Oscillators, percentage 32—39
Oscillators, rate of change 34—36
Oscillators, relative strength index 33—34
Oscillators, statistical 35 36
Oscillators, stochastics 32—33
Out-of-sample data analysis 157—158
Out-of-sample studies 148—150
Outliers 125—126
Parabolic 29—30
Paradigm shifts and discretion 185—186
Paradigm shifts in consciousness 197
Paradigm shifts in market dynamics 149—150
Paradigm shifts, definition of 185—186
Paradox 189
Parameter curve fitting 124—125
Parameter sets, choice of 127 148
Parameter sets, diversification of 177—180
Parameter sets, profit spike 148
Parameter sets, testing of 126—127
Pardo, Robert 121—122 125 148
Pascal, Blaise 187
patience 87
Peak-to-valley drawdowns 48 160 165
Per-position exposure and psychology of risk 174
Per-position exposure, limiting 167—168
Percent winners 50
Percentage changes in data history, point value vs. 47—48
Percentage oscillators 32—39
Percentage penetrations (moving averages) 21—23
Perfect trader syndrome 85 195
Performance forecasting 116
Performance history 159
periods 12
Personality types 41 see
Personality types and changes in trading systems 182
Personality types, traits sabotaging success 195—196
Philosophy statements, trading system 159—160
PMD see "Profit to maximum drawdown"
Point-based back-adjusted data series charts 45 47—48
Portfolio results tables 48—50
Portfolios, backtested 48 118
Portfolios, composition of 43—44
Price risk management 163—175
Price risk management in philosophy statements 160
Price risk management, mechanical trading systems in implementation of 174—175
Price risk management, psychology of 173—174
Price risk management, schools of 165—166
Price risk management, stop-loss 165—168
Price risk management, stress testing 173
Price risk management, value at risk 169—172
Price risk management, volumetric 168—169
Price shock events 186
Price triggers as trend following indicators 30—31
Price triggers, psychological significance of 6—9
prices 10—11
Probability of loss 170
Profit spikes 148
Profit to maximum drawdown (PMD) 50 62 67 161
Profits, cutting 66—69
Programming code 121 see
Psychic trader syndrome, intuition vs. 194—195
Psychological significance of indicator-driven triggers 9 10
Psychological significance of price triggers 6—9
Psychology see also "Trader psychology"
Psychology of diversification 182—183
Psychology of price risk management 173—174
Pullbacks 8
Quantification of risk/reward 116
Quick-mindedness 101
Random entry signals 164
Random walk theory 190
Rate of change (ROC) 34—36
Reality, nonlinear nature of 189
Refco 164
Relative strength index (RSI) 12—13 33—34
Relative strength index (RSI) with 100-hour moving average filters 96—97
Relative strength index (RSI) with 16.67-hour moving average filter 99—100
Relative strength index (RSI) with 200-day moving average filter 75—79
Relative strength index (RSI) with 200-hour moving average filter 93—94
Relative strength index (RSI) with 400-hour moving average filter 92
Relative strength index (RSI) with 50-hour moving average filter 99
Relative strength index (RSI), crossover 95—96
Relative strength index (RSI), crossover with stops and profit exits set to 1 percent 98
Reprogramming process 116
Resonance 196
Retracements 8
Reversals, countertrend 8—9
Reversals, seven-period 94—95
Reward, quantification of 116
Risk Management (Crouhy, Galai, and Mark) 164
Risk, liquidity 159 164 172
Risk, price risk management 163—175
Risk, quantification of 116
ROC see "Rate of change"
Rothschild, Baron 73
RSI see "Relative strength index"
Rule-following 192—193
Sabotage of success 195—196
Same-day profit target and stop loss 73—74
SAR see "Stop and Reverse"
Scenario analysis 173
Schwager on Futures: Technical Analysis (Jack Schwager) 123
Schwager, Jack 123 164
Self-fulfilling prophecy, technical, analysis as 9
Self-knowledge 192—193
Self-mastery 196
Self-worth 193—194
Serial independence assumption 171
Seven-period reversal 94—95
Shakespeare, William 105
Shantideva 197
Sharpe ratio 160 161
Short-term systems 87—101
Short-term systems and fading of losing systems 87
Short-term systems and liquidity/volatility 87—89
Short-term systems, 15-minute bar systems 99
Short-term systems, 5-minute bar systems 99 100
Short-term systems, backtested results 89—90
Short-term systems, labor-intensive nature of 100—101
Short-term systems, mean reversion systems with 30-minute bars 96—99
Short-term systems, mean reversion systems with 60-minute bars 93—94
Short-term systems, nondirectionally biased mean reversion systems 94—96
Short-term systems, psychological profile of traders in 100—101
Short-term systems, swing trading with 2-hour bars 90—93
Short-term traders 6
Short-to intermediate-term, nondirectionally biased mean reversion 110
Sideline regret/remorse syndrome 68
Simple moving averages 4 5 18
Single-mindedness 193—194
Slippage 88 117 172
Slow stochastics extremes with CCI filter and time exit 83—85 92—93
Slow stochastics extremes with commodity channel index 82—83
Software xiv
Somatic practices 191
Spot-checking process 121
Standard deviation 35 160—161
Statistical oscillators 35 36
Stochastics 32—33
Stock market crash of 1987 9
| Stop and reverse (SAE) 24 29—30
Stop losses 74 159—160
Stop-loss price risk management 165—168
Stress testing 166 173
Stridsman, Thomas 47—48
Success, personality traits, sabotaging 195—196
Sun Tzu vii 15
Swing trading with 2—hour bars 90—93
Swing trading, mean reversion with trend-following filter 111
Swing trading, nondirectionally biased mean reversion 112
System development and analysis 115—161
System development and analysis and measurement of system, performance 160—161
System development and analysis and trading system philosophy statements 159—160
System development and analysis, benefits of mechanical trading systems 116
System development and analysis, data analysis process 151—158
System development and analysis, data integrity 116—120
System development and analysis, limitations of process 150—151
System development and analysis, optimization process 122—148
System development and analysis, out-of-sample studies 148—150
System development and analysis, pitfalls of mechanical trading systems 116—122
System development and analysis, system integrity 119 121—122
system integrity 119 121—122
System performance, measurement of 160—161
Technical analysis and irrationality of markets 1—2
Technical analysis as self-fulfilling prophecy 9
Technical analysis, basic precept in 4
Technical analysis, definition of 3—5
Technical analysis, goal of 3—4
Technical analysis, reasons for success of 6—10
Technical indicators, interpretive 4
Technical indicators, mathematical 4 6
Technical indicators, mean reversion 17—18 31—39
Technical indicators, trend-following 16—30
Technical indicators, types of 10—13
Tharp, Van 163—164
The Budda 87
The New Market Wizards (Jack Schwager) 164
Theory checking 122
Three moving average crossovers 23—26 53—55
Time frames 6 119 see
Time percentage 50
Time-driven confirmation patterns 19—22
Total net profit 49
Trade Your Way to Financial Freedom (Van Tharp) 163—164
Trader psychology 105—113 see
Trader psychology and success in trading 2
Trader psychology and use of trend following indicators 17
Trader psychology for entering trades 2
Trader psychology for exiting trades 2—3
Trader psychology for intermediate to long-term trend-following systems 107—108
Trader psychology for intermediate-term mean, reversion with trend-following filter 109—110
Trader psychology for intermediate-term trend following 108—109
Trader psychology for long-term trend-following systems 106—107
Trader psychology for market corrections 9
Trader psychology for mean reversion day trading with trend-following filter 112—113
Trader psychology for mean reversion swing trading with trend-following filter 111
Trader psychology for mean reversion traders 85—87
Trader psychology for nondirectionally biased mean, reversion day trading 113
Trader psychology for nondirectionally biased mean, reversion swing trading 112
Trader psychology for short- to intermediate-term, nondirectionally biased mean, reversion 110
Trader psychology for short-term traders 100—101
Trader psychology for trend-following swing trading 110—111
Trader psychology for trend-following traders 16 69—71
Trader psychology, transformational see "Transformational psychology"
Trader school of price risk, management 166
Traders, short-, long-, and intermediate-term 6
Trading philosophy 159
Trading system philosophy, statements 159—160
Trading systems 42—50 see
Trading systems, backtested portfolio results 48
Trading systems, composition of portfolios 43—44
Trading systems, data integrity 44—48
Trading systems, entry and exit level questions 42—43
Trading systems, equalized continuation price series, charts 45—47
Trading systems, expected performance results for 123
Trading systems, integrity of 119 121—122
Trading systems, nearest futures charts 44 45
Trading systems, personality and changes in 182
Trading systems, point value vs. percentage changes in data history 47—48
Trading systems, portfolio results tables 48—50
Transformational psychology 189—197
Transformational psychology and process of transformation 196—197
Transformational psychology, discipline 189—191
Transformational psychology, flexibility 189—192
Transformational psychology, intuition vs. psychic trader syndrome 194—195
Transformational psychology, personality traits sabotaging success 195—196
Transformational psychology, self-knowledge 192—193
Transformational psychology, single-mindedness 193—194
Transparency 117
Trend-following indicators 16—30
Trend-following indicators, 200-day simple moving average as 11—13
Trend-following indicators, average directional movement, index 28—29
Trend-following indicators, directional movement indicator 27—28
Trend-following indicators, Donchain's channel breakout 30—31
Trend-following indicators, moving average, convergence/divergence 26—27
Trend-following indicators, moving averages 18—26
Trend-following indicators, price-triggered 30—31
Trend-following indicators, Wilder's parabolic (stop and reverse) 29—30
Trend-following mean reversion, systems 74—81
Trend-following swing trading 110—111
Trend-following systems 41—42 50—71
Trend-following systems, Bollinger bands 60—61
Trend-following systems, channel breakout 59—60
Trend-following systems, comparisons of indicators 61—62
Trend-following systems, cutting losses 65—66
Trend-following systems, cutting profits 66—69
Trend-following systems, DMI 56—57
Trend-following systems, DMI with ADX 57 58
Trend-following systems, filters 63
Trend-following systems, Ichimoku three moving average crossover 54—55
Trend-following systems, Ichimoku two moving average crossover 52
Trend-following systems, MACD 55—56
Trend-following systems, psychological profile of traders in 69—71
Trend-following systems, results of mean reversion systems vs. 73
Trend-following systems, swing trading with 2-hour bars 90—91
Trend-following systems, three moving average crossover 53—54
Trend-following systems, trader psychology for 106—109
Trend-following systems, trending asset classes 63—64
Trend-following systems, two moving average crossover 50—51
Trending asset classes 63—64
trends 10—11
Triggers, indicator-driven 9 10 18—26
Triggers, price 6—9 30—31
Two moving average crossovers 23—26 50—51
Two moving average crossovers, Ichimoku 52
Two moving average crossovers, optimization study of 127—148
Value at Risk (VaR) 166 169—172
Volatility and discretion 186—187
Volatility in short-term systems 87—89
Volatility, analyzing increases in 158
Volume-adjusted moving averages 18
Volumetric price risk management 168—169
Walk-forward studies see "Out-of-sample studies"
Weighted moving averages 18 19
Whipsaws 19
Wilder's parabolic 29—30
Wilder, Welles 12 27 57
Worst peak-to-valley drawdowns 48 160 165
Year-by-year in-sample data analysis 152—157
Zen Buddhism 189
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