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148 Intuition, development of, 214 IPC Mexico Index, 83 Losing trade, 101, 109, 111 Louisiana Pacific (LPX), 31-33, 35-36 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 Lanes 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 Longest flat period, 158 /Long positions / head-and-shoulders pattern, 330 / multiple-bottoms and multiple-tops patterns, \ 326-329 ,, pull-back-in-trend, 325-326 stops and, 77 Look-back periods, 48, 51 Margin applications in trading, 102 defined, 101 Market cycles, 223. See also Cycles Market entry expected return equation, 64-65 illustration of, 72-75 limit and stop orders, 64 mechanical entry methods, using advanced technical indicators, 69-74 timing of, technical indicators and, 65-69 . types of, generally, 63-64 /Market exit breakeven stop, 78-79 dollar stop, 77-78 double and reverse strategy, 93-95 indicators, 87-89 multiple position exits, 95-96 options and, 98-99 profit objective stops, 91-93 stops, value of, 76 time stops, 89-91 trailing stops, 82-87 trendlines, 80-81 volatility and, 96-97 Market modeling paradigm, development of market modeling, defined, 290-292 model input, 292-293 model output, 294 neural networks, 294-296 ontogenic statistical networks, 296-300 Statistical .Network Dat Market potential, quantification methods concerns for, 179-180 reversal-probability analysis, 189-192 subsequent performance analysis, 186-189, 216 \ trade-signal analysis, 181-183 \ zone analysis, 183-186, 216 .- ; 199-202 " Market risk, jrcRTsk Market structure indicators, 15, 17-18
Markowitz, Harry, 211 Markowitz/Xu data mining correction formula calculation, 131-132 function of, generally, 162 in-sample and out-of-sample data, 129 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 defined, 43 price distribution functions (PDF), 43-49, 54 Modern Portfolio Theory (MPT), 211-212 Momentum, generally market exit and, 88-89 system development, 236-237 Momentum indicators, 19 Momentum oscillators, 29 Monetary indicators, 15-17 Money Flow, 32 Money management advanced, 103-113 applications in trading, 102-103 basic terms, 100-102 importance of, 100, 119, 123 risk vs. reward, 114-118 Monthly rolling equity, 143-145 Morgan Stanley, 71 /Moving average ! defined, 25 I function of, generally, 121-122 \ intermarket, 231 \ market exit, 83-84 \ mechanical market entry, 69 money management, 105-106 Moving Average Convergence-Divergence (MACD), 25-26, 281 Moving average crossover method, mechanical market entry, 69-70 Multiple bottoms and tops pattern, 323, 326, 328-330 Multiple position exits, 95-96 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 data processing, 271, 282 forecasting models, generally, 338 market modeling, 294-296 nonlinear pricing, 266 probabilistic (PNN), 299-300 Neural Networks and Financial Forecasting (Jurik Research), 338 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 measurements, 257-260 modeling phenomena, 255-256 pricing, 257 Nontrending indicators, 32-33 Normal distribution, 263 Normalization, market input, 293 N-TRAINC, 323 OEX, 58, 60-61, 107 Omega Research Portfolio Maximize™, 138 Omega Research TradeStation, 202, 227, 317, 321-322, 347 On Balance Volume, 32 ONeil, William, 66
Ontogenic statistical networks Cascade Correlation, 296-298 Probabilistic Neural Networks (PNN), 299-300 Option pricing, 252, 261-263 Options, market exit, 98-99 Outlier trades, 150 Out-of-sample data, 129-130, 161 Overbought indicators, 70-71 Overbought stocks, 25, 31 Oversold indicators, 70-71 Oversold stocks, 25, 31 Parabolic SAR, 82-83 Peak-and-valley progression, 14 Percentage charts, 111-113 Percentage of the time in the market, 158 \ Percent losing trades, 101 \ Percent rate of change (PROC), 339 \ Percent winning trades, 101 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 input, 208-209 output, 209-210 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 motivation and issues in, 269-272 for nonstationarity, 281 purpose of, generally, 337-338 statistical, 282 Price-based indicators, 19, 24 Price chart, 65-66, 121 Price distribution functions (PDF) application of, 43-47 congestion and, 52-53 defined, 42 examples and interpretation of, 47-49 nonlinearity pricing, 262-264 reference points, 49-54 Visual Basic program, 58 Price history, 41 Price Layers, 53 Price mobility, assessment of, 58-61. See also Mobility oscillatots Pricing, nonlinear, see Nonlinearity Proactive trading centering, 167-168 financial objectives, 166, 214 performance anxiety, 168-169 proactive trading, 165-167 rate of return, maintaining, 173-176 recovery from last trade, 171-172 stopping points, 169-171, 173 systems trading, 172-173, 176-177, 214 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 Projection oscillator, 50 Project Nimble, 387-395 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 types of, 345-351 Receiver Operating System (ROS), 369-370 Recovery, psychological aspects of, 171-172 Reference points, 49-54 Reflexivity, 258-259
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