology for trend following      107Ч109
Intermittent losses      161
Internal conflict      193
Interpretive technical indicators      4
Intraday slippage      88
Intuition, psychic trader syndrome vs.      194Ч195
journaling      192
Lambert, Donald      37
Lane, George      32
Leptokurtic markets      10
Liquidity in short-term systems      87Ч89
Liquidity, risk, liquidity      159 164 172
Locked limit      118 172
Long view of trading      192
Long-term, trader psychology      106Ч108
Long-term, traders      6
Loss limits      65
Losses, cumulative      171
Losses, cutting      65Ч66
Losses, exiting trades with      86
Losses, intermittent vs. consecutive      161
Losses, probability of      170
MACD      see "Moving average convergence/divergence indicator"
Market corrections      8Ч9
Markets and transformational growth      190
Markets for backtesting      43
Markets, higher truth of      190Ч191
Markets, irrationality of      1Ч2
Markets, leptokurtic      10
Markets, paradigm shifts in dynamics of      149Ч150 185Ч186
Markets, paradoxical nature of      189Ч190
Martingale strategy      168Ч169
Mathematical technical analysis      15Ч39
Mathematical technical analysis and types of technical indicators      16Ч17
Mathematical technical analysis, Donchian's channel breakout      30Ч31
Mathematical technical analysis, mean reversion indicators      17Ч18 31Ч39
Mathematical technical analysis, price-triggered trend following indicators      30Ч31
Mathematical technical analysis, trend-following indicators      16Ч30
Mathematical technical indicators      4 6
Maximum consecutive losses (MCL)      49Ч50 160
Maximum drawdown duration (MDD)      49
MCl      see "Maximum consecutive losses"
MDD (maximum drawdown duration)      49
Mean reversion      10
Mean reversion indicators      17Ч18 31Ч39
Mean reversion indicators, Bollinger bands      36Ч37
Mean reversion indicators, commodity channel index      37Ч39
Mean reversion indicators, differential oscillators      34
Mean reversion indicators, momentum oscillators      34Ч36
Mean reversion indicators, oscillators      31
Mean reversion indicators, percentage oscillators      32Ч39
Mean reversion indicators, rate of change      34Ч36
Mean reversion indicators, relative strength index      33Ч34
Mean reversion indicators, statistical oscillators      35 36
Mean reversion indicators, stochastics      32Ч33
Mean reversion indicators, success of      17
Mean reversion systems      73Ч87
Mean reversion systems with 30-minute bars      96Ч99
Mean reversion systems with 60-minute bars      93Ч94
Mean reversion systems, day trading with trend-following filter      112Ч113
Mean reversion systems, nondirectionally biased      81Ч85
Mean reversion systems, psychological profile of traders in      85Ч87
Mean reversion systems, results of trend-following systems vs.      73
Mean reversion systems, same-day profit target and stop loss      73Ч74
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      109Ч113
Mean reversion systems, trend-following      74Ч81
Mechanical discretion      187Ч188
Mechanical trading systems      5Ч6
Mechanical trading systems in price risk management      174Ч175
Mechanical trading systems, benefits of      116
Mechanical trading systems, definition of      5
Mechanical trading systems, pitfalls of      116Ч122
Momentum oscillators      34Ч36
Moving average and Bollinger bands      62
Moving average crossover, Ichimoku three moving average crossover      54Ч55
Moving average crossover, Ichimoku two moving average crossover      52
Moving average crossover, three      53Ч55
Moving average crossover, two      50Ч52
Moving average envelope      21Ч23
Moving average with profit exit      66Ч67
Moving average, convergence/divergence indicator (MACD)      26Ч27 55Ч56
moving averages      18Ч26
Moving averages, convergence/divergence      26Ч27
Moving averages, percentage penetrations of      21Ч23
Moving averages, simple      4 5 18
Moving averages, theory behind      4Ч5
Moving averages, time-driven confirmation patterns      19Ч22
Moving averages, trade-offs with      19
Moving averages, two and three moving average crossovers      23Ч26
Moving averages, volume-adjusted      18
Myths      1Ч3
Nearest futures charts      44 45
Non-exchange-traded instruments      117
Nonattachment      195 197
Nondirectionally biased mean, day trading      113
Nondirectionally biased mean, reversion systems      81Ч85 94Ч96
Nondirectionally biased mean, swing trading      112
Number of days      49
Number of trades      49
NYMEX      6 7
Oil futures market      6Ч8
Optimization      122Ч148
Optimization, avoiding pitfalls in      123Ч126
Optimization, benefits of      122Ч123
Optimization, definition of      122
Optimization, limited utility of studies on      123
Optimization, mechanics of      126Ч127 148
Optimization, two moving average crossover system study      127Ч148
oscillators      31Ч39
Oscillators, Bollinger bands      36Ч37
Oscillators, commodity channel index      37Ч39
Oscillators, momentum      34Ч36
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