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150 Support price charts, 65-66 reversal roles, 67-68 Support levels, 50-51 System analysis, 139-140 System development, generally data in, 222-223, 233-234 evaluation of, 245-249 filters, 236-238, 250 intermarket analysis, 221-251 portfolio diversification and, 216-217 robust systems, 238-239, 242-243, 339 simple, based on premise, 234-236 stops, 244-245 System portfolio optimization efficient portfolios, 211-212 forms of, generally, 210-211 input diversification, 208-209 modern portfolio theory, 212-213 output diversification, 209-210 System return, l4l 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 TradeMarker™, 321 Trade-signal analysis, 181-183 Trading indicators chart pattern recognition, 14 evidence, weight of, 20-29 indicator construction, 19-20 moving averages, 15 nontrending, 32-33 technical indicators, 15-19 trend identification, 13-14 trending, 33-35 Trading methods, generally apprenticeship, 7-8 failures, 7 judgmental approaches, 4-5, 8-12 nonjudgmental approaches, 5-7, 12 position trading vs. intraday trading, 10-11 Trading performance evaluation consecutive trades, 156-158 drawdown, 151-153 equity curve analysis, 143-146 evaluation process, generally, 137-138 outlier trades, 150 profit ratios, 140 return measures, 140-142 risk/reward ratios, 155-156 run-up, 153-155 summaries, sliding and rolling, 142-143 system analysis, 139-140, 162 time analysis, 158-159 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 \ market exit, 80-81 money management, 104-105 Trends, generally classification of, 31-32 determination of, 30-31 identification of, 13-14 nontrending security, 37-38 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 defined, 102 market exit and, 77, 91, 96-97 portfolio diversification and, 210 risk and, 216 Volume Accumulation/Distribution (V-A/DO, 22-23 Volume bars, 203-204 Walk-forward testing, 127-128 Wall Street, view of mathematics, 254-255 Wall Street Journal, 292 Wavelets, 260 Weighted moving averages, 15 Wilder, Welles, 25, 30, 70, 82 Williams, Larry, 22 Winning trade, 102, 109, ill Zacks Research, 347 Zone analysis, 183-186,216
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