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