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| Ïîèñê ïî óêàçàòåëÿì |
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| Jurik M. (ed.) — Computerized Trading: Maximizing Day Trading and Overnight Profits |
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| Ïðåäìåòíûé óêàçàòåëü |
15-minute charts 202—204 206
Adjusted profit factor 140
Advanced trading system, case study, figures and tables 324
Advanced trading system, case study, head-and-shoulders pattern 323 330—332
Advanced trading system, case study, integrated system 332—334
Advanced trading system, case study, KCAT approach 322—324 334—335
Advanced trading system, case study, multiple bottoms and tops patterns 323 326 328—330
Advanced trading system, case study, pattern descriptions 321—322
Advanced trading system, case study, problems with 320
Advanced trading system, case study, pull-back-in-trend 332 325—327
Advanced trading system, case study, traditional approaches 317—318
Advanced trading system, case study, training networks 320—321
Advisory Sentiment Index 15
ADX indicator 30
Annual return 141
Annual return on account (AROA) 162
Anxiety, dealing with 168—169
Appel, Gerald 26
Apprenticeship 7—8
Asset allocation 252 260
Average drawdown 152
Average loss 100
Average monthly equity 143 146
Average profit 101
Average profit and loss 113—114
Average run-up 154
Average run-up/drawdown ratio 156
Average trades 147
Backtesting, importance of 161
Backtesting, in-sample and out-of-sample data 129—130 161
Backtesting, leave-one-out testing 130—131
Backtesting, Markowitz/Xu data mining correction formula 131—136
Backtesting, walk-forward testing 127—128
Bad packets 373
Bar length in intermarket analysis 225
Bar length, bars, time vs. volume 202—204
Bar length, intraday trading and 193—195
Bar length, market quality 199—202
Bar length, multiple time frame trading 204—206
Bar length, risk and 196—199
Bar length, trading day and 195—196
Baring Securities 254
Baseline models, statistical network trading 309—310
Benchmarks 179
Black — Scholes model 254 263
BMI 347
Bollinger Bands (BB) 20—22
Bollinger, John 20—21
Books, information resources 383
Breakdowns 66—67
Breakeven stop 78—79
Breakouts 22 41 66—67 72 74 109
Bristol — Myers 66
Buffer overflow 372
Business cycles 253
Buy limit orders 64
Buy stop orders 63
Buy/hold return 141
Cable transmission, of data 366—367
Capital 101
Cascade correlation 296—298
Cause-and-effect relationship 292
CFTC (Commodities Futures Trading Commission) 5
Chaiken, Marc 22
Chart patterns 14 319
Chicago Board of Trade 224
Chicago Mercantile Exchange 223
Choppy markets see "Volatility"
Classic economic theory 254 258—259 337
Close-to-open risk 116
Coefficient of variation 147 162
Commitment of Traders’ (COT) Reports 318
Commodity Channel Index (CCI) 23—24
Commodity options 98 see
Commodity trading advisor (CTA) 6
Complex indicators, nonlinear pricing and reflexivity 252—267
Computer Systems That Learn 339
Congestion, defined 41
Congestion, measurement of 43—49
Congestion, mobility and 40—43
Consecutive trades 156—158
consumer protection 386
Contract rollover 361—362
contributors 397—406
Cumulative Price Distribution Function (CPDF) 45
Customer support 379—380
Cycles, impact on market 24 29 253
Data processing, conflicting data 288
Data processing, data selection for training 283—285
Data processing, expected values 288
Data processing, feature extraction 272—280
Data processing, preprocessing 269—272 281—282 337
Data processing, scaling data 282—283
Data processing, variable selection 286—288
Data resources, data analysis 375—382
Data resources, data production 356—363
Data resources, data reception 369—374
Data resources, data storage 374—375
Data resources, data transmission 363—364
Data, generally, analysis 375—382
Data, generally, feeds through internet 383
Data, generally, input/output, in system development 222—223 233—234
Data, generally, production 356—363
Data, generally, reception 369—374
Data, generally, resources for see "Data resources"
Data, generally, storage 374—375
Data, generally, transmission 363—369
Day trading 193
DBC BMI 370
DBC signal 370
Degrees of freedom (DoF) 232
Delayed data 358—359
Detailed equity 143—144
Dial Data 351—352
Directional Movement Index (DMI) 33 35
Discretionary traders, rate of return 174
Discretionary traders, systems trading 176—177
Displaced moving averages (DMAs) 8
Dollar stop 77—78
Double and reverse strategy 93—95
Dow Jones Industrial Average (DJLA) 36 291—293
Dow Jones Transportation Index 292
Dow, Charles 13—14
Drawdown in robust systems 243 245 247
Drawdown, defined 101 151—153
Editor 397
Efficient portfolios 211—212
Egoism 170
Elder, Alexander, Dr. 205
Eli Lilly 68 72 74
Emotional reaction, in trading 166 see
End-of-day (EOD) trading 120
End-of-day data, financial data sources, data reliability 353
End-of-day data, financial data sources, types of 346
Equis MetaStock RT 347
Equity charts 103—104
Equity curve line 142—143
Equity curve, analysis 143—146
Equity curve, implications of, defined 142
Equity curve, intermarket analysis 248
Equity line techniques, moving average 105—106
Equity line techniques, trendlines 104—105
Equity, generally, defined 101
Equity, generally, reversing with 109—111
Equity, generally, Start and Stop trading with 106—107
Exchange fees 381
Expected return equation 64—65
Expected values 288
Exponential moving average (EMA) 15 277—279
Exponential Moving Average Convergence Divergence (EMACD) 277 279 281
| failures 7
Fast market 101
Filters, in system development 236—238 251
Financial data sources, data reliability 352—354
Financial data sources, end-of-day data 346 351—353
Financial data sources, real-time data 345—351
Financial objectives 166
Financial Ponzi scheme 272—273
First Call 347
Five-minute charts 201—202
Flow-of-funds indicators see "Market structure indicators"
FM transmission, of data 365—366
Forecasting, with mobility oscillators 40—61
Fossett, Steve 387—388
Fourier Analysis (FFT) 266
Fractal dimension 259—260
Fuzzy Logic (FL) 264 339
Gaussian curve 252—253 262—263 337
Gell-Mann, Murray 253
Generalized regression neural network (GRNN) 283
Genesis Financial Data Services 225
Genetic algorithms (GAs) 265 286 339
Globex 361
Gross profit/loss 101
Gustafson, Steve, Dr. 291
Head-and-shoulders pattern 323 330—332
Heroes 7
Higher time frame screens 205—206
Holland, John 252—253
Homebrew software 376—378
Hurst exponent (H) 257—258
IBES 347
Illiquid markets 64
In-sample data 129—130 161
Incremental approach, market exit 84—86
Indicators, generally, categories of 121—122
Indicators, generally, market exit 87—89
Inflation 225
Information content analysis, statistical network trading 30
Interest rates 253
Intermarket analysis, data adequacy 233—234
Intermarket analysis, data modeling 222—223
Intermarket analysis, design and testing of systems 232—233
Intermarket analysis, illustration of 245—249
Intermarket analysis, improving system with meaningful filter or setup 236—238
Intermarket analysis, robust systems 238—239 242—243
Intermarket analysis, stops 244—245
Intermarket analysis, system development, generally 221—222 234—236
Intermarket analysis, target market, study guidelines 225—228
Intermarket analysis, treasury bonds as leader of S&P 229—232
Internet 368—369 383
Intraday (ID) trading, money management and 120
Intraday (ID) trading, position trading vs. 10—11
Intraday (ID) trading, ticks 193—194
Intuition, development of 214
IPC Mexico Index 83
Japanese Yen 73
Judgmental trading 4—5 8—12
Kase average risk (KAR) 198 215
Kase DevStopc 196 198
Katz Click-and-Train Approach (KCAT) 317 322—324 334—335
Kriya, Inc. 257
Lambert, Don 23—24
Lane, George 27 72 87
Lane’s Stochastic 274—277
Largest consecutive losing series 152
Largest consecutive winning series 154
Largest gain 154
Largest losing trade 101
Largest loss 152
Largest loss ratio 156
Largest winning trade 101
Least squares momentum (LSM), market exit 88—89
Leave-one-out testing 130—131
Limit move 101
Limit orders 63—64
Limit price moves, avoidance of 117—118
Linear regression models 252—253
Linear statistics, applications 291
Liquid markets 64
Long positions, head-and-shoulders pattern 330
Long positions, multiple-bottoms and multiple-tops patterns 326—329
Long positions, pull-back-in-trend 325—326
Long positions, stops and 77
Longest flat period 158
Look-back periods 48 51
Losing trade 101 109 111
Louisiana Pacific (LPX) 31—33 35—36
Margin, applications in trading 102
Margin, defined 101
Market cycles 223 see
Market entry, expected return equation 64—65
Market entry, illustration of 72—75
Market entry, limit and stop orders 64
Market entry, mechanical entry methods, using advanced technical indicators 69—74
Market entry, timing of, technical indicators and 65—69
Market entry, types of, generally 63—64
Market exit, breakeven stop 78—79
Market exit, dollar stop 77—78
Market exit, double and reverse strategy 93—95
Market exit, indicators 87—89
Market exit, multiple position exits 95—96
Market exit, options and 98—99
Market exit, profit objective stops 91—93
Market exit, stops, value of 76
Market exit, time stops 89—91
Market exit, trailing stops 82—87
Market exit, trendlines 80—81
Market exit, volatility and 96—97
Market modeling paradigm, development of, market modeling, defined 290—292
Market modeling paradigm, development of, model input 292—293
Market modeling paradigm, development of, model output 294
Market modeling paradigm, development of, neural networks 294—296
Market modeling paradigm, development of, ontogenic statistical networks 296—300
Market modeling paradigm, development of, Statistical Network Data Mining™ 300—330
Market potential, quantification methods, concerns for 179—180
Market potential, quantification methods, reversal-probability analysis 189—192
Market potential, quantification methods, subsequent performance analysis 186—189 216
Market potential, quantification methods, trade-signal analysis 181—183
Market potential, quantification methods, zone analysis 183—186 216
Market risk see "Risk"
Market structure indicators 15 17—18
Market-quality 199—202
Markowitz, Harry 211
Markowitz/Xu data mining correction formula, calculation 131—132
Markowitz/Xu data mining correction formula, function of, generally 162
Markowitz/Xu data mining correction formula, in-sample and out-of-sample data 129
Markowitz/Xu data mining correction formula, spreadsheet example 132—136
Max drawdown ratio 156
Maximum adverse excursion (MAE) 151—152
Maximum equity drawdown 152
Maximum equity run-up 155
Maximum favorable excursion (MFE) 154
Mean deviation 24
Mechanical market entry 69—74
Mechanized system trading (MST) 120
Meditation 167 171
Mirage Resorts (MIR) 37—39
Mobility oscillators (MOs), application and interpretation of 56—58
Mobility oscillators (MOs), defined 43
Mobility oscillators (MOs), price distribution functions (PDF) 43—49 54
Modern Portfolio Theory (MPT) 211—212
Momentum indicators 19
Momentum oscillators 29
Momentum, generally, market exit and 88—89
Momentum, generally, system development 236—237
Monetary indicators 15—17
Money Flow 32
Money management, advanced 103—113
Money management, applications in trading 102—103
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