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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 |
Money management, basic terms 100—102
Money management, importance of 100 119 123
Money management, risk vs. reward 114—118
Monthly rolling equity 143—145
Morgan Stanley 71
Moving Average Convergence — Divergence (MACD) 25—26 281
Moving average crossover method, mechanical market entry 69—70
Moving average, defined 25
Moving average, function of, generally 121—122
Moving average, intermarket 231
Moving average, market exit 83—84
Moving average, mechanical market entry 69
Moving average, money management 105—106
Multiple bottoms and tops pattern 323 326 328—330
Multiple position exits 95—96
N-TRAINC 323
Nasdaq Composite Index 52—53 57—61
Negative outliers 150
Net Expected Return Equation 65
Net loss 101 139
Net profit 101 139—140
Network optimization, statistical network trading 310—311
Neural nets 266
Neural Networks and Financial Forecasting (Jurik Research) 338
Neural networks, data processing 271 282
Neural networks, forecasting models, generally 338
Neural networks, market modeling 294—296
Neural networks, nonlinear pricing 266
Neural networks, probabilistic (PNN) 299—300
Neural Newbie 317—318
New Concepts of Technical Trading Systems (Wilder) 82
NFA (National Futures Association) 5
Nike (NKE) 30 32—35
Nonjudgmental trading 5—7 12
Nonlinearity applications 260—264
Nonlinearity measurements 257—260
Nonlinearity modeling phenomena 255—256
Nonlinearity pricing 257
Nontrending indicators 32—33
Normal distribution 263
Normalization, market input 293
OEX 58 60—61 107
Omega Research Portfolio Maximize™ 138
Omega Research TradeStation 202 227 317 321—322 347
On Balance Volume 32
Ontogenic statistical networks, Cascade Correlation 296—298
Ontogenic statistical networks, Probabilistic Neural Networks (PNN) 299—300
Option pricing 252 261—263
Options, market exit 98—99
Out-of-sample data 129—130 161
Outlier trades 150
Overbought indicators 70—71
Overbought stocks 25 31
Oversold indicators 70—71
Oversold stocks 25 31
O’Neil, William 66
Parabolic SAR 82—83
Peak-and-valley progression 14
Percent losing trades 101
Percent rate of change (PROC) 339
Percent winning trades 101
Percentage charts 111—113
Percentage of the time in the market 158
Performance anxiety 169
Performance evaluation see "Trading performance evaluation"
Performance target, statistical network trading 308
Persistence 257—258 337
Phone lines, data transmission 365
Placing trades 122—123
Portfolio diversification, forms of, generally 210—211
Portfolio diversification, input 208—209
Portfolio diversification, output 209—210
Portfolio diversification, risk 209 215
Position trading, intraday trading vs. 10—11
Positive outliers 150
PowerEditor™ 227
Predicted Squared Error (PSE) 303—305
Predictive time period, statistical network trading 308
Preprocessing for nonstationarity 281
Preprocessing, motivation and issues in 269—272
Preprocessing, purpose of, generally 337—338
Preprocessing, statistical 282
Price chart 65—66 121
Price distribution functions (PDF), application of 43—47
Price distribution functions (PDF), congestion and 52—53
Price distribution functions (PDF), defined 42
Price distribution functions (PDF), examples and interpretation of 47—49
Price distribution functions (PDF), nonlinearity pricing 262—264
Price distribution functions (PDF), reference points 49—54
Price distribution functions (PDF), Visual Basic program 58
Price history 41
Price Layers 53
Price mobility, assessment of 58—61 see
Price-based indicators 19 24
Pricing, nonlinear see "Nonlinearity"
Proactive trading, centering 167—168
Proactive trading, financial objectives 166 214
Proactive trading, performance anxiety 168—169
Proactive trading, proactive trading 165—167
Proactive trading, rate of return, maintaining 173—176
Proactive trading, recovery from last trade 171—172
Proactive trading, stopping points 169—171 173
Proactive trading, systems trading 172—173 176—177 214
Proactive trading, value of 165—167
Probabilistic neural network (PNN) 299—300
Profit factor 140 162
Profit objective stops 91—93
Profit ratios 140
Profit target 92
Project Nimble 387—395
Projection oscillator 50
Psychology of trading see "Proactive trading"
Pull-back-in-trend 323 325—327
Put options 98
Rate of return, maintaining 173—174
Ratio avg. win/avg. loss 140
Real-time data, financial data sources, data reliability 352—353
Real-time data, financial data sources, types of 345—351
Receiver Operating System (ROS) 369—370
Recovery, psychological aspects of 171—172
Reference points 49—54
Reflexivity 258—259
Relative Strength Index (RSI), applications 36 39
Relative Strength Index (RSI), defined 25
Relative Strength Index (RSI), market entry and 70
Relative Strength Index (RSI), market exit and 88
Resistance levels 50—51
Resistance, price charts 65—66
Resistance, reversal roles 67—68
Return measures 140—142
Return on initial capital 141
Reversal-probability analysis 189—192
Reward, risk vs. 114—115
Reward/risk ratio 114—115 155—156
RINA Systems, Inc. 138
Risk management methods 198 215
Risk, generally, bar length and 196—199
Risk, generally, close-to-open 116
Risk, generally, exposure to 215
Risk, generally, portfolio diversification and 209 215
Risk, generally, reward vs. 114—115
Risk, generally, slippage 116—117
Risk-averse traders 273
Risk/reward ratios 155—156
Robust systems, development of 238—239 242—243 339
Rolling analysis 142
Rolling period analysis 248—249
Run-up 153—155
S&P 500 index 23 77 84 208 223
S&P Crossover Buy 227—228
| Satellites, data transmission 367—368
Scaling up in time 204—205
Schwager, Jack 100
Select net profit 150
Sell limit orders 64
Sell stop orders 63
Sentiment indicators 15—16 122
Sharpe ratio 211 215
Short position, head-and-shoulders pattern 330
Short position, multiple-bottoms and multiple-tops patterns 330
Short position, pull-back-in-trend 325—326
signal 347
Signal translation, data reception 369—370
Simple moving averages 15 105—106 108
Sliding analysis 142
Slippage 101 162
Slippage risk 116—117
Slow Mobility Oscillator (MOS) 43
Software consultants 384
Software programs for financial modeling 384—386
Software programs, trading performance evaluation 138
Soros, George 253
Specht, Donald 299
Spreadsheets, Markowitz/Xu data mining correction formula, sample of 132—136
Spreadsheets, price distribution function (PDF) 47—48
Spyglass 67
Stable distribution curve 252—253
Standard deviation (STDEV) 24 147
Starting capital 101
Statistical network data mining™, application of, example 305—315
Statistical network data mining™, statistical network advantages 305
Statistical network data mining™, statistical network algorithm 301—305
Statistical Network learning algorithm 305
STATISTICA™ 226 229
Statman, Meir 272
Stochastic oscillator 50
Stochastics (STOC), applications 39
Stochastics (STOC), defined 27
Stochastics (STOC), market entry and 72
Stochastics (STOC), market exit and 87—88
Stock selection 252
Stop and Start Trading 106—107
Stop orders 63—64
Stopping points, awareness of 171
Stopping points, defined 169—170
Stopping points, systems trading and 173
Stops in system development 244—245
Stops, value of 76
Stress, trading success and 168—169
Subsequent performance analysis, market potential 186—189 216
Summaries, sliding and rolling 142—143
Support levels 50—51
Support, price charts 65—66
Support, reversal roles 67—68
System analysis 139—140
System development, generally, data in 222—223 233—234
System development, generally, evaluation of 245—249
System development, generally, filters 236—238 250
System development, generally, intermarket analysis 221—251
System development, generally, portfolio diversification and 216—217
System development, generally, robust systems 238—239 242—243 339
System development, generally, simple, based on premise 234—236
System development, generally, stops 244—245
System portfolio optimization, efficient portfolios 211—212
System portfolio optimization, forms of, generally 210—211
System portfolio optimization, input diversification 208—209
System portfolio optimization, modern portfolio theory 212—213
System portfolio optimization, output diversification 209—210
System return 141
Systems trading, psychology of 172—175
Technical analysis 20 27 253—255
Technical indicators, statistical network trading 305—307
Ticks 193 363
Time analysis 158—159
Time clocks 370—371
Time frames, bar length and 204—206 215
Time series, value of 222
Time stamping 357—358
Time stops 89—91
Timing, of market entry 65—69
Total time in the market (periods) 158
Total trade analysis 146—150
Trade-signal analysis 181—183
TradeMarker™ 321
Trading indicators, chart pattern recognition 14
Trading indicators, evidence, weight of 20—29
Trading indicators, indicator construction 19—20
Trading indicators, moving averages 15
Trading indicators, nontrending 32—33
Trading indicators, technical indicators 15—19
Trading indicators, trend identification 13—14
Trading indicators, trending 33—35
Trading methods, generally, apprenticeship 7—8
Trading methods, generally, failures 7
Trading methods, generally, judgmental approaches 4—5 8—12
Trading methods, generally, nonjudgmental approaches 5—7 12
Trading methods, generally, position trading vs. intraday trading 10—11
Trading performance evaluation, consecutive trades 156—158
Trading performance evaluation, drawdown 151—153
Trading performance evaluation, equity curve analysis 143—146
Trading performance evaluation, evaluation process, generally 137—138
Trading performance evaluation, outlier trades 150
Trading performance evaluation, profit ratios 140
Trading performance evaluation, return measures 140—142
Trading performance evaluation, risk/reward ratios 155—156
Trading performance evaluation, run-up 153—155
Trading performance evaluation, summaries, sliding and rolling 142—143
Trading performance evaluation, system analysis 139—140 162
Trading performance evaluation, time analysis 158—159
Trading performance evaluation, total trade analysis 146—150
Trading results, statistical network trading 313—315
Trading strategy, statistical network trading 311—313
Trading system, development of 337
Trailing highs/lows, market exit 85—87
Trailing stops 82—87
Transformations, market input 293
Treasury bonds 223—224 229—232
Trend analysis, indicator readings combined with 30—39
Trend information, sources of 280
Trending indicators 33—35
Trendlines, market entry 68
Trendlines, market exit 80—81
Trendlines, money management 104—105
Trends, generally, classification of 31—32
Trends, generally, determination of 30—31
Trends, generally, identification of 13—14
Trends, generally, nontrending security 37—38
Trends, generally, trending security, nontrending indicator 36
Triple Screen Trading Method 205
True range, bar length 196—197
Underwater equity 143 146
United Technologies 67
Value at Risk (VaR) 198 215
Visual Basic 58
Volatility, breakout system 109—110
Volatility, defined 102
Volatility, market exit and 77 91 96—97
Volatility, portfolio diversification and 210
Volatility, risk and 216
Volume Accumulation/Distribution (V-A/D) 22—23
Volume bars 203—204
Walk-forward testing 127—128
Wall Street Journal 292
Wall Street, view of mathematics 254—255
Wavelets 260
Weighted moving averages 15
Wilder, Welles 25 30 70 82
Williams, Larry 22
Winning trade 102 109 111
Zacks Research 347
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