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147 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
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