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Jurik M. (ed.) Ч Computerized Trading: Maximizing Day Trading and Overnight Profits
Jurik M. (ed.) Ч Computerized Trading: Maximizing Day Trading and Overnight Profits

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Ќазвание: Computerized Trading: Maximizing Day Trading and Overnight Profits

јвтор: Jurik M. (ed.)


Mark Jurik taps into the minds of twenty experts who reveal their strategies for maximizing profitability using computerized trading systems.

Unlike other books that discuss one or two of the many aspects of trading, Computerized Trading covers all of the key topics related to the trader's survival and profitability. Beginning with a discussion of the basic skills a trader needs to design a trading system, this user-friendly guide moves from advice for the novice just getting started to advanced system development and data modeling for the experienced trader. Written so even the most inexperienced trader will understand every step, the chapters combine to deliver the whole picture, including:
Designing, testing, and analyzing trading strategies
Coping with the psychological pressures that accompany different trading methods
Controlling risk by applying a few basic rules and formulas
Negotiating the best data feed deal
Getting the right data, books and software

Complete with over 100 explanatory charts and diagrams, this book also contains several checklists to help traders monitor their progress in developing a trading system that works.

язык: en

–убрика: Ёкономика и финансы/

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

ed2k: ed2k stats

√од издани€: 1999

 оличество страниц: 415

ƒобавлена в каталог: 16.11.2006

ќперации: ѕоложить на полку | —копировать ссылку дл€ форума | —копировать ID
ѕредметный указатель
15-minute charts      202Ч204 206
Adjusted profit factor      140
Advanced trading system, case study, figures and tables      324
Advanced trading system, case study, head-and-shoulders pattern      323 330Ч332
Advanced trading system, case study, integrated system      332Ч334
Advanced trading system, case study, KCAT approach      322Ч324 334Ч335
Advanced trading system, case study, multiple bottoms and tops patterns      323 326 328Ч330
Advanced trading system, case study, pattern descriptions      321Ч322
Advanced trading system, case study, problems with      320
Advanced trading system, case study, pull-back-in-trend      332 325Ч327
Advanced trading system, case study, traditional approaches      317Ч318
Advanced trading system, case study, training networks      320Ч321
Advisory Sentiment Index      15
ADX indicator      30
Annual return      141
Annual return on account (AROA)      162
Anxiety, dealing with      168Ч169
Appel, Gerald      26
Apprenticeship      7Ч8
Asset allocation      252 260
Average drawdown      152
Average loss      100
Average monthly equity      143 146
Average profit      101
Average profit and loss      113Ч114
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      129Ч130 161
Backtesting, leave-one-out testing      130Ч131
Backtesting, Markowitz/Xu data mining correction formula      131Ч136
Backtesting, walk-forward testing      127Ч128
Bad packets      373
Bar length in intermarket analysis      225
Bar length, bars, time vs. volume      202Ч204
Bar length, intraday trading and      193Ч195
Bar length, market quality      199Ч202
Bar length, multiple time frame trading      204Ч206
Bar length, risk and      196Ч199
Bar length, trading day and      195Ч196
Baring Securities      254
Baseline models, statistical network trading      309Ч310
Benchmarks      179
Black Ч Scholes model      254 263
BMI      347
Bollinger Bands (BB)      20Ч22
Bollinger, John      20Ч21
Books, information resources      383
Breakdowns      66Ч67
Breakeven stop      78Ч79
Breakouts      22 41 66Ч67 72 74 109
Bristol Ч Myers      66
Buffer overflow      372
Business cycles      253
Buy limit orders      64
Buy stop orders      63
Buy/hold return      141
Cable transmission, of data      366Ч367
Capital      101
Cascade correlation      296Ч298
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 258Ч259 337
Close-to-open risk      116
Coefficient of variation      147 162
Commitment of TradersТ (COT) Reports      318
Commodity Channel Index (CCI)      23Ч24
Commodity options      98 see
Commodity trading advisor (CTA)      6
Complex indicators, nonlinear pricing and reflexivity      252Ч267
Computer Systems That Learn      339
Congestion, defined      41
Congestion, measurement of      43Ч49
Congestion, mobility and      40Ч43
Consecutive trades      156Ч158
consumer protection      386
Contract rollover      361Ч362
contributors      397Ч406
Cumulative Price Distribution Function (CPDF)      45
Customer support      379Ч380
Cycles, impact on market      24 29 253
Data processing, conflicting data      288
Data processing, data selection for training      283Ч285
Data processing, expected values      288
Data processing, feature extraction      272Ч280
Data processing, preprocessing      269Ч272 281Ч282 337
Data processing, scaling data      282Ч283
Data processing, variable selection      286Ч288
Data resources, data analysis      375Ч382
Data resources, data production      356Ч363
Data resources, data reception      369Ч374
Data resources, data storage      374Ч375
Data resources, data transmission      363Ч364
Data, generally, analysis      375Ч382
Data, generally, feeds through internet      383
Data, generally, input/output, in system development      222Ч223 233Ч234
Data, generally, production      356Ч363
Data, generally, reception      369Ч374
Data, generally, resources for      see "Data resources"
Data, generally, storage      374Ч375
Data, generally, transmission      363Ч369
Day trading      193
DBC BMI      370
DBC signal      370
Degrees of freedom (DoF)      232
Delayed data      358Ч359
Detailed equity      143Ч144
Dial Data      351Ч352
Directional Movement Index (DMI)      33 35
Discretionary traders, rate of return      174
Discretionary traders, systems trading      176Ч177
Displaced moving averages (DMAs)      8
Dollar stop      77Ч78
Double and reverse strategy      93Ч95
Dow Jones Industrial Average (DJLA)      36 291Ч293
Dow Jones Transportation Index      292
Dow, Charles      13Ч14
Drawdown in robust systems      243 245 247
Drawdown, defined      101 151Ч153
Editor      397
Efficient portfolios      211Ч212
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      103Ч104
Equity curve line      142Ч143
Equity curve, analysis      143Ч146
Equity curve, implications of, defined      142
Equity curve, intermarket analysis      248
Equity line techniques, moving average      105Ч106
Equity line techniques, trendlines      104Ч105
Equity, generally, defined      101
Equity, generally, reversing with      109Ч111
Equity, generally, Start and Stop trading with      106Ч107
Exchange fees      381
Expected return equation      64Ч65
Expected values      288
Exponential moving average (EMA)      15 277Ч279
Exponential Moving Average Convergence Divergence (EMACD)      277 279 281
failures      7
Fast market      101
Filters, in system development      236Ч238 251
Financial data sources, data reliability      352Ч354
Financial data sources, end-of-day data      346 351Ч353
Financial data sources, real-time data      345Ч351
Financial objectives      166
Financial Ponzi scheme      272Ч273
First Call      347
Five-minute charts      201Ч202
Flow-of-funds indicators      see "Market structure indicators"
FM transmission, of data      365Ч366
Forecasting, with mobility oscillators      40Ч61
Fossett, Steve      387Ч388
Fourier Analysis (FFT)      266
Fractal dimension      259Ч260
Fuzzy Logic (FL)      264 339
Gaussian curve      252Ч253 262Ч263 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 330Ч332
Heroes      7
Higher time frame screens      205Ч206
Holland, John      252Ч253
Homebrew software      376Ч378
Hurst exponent (H)      257Ч258
IBES      347
Illiquid markets      64
In-sample data      129Ч130 161
Incremental approach, market exit      84Ч86
Indicators, generally, categories of      121Ч122
Indicators, generally, market exit      87Ч89
Inflation      225
Information content analysis, statistical network trading      30
Interest rates      253
Intermarket analysis, data adequacy      233Ч234
Intermarket analysis, data modeling      222Ч223
Intermarket analysis, design and testing of systems      232Ч233
Intermarket analysis, illustration of      245Ч249
Intermarket analysis, improving system with meaningful filter or setup      236Ч238
Intermarket analysis, robust systems      238Ч239 242Ч243
Intermarket analysis, stops      244Ч245
Intermarket analysis, system development, generally      221Ч222 234Ч236
Intermarket analysis, target market, study guidelines      225Ч228
Intermarket analysis, treasury bonds as leader of S&P      229Ч232
Internet      368Ч369 383
Intraday (ID) trading, money management and      120
Intraday (ID) trading, position trading vs.      10Ч11
Intraday (ID) trading, ticks      193Ч194
Intuition, development of      214
IPC Mexico Index      83
Japanese Yen      73
Judgmental trading      4Ч5 8Ч12
Kase average risk (KAR)      198 215
Kase DevStopc      196 198
Katz Click-and-Train Approach (KCAT)      317 322Ч324 334Ч335
Kriya, Inc.      257
Lambert, Don      23Ч24
Lane, George      27 72 87
LaneТs Stochastic      274Ч277
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      88Ч89
Leave-one-out testing      130Ч131
Limit move      101
Limit orders      63Ч64
Limit price moves, avoidance of      117Ч118
Linear regression models      252Ч253
Linear statistics, applications      291
Liquid markets      64
Long positions, head-and-shoulders pattern      330
Long positions, multiple-bottoms and multiple-tops patterns      326Ч329
Long positions, pull-back-in-trend      325Ч326
Long positions, stops and      77
Longest flat period      158
Look-back periods      48 51
Losing trade      101 109 111
Louisiana Pacific (LPX)      31Ч33 35Ч36
Margin, applications in trading      102
Margin, defined      101
Market cycles      223 see
Market entry, expected return equation      64Ч65
Market entry, illustration of      72Ч75
Market entry, limit and stop orders      64
Market entry, mechanical entry methods, using advanced technical indicators      69Ч74
Market entry, timing of, technical indicators and      65Ч69
Market entry, types of, generally      63Ч64
Market exit, breakeven stop      78Ч79
Market exit, dollar stop      77Ч78
Market exit, double and reverse strategy      93Ч95
Market exit, indicators      87Ч89
Market exit, multiple position exits      95Ч96
Market exit, options and      98Ч99
Market exit, profit objective stops      91Ч93
Market exit, stops, value of      76
Market exit, time stops      89Ч91
Market exit, trailing stops      82Ч87
Market exit, trendlines      80Ч81
Market exit, volatility and      96Ч97
Market modeling paradigm, development of, market modeling, defined      290Ч292
Market modeling paradigm, development of, model input      292Ч293
Market modeling paradigm, development of, model output      294
Market modeling paradigm, development of, neural networks      294Ч296
Market modeling paradigm, development of, ontogenic statistical networks      296Ч300
Market modeling paradigm, development of, Statistical Network Data MiningЩ      300Ч330
Market potential, quantification methods, concerns for      179Ч180
Market potential, quantification methods, reversal-probability analysis      189Ч192
Market potential, quantification methods, subsequent performance analysis      186Ч189 216
Market potential, quantification methods, trade-signal analysis      181Ч183
Market potential, quantification methods, zone analysis      183Ч186 216
Market risk      see "Risk"
Market structure indicators      15 17Ч18
Market-quality      199Ч202
Markowitz, Harry      211
Markowitz/Xu data mining correction formula, calculation      131Ч132
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      132Ч136
Max drawdown ratio      156
Maximum adverse excursion (MAE)      151Ч152
Maximum equity drawdown      152
Maximum equity run-up      155
Maximum favorable excursion (MFE)      154
Mean deviation      24
Mechanical market entry      69Ч74
Mechanized system trading (MST)      120
Meditation      167 171
Mirage Resorts (MIR)      37Ч39
Mobility oscillators (MOs), application and interpretation of      56Ч58
Mobility oscillators (MOs), defined      43
Mobility oscillators (MOs), price distribution functions (PDF)      43Ч49 54
Modern Portfolio Theory (MPT)      211Ч212
Momentum indicators      19
Momentum oscillators      29
Momentum, generally, market exit and      88Ч89
Momentum, generally, system development      236Ч237
Monetary indicators      15Ч17
Money Flow      32
Money management, advanced      103Ч113
Money management, applications in trading      102Ч103
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