دانلود کتاب Trading Systems and Methods (Wiley Trading)

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PREFACE THE MOVE TOWARD MORE ALGORITHMIC APPROACH COMPETITION ACCEPTING RISK THE LONG BULL MARKET WHAT'S NEW IN THE SIXTH EDITION COMPANION WEBSITE WITH APPRECIATION CHAPTER 1: Introduction THE EXPANDING ROLE OF TECHNICAL ANALYSIS CONVERGENCE OF TRADING STYLES IN STOCKS AND FUTURES PROFESSIONAL AND AMATEUR RANDOM WALK DECIDING ON A TRADING STYLE MEASURING NOISE MATURING MARKETS AND GLOBALIZATION BACKGROUND MATERIAL SYSTEM DEVELOPMENT GUIDELINES OBJECTIVES OF THIS BOOK PROFILE OF A TRADING SYSTEM A WORD ABOUT THE NOTATION USED IN THIS BOOK A FINAL COMMENT CHAPTER 2: Basic Concepts and Calculations A BRIEF WORD ABOUT DATA SIMPLE MEASURES OF ERROR ON AVERAGE PRICE DISTRIBUTION MOMENTS OF THE DISTRIBUTION: MEAN, VARIANCE, SKEWNESS, AND KURTOSIS CHOOSING BETWEEN FREQUENCY DISTRIBUTION AND STANDARD DEVIATION MEASURING SIMILARITY STANDARDIZING RISK AND RETURN THE INDEX AN OVERVIEW OF PROBABILITY SUPPLY AND DEMAND NOTES CHAPTER 3: Charting FINDING CONSISTENT PATTERNS WHAT CAUSES THE MAJOR PRICE MOVES AND TRENDS? THE BAR CHART AND ITS INTERPRETATION BY CHARLES DOW CHART FORMATIONS TRENDLINES ONE-DAY PATTERNS CONTINUATION PATTERNS BASIC CONCEPTS IN CHART TRADING ACCUMULATION AND DISTRIBUTION: BOTTOMS AND TOPS EPISODIC PATTERNS PRICE OBJECTIVES FOR BAR CHARTING IMPLIED STRATEGIES IN CANDLESTICK CHARTS PRACTICAL USE OF THE BAR CHART EVOLUTION IN PRICE PATTERNS NOTES CHAPTER 4: Charting Systems DUNNIGAN AND THE THRUST METHOD NOFRI'S CONGESTION-PHASE SYSTEM OUTSIDE DAYS AND INSIDE DAYS PIVOT POINTS ACTION AND REACTION PROGRAMMING THE CHANNEL BREAKOUT MOVING CHANNELS COMMODITY CHANNEL INDEX WYCKOFF'S COMBINED TECHNIQUES COMPLEX PATTERNS COMPUTER RECOGNITION OF CHART PATTERNS NOTES CHAPTER 5: Event-Driven Trends SWING TRADING POINT-AND-FIGURE CHARTING THE N-DAY BREAKOUT NOTES CHAPTER 6: Regression Analysis COMPONENTS OF A TIME SERIES CHARACTERISTICS OF THE PRICE DATA LINEAR REGRESSION LINEAR CORRELATION NONLINEAR APPROXIMATIONS FOR TWO VARIABLES TRANSFORMING NONLINEAR TO LINEAR MULTIVARIATE APPROXIMATIONS ARIMA BASIC TRADING SIGNALS USING A LINEAR REGRESSION MODEL MEASURING MARKET STRENGTH NOTES CHAPTER 7: Time-Based Trend Calculations FORECASTING AND FOLLOWING PRICE CHANGE OVER TIME THE MOVING AVERAGE THE MOVING MEDIAN GEOMETRIC MOVING AVERAGE ACCUMULATIVE AVERAGE DROP-OFF EFFECT EXPONENTIAL SMOOTHING PLOTTING LAGS AND LEADS NOTES CHAPTER 8: Trend Systems WHY TREND SYSTEMS WORK BASIC BUY AND SELL SIGNALS BANDS AND CHANNELS CHOOSING THE CALCULATION PERIOD FOR THE TREND A FEW CLASSIC SINGLE-TREND SYSTEMS COMPARISON OF SINGLE-TREND SYSTEMS TECHNIQUES USING TWO TRENDLINES THREE TRENDS COMPREHENSIVE STUDIES SELECTING THE TREND SPEED TO FIT THE PROBLEM MOVING AVERAGE SEQUENCES: SIGNAL PROGRESSION EARLY EXITS FROM A TREND PROJECTING MOVING AVERAGE CROSSOVERS EARLY IDENTIFICATION OF A TREND CHANGE NOTES CHAPTER 9: Momentum and Oscillators MOMENTUM ADDING VOLUME TO MOMENTUM DIVERGENCE INDEX VISUALIZING MOMENTUM OSCILLATORS DOUBLE-SMOOTHED MOMENTUM VELOCITY AND ACCELERATION HYBRID MOMENTUM TECHNIQUES MOMENTUM DIVERGENCE SOME FINAL COMMENTS ON MOMENTUM NOTES CHAPTER 10: Seasonality and Calendar Patterns SEASONALITY NEVER DISAPPEARS THE SEASONAL PATTERN POPULAR METHODS FOR CALCULATING SEASONALITY CLASSIC METHODS FOR FINDING SEASONALITY WEATHER SENSITIVITY IDENTIFYING SEASONAL TRADES SEASONALITY AND THE STOCK MARKET COMMON SENSE AND SEASONALITY NOTES CHAPTER 11: Cycle Analysis CYCLE BASICS UNCOVERING THE CYCLE MAXIMUM ENTROPY SHORT CYCLE INDICATOR PHASING NOTES CHAPTER 12: Volume, Open Interest, and Breadth FUTURES VOLUME AND OPEN INTEREST EXTENDED HOURS AND 24-HOUR TRADING VARIATIONS FROM THE NORMAL PATTERNS STANDARD INTERPRETATION VOLUME INDICATORS BREADTH INDICATORS IS ONE VOLUME OR BREADTH INDICATOR BETTER THAN ANOTHER? MORE TRADING METHODS USING VOLUME AND BREADTH AN INTEGRATED PROBABILITY MODEL INTRADAY VOLUME PATTERNS FILTERING LOW VOLUME MARKET FACILITATION INDEX NOTES CHAPTER 13: Spreads and Arbitrage DYNAMICS OF FUTURES INTRAMARKET SPREADS CARRYING CHARGES SPREADS IN STOCKS SPREAD AND ARBITRAGE RELATIONSHIPS RISK REDUCTION IN SPREADS ARBITRAGE THE CARRY TRADE IMPLIED VERSUS HISTORIC VOLATILITY CHANGING SPREAD RELATIONSHIPS INTERMARKET SPREADS NOTES CHAPTER 14: Behavioral Techniques MEASURING THE NEWS EVENT TRADING COMMITMENT OF TRADERS REPORT OPINION AND CONTRARY OPINION FIBONACCI AND HUMAN BEHAVIOR ELLIOTT'S WAVE PRINCIPLE PRICE TARGET CONSTRUCTIONS USING THE FIBONACCI RATIO FISCHER'S GOLDEN SECTION COMPASS SYSTEM W. D. GANN: TIME AND SPACE FINANCIAL ASTROLOGY NOTES CHAPTER 15: Short-Term Patterns PROJECTING DAILY HIGHS AND LOWS TIME OF DAY OPENING GAPS WEEKDAY, WEEKEND, AND REVERSAL PATTERNS COMPUTER-BASED PATTERN RECOGNITION ARTIFICIAL INTELLIGENCE METHODS NOTES CHAPTER 16: Day Trading IMPACT OF TRANSACTION COSTS SLIPPAGE AND LIQUIDITY KEY ELEMENTS OF DAY TRADING TRADING USING PRICE PATTERNS INTRADAY BREAKOUT SYSTEMS HIGH-FREQUENCY TRADING INTRADAY VOLUME PATTERNS INTRADAY PRICE SHOCKS NOTES CHAPTER 17: Adaptive Techniques ADAPTIVE TREND CALCULATIONS ADAPTIVE VARIATIONS OTHER ADAPTIVE MOMENTUM CALCULATIONS ADAPTIVE INTRADAY BREAKOUT SYSTEM AN ADAPTIVE PROCESS NOTES CHAPTER 18: Price Distribution Systems ACCURACY IS IN THE DATA USE OF PRICE DISTRIBUTIONS AND PATTERNS TO ANTICIPATE MOVES THE IMPORTANCE OF THE SHAPE OF THE DISTRIBUTION A PURCHASER'S INVENTORY MODEL A PRODUCER'S SELLING MODEL STEIDLMAYER'S MARKET PROFILE A FAST VERSION OF MARKET PROFILE NOTES CHAPTER 19: Multiple Time Frames TUNING TWO TIME FRAMES TO WORK TOGETHER DISPLAYING TWO OR THREE TIME FRAMES ELDER'S TRIPLE SCREEN TRADING SYSTEM ROBERT KRAUSZ'S MULTIPLE TIME FRAMES MARTIN PRING'S KST SYSTEM NOTES CHAPTER 20: Advanced Techniques MEASURING VOLATILITY THE PRICE-VOLATILITY RELATIONSHIP USING VOLATILITY FOR TRADING LIQUIDITY TRENDS AND PRICE NOISE TRENDS AND INTEREST RATE CARRY FUZZY LOGIC EXPERT SYSTEMS GAME THEORY FRACTALS, CHAOS, AND ENTROPY GENETIC ALGORITHMS NEURAL NETWORKS MACHINE LEARNING AND ARTIFICIAL INTELLIGENCE REPLICATION OF HEDGE FUNDS NOTES CHAPTER 21: System Testing EXPECTATIONS SELECTING THE TEST DATA TESTING INTEGRITY IDENTIFYING THE PARAMETERS SEARCHING FOR THE BEST RESULT TOO LARGE TO TEST EVERYTHING VISUALIZING AND INTERPRETING TEST RESULTS THE IMPACT OF COSTS REFINING THE STRATEGY RULES ARRIVING AT VALID TEST RESULTS COMPARING THE RESULTS OF TWO TREND SYSTEMS RETESTING TO STAY CURRENT PROFITING FROM THE WORST RESULTS TESTING ACROSS A WIDE RANGE OF MARKETS PRICE SHOCKS ANATOMY OF AN OPTIMIZATION SUMMARIZING ROBUSTNESS NOTES CHAPTER 22: Adding Reality SOME COMPUTER BASICS THE ABUSE OF POWER FINAL STEPS BEFORE LAUNCH EXTREME EVENTS GAMBLING TECHNIQUES: THE THEORY OF RUNS SELECTIVE TRADING SYSTEM TRADE-OFFS SILVER AND AMAZON: TOO GOOD TO BE TRUE SIMILARITY OF SYSTEMATIC TRADING SIGNALS NOTES CHAPTER 23: Risk Control MISTAKING LUCK FOR SKILL RISK AVERSION LIQUIDITY MEASURING RETURN AND RISK POSITION SIZING INDIVIDUAL TRADE RISK KAUFMAN ON STOPS AND PROFIT-TAKING ENTERING A POSITION LEVERAGE COMPOUNDING A POSITION SELECTING THE BEST MARKETS PROBABILITY OF SUCCESS AND RUIN MANAGING EQUITY RISK IDEAL LEVERAGE USING OPTIMAL f COMPARING EXPECTED AND ACTUAL RESULTS NOTES CHAPTER 24: Diversification and Portfolio Allocation DIVERSIFICATION TYPES OF PORTFOLIO MODELS CLASSIC PORTFOLIO ALLOCATION CALCULATIONS FINDING OPTIMAL PORTFOLIO ALLOCATION USING EXCEL'S SOLVER KAUFMAN'S GENETIC ALGORITHM SOLUTION TO PORTFOLIO ALLOCATION (GASP) VOLATILITY STABILIZATION NOTES ABOUT THE COMPANION WEBSITE INDEX END USER LICENSE AGREEMENT