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149 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 oscillators Pricing, nonlinear, see Nonlinearity Proactive trading centering, 167-168 financial objectives, 166, 214 performance anxiety, 168-169 proactive tradi ng, 16 5-167 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
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, jrc 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 oscillators 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
Relative Strength Index (RSI) applications, 36, 39 defined, 25 market entry and, 70 market exit and, 88 Resistance price charts, 65-66 reversal roles, 67-68 Resistance levels, 50-51 Return on initial capital, 141 Return measures, 140-142 Reversal-probability analysis, 189-192, J * Reward, risk vs., 114-115 Reward/risk ratio, 114-115, 155-156 RINA Systems, Inc., 138 Risk, generally bar length and, 196-199 close-to-open, 116 exposure to, 215 portfolio diversification and, 209, 215 reward vs., 114-115 slippage, 116-117 Risk-averse traders, 273 Risk management methods, 198, 215 Risk/reward ratios, 155-156 Robust systems, development of, 238-239, 242-243, 339 Rolling analysis, 142 Rolling period analysis, 248-249 Run-up, 153-155 S&P 500 Index, 23, 77, 84, 208, 223 S&P Crossover Buy, 227-228 Satellites, data transmission, 367-368 Scaling up in time, 204-205 Schwager, Jack, 100 Select net profit, 150 Sell limit orders, 64 Sell stop orders, 63 Sentiment indicators, 15-16, 122 Sharpe ratio, 211, 215 Short position head-and-shoulders pattern, 330 multiple-bottoms and multiple-tops patterns, pull-back-in-trend, 325-326 Signal, 347 Signal translation, data reception, 369-370 Simple moving averages, 15, 105-106, 108 Sliding analysis, 142 Slippage, 101, 162 Slippage risk, 116-117 Slow Mobility Oscillator (MOS), 43 Software consultants, 384 /Software programs N. ( for financial modeling, 384-386 ) trading performance evaluation, 138 J Soros, George, 253 Specht, Donald, 299 Spreadsheets, Markowitz/Xu data mining correction formula, sample of, 132-136 price distribution function (PDF), 47-48 Spyglass, 67 Stable distribution curve, 252-253 Standard deviation (STDEV), 24, 147 Starting capital, 101 STATISTICA™, 226, 229 Statistical network data mining™ application of, example, 305-315 statistical network advantages, 305 statistical network algorithm, 301-305 Statistical Network learning algorithm, 305 Statman, Meir, 272 Stochastic Oscillator, 50 Stochastics (STOC) applications, 39 defined, 27 market entry and, 72 market exit and, 87-88 Stock selection, 252 Stop and Start Trading, 106-107 Stop orders, 63-64 Stopping points awareness of, 171 defined, 169-170 systems trading and, 173 Stops in system development, 244-245 value of, 76 Stress, trading success and, 168-169 Subsequent performance analysis, market potential, 186-189, 216 Summaries, sliding and rolling, 142-143
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