Index

Adjusted profit factor, 140 Advanced trading system, case study

figures and tables, 324

head-and-shoulders pattern, 323, 330-332

integrated system, 332-334

KCAT approach, 322-324, 334-335

multiple bottoms and tops patterns, 323, 326, 328-330

pattern descriptions, 321-322

pull-back-in-trend, 332, 325-327

problems with, 320

traditional approaches, 317-318

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

V importance of, 161

in-sample and out-of-sample data, 129-130, 161

leave-one-out testing, 130-131

Markowitz/Xu data mining correction formula, 131-136

walk-forward testing, 127-128 Bad packets, 373 Bar length

bars, time vs. volume, 202-204

in intermarket analysis, 225

intraday trading and, 193-195

market quality, 199-202

multiple time frame trading, 204-206

risk and, 196-199

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, John, 20-21 Bollinger Bands (BB), 20-22 i 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/hold return, 141 Buy limit orders, 64 Buy stop orders, 63

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 Boatd of Ttade, 224 Chicago Mercantile Exchange, 223 Choppy matkets, 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 also Options Commodity trading advisor ( ), 6 Complex indicators, nonlineat pricing and

reflexivity, 252-267 Computer Systems That Learn, 339 Congestion defined, 41

measurement of, 43-49

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, generally

analysis, 375-382

feeds through internet, 383

input/output, in system development, 222-223, 233-234

production, 356-363

reception, 369-374

resources for, see Data resources

storage, 374-375

transmission, 363-369 Data processing

conflicting data, 288

data selection for training, 283-285

expected values, 288

feature extraction, 272-280

preprocessing, 269-272, 281-282, 337

scaling data, 282-283

vatiable selection, 286-288 Data tesources

data analysis, 375-382

data production, 356-363

data teception, 369-374

data storage, 374-375

data transmission, 363-364 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

systems trading, 176-177 Displaced moving averages (DMAs), 8 Dollar stop, 77-78 Double and reverse strategy, 93-95 Dow, Charles, 13-14

Dow Jones Industrial Average (DJIA), 36, 291-293 Dow Jones Transportation Index, 292 Drawdown

defined, 101, 151-153

in robust systems, 243, 245, 247

Editor, 397

Efficient portfolios, 211-212 Egoism, 170

Elder, Alexander, Dr., 205 Eli Lilly, 68, 72, 74

Emotional reaction, in trading, 166. See also

Proactive trading End-of-day data, financial data sources

data reliability, 353

types of, 346 End-of-day (EOD) trading, 120 Equis MetaStock RT, 347 Equity, generally

defined, 101

reversing with, 109-111

Start and Stop trading with, 106-107

Equity charts, 103-104 Equity curve

analysis, 143-146

implications of, defined, 142

intermarket analysis, 248 Equity curve line, 142-143 Equity line techniques

moving average, 105-106

trendlines, 104-105 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

15-minute charts, 202-204, 206

Filters, in system development, 236-238, 251

Financial data sources

data reliability, 352-354

end-of-day data, 346, 351-353

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

Incremental approach, market exit, 84-86 Indicators, generally

categories of, 121-122

market exit, 87-89 Inflation, 225

Information content analysis, statistical network

trading, 30 In-sample data, 129-130, 161 Interest rates, 253 Intermarket analysis

data adequacy, 233-234

data modeling, 222-223

design and testing of systems, 232-233

illustration of, 245-249

improving system with meaningful filter or setup, 236-238

robust systems, 238-239, 242-243

stops, 244-245

system development, generally, 221-222, 234-236

target market, study guidelines, 225-228

treasury bonds as leader of S&R 229-232 Internet, 368-369, 383 Intraday (ID) trading

money management and, 120

position trading vs., 10-11

ticks, 193-194