Modified Three-C:rossover sy-stem. in testing,

542-5-43 Momentum, 126-153. 154-158

in adaptive techniques, 440, 444-446

and lost motion, 2l4

smoothing of, 144-147.157-158

of volume, 240-241 Momentum index. 131, 133 Momentum indicator, 129, 130, 133

by Blau, 144,145

and volume, 147-149 Money flow index, 147 Monte Carlo technique, 623-624 Monthly average, 161, 162 Moon phases, effect of, 376-378 Moving average, 55-60, 65-73, 97. 102,122-123

in day trading, 426-427

and momentum, 128

in phasing, 210

price distribution zones, 452-i53 for seasonal pattems, l69 in spectra] analysis, 207 speed of, 573 in trend systems, 116-123 for volume analysis, 249-250 MovingAverage Convetgence/Divefgence. See MACD

Moving Arerage with % Price Band, 546, 584-585 MPfDl, 95-

Multivariate approximation, 51-55 N

National Association of Purchasing Managers

(NAPM), 342 - breakout, 433 A-day breakout:

for intraday data, -

risk in, 102

in trend system comparison, 100-118, 540-542 ¹DayRule. 289-290 Negative carry, 321 Negatwe Volume Index (NVI), 242 Net momentum oscillator, 135 Neural networks. See Artificial neural networks News. 2.3. 334-338

and buying behavior, 214

and gaps, 225

trading based on, 337

unexpected, 338. 454. 562, 579 NewYork Futures Exchange, 23 New York Stock Exchange Composite Index, 23,

and pnce-value relationship. 146

profitmg from, 575

in spectral analysis, 204, 208

and trading system, 615

and trend direction, 484-485

and triangular weighting. 71

and use of stop-loss. 605

Nonlinear approximation. 45-48

Nonseasonal markets, 188

Nonseasonal years, 178-179, 181

Normal carry, 321

Observation model, 59-60 On-Balance True Range. 482 On-Balance Volume (OBV), 241-242, 248. 254

One-Way Formula, 292

Openit calls. 337

Opening range breakout. 433, 435

Open interest. 2. 217, 237-239

Optimal/ 623-626

Optimization. 503-504, 527, 531, 533

continuous test series for, 506, 510

of crossover test, 538

of Directional Movement system. 6ll-6l2

hardware for. 558

mathematical, 508-509

l-dimensronal. 505

and price shocks, 565

results of 520

sample, 547-548

sequential, 509

by steepest descent, 510

and test range, 523

24limen5ional. 505, 509

worst results, profiting from. 530-531 OsciUator(s). 133-147, 157

in First Cross system, 99

to identify cycle, 193

trend-adjusted, 445

and volume, 249, 250 Outiiers. in data, 557 Outside days, 267, 268

with outside close. 294 Outside paper. 458 Overbought market, 131. 133. 323

and BuUish Consensus. 348

indicators of, 140. 158. 159 Ovemight gaps, 424 Oversold market, 131, 133. 323

and BuUish Consensus, 348

Parabolic Time/Price System, 98-99, 152,

441-444, 545-546, 584-585 Parzen window, in spectral analysis, 206 PattciTi(s):

in charting. 218-228

in compounding positions, 617-618

episodic, 227-228

failure of, 235

and Gambling Theory, 566

and price distributions, 451-453

and spreads, 323

tune, 384, 394, 423-424

in volume. 238-239 Panem recognition, 2, 3. 2l4. 220, 235-236, 382-418

computer-based, 281, 382, 4l6-il8

and day trading, 423. 428-435

and gap analysis, 394-399

holidays, 412

intraday, 384-394

January, 413. 4l4

reversals, 413-316

weekday, 400-408

weekend. 408-412 Pentagon construction, 673-675

from one fixed diagonal, 673-674

from one side, 674-675 Percentage Wheat Method, 290 (Percent) %R Oscillalor. 143 Perfortnance. 482. 483. 521

computer testing of. 503

measurement of, 592-594

monitoring of 8,19-21, 554

and stops. 604, 605

and system evaluation, 626-630 Period, in cycle, 193, 194 Periodic cycles, 189 Periodic waves, 194, 196 Periodogram, 204 Phase, in cycles, 190, , 203-204 Phase angle, in cycle analysis, 208 Phasing, 70. 210-212 Pivot point, 227, 383

in intraday breakout system, 433

in Ijvermore swing nielhod, 283 Pivot-point channels, 227 Pivot-point moving average, 73 Pivot technique, 383

Planetary envelope in financial astrology, 372 Planetary motion, effects of. 189. 371 Point-and-figure charting, 3. 215, 229. 256-280

box size in, 259. 26l. 273-277

in combination system, 501

formations in, 25H-261

optimization study in, 272-280

price objectives in, 268-272

risk in. 102

and short-lerm trading, 424-426 trading tcx-liniques in. 264-268 in trend system comparison, 100-118 Point and Figure Commodity Trading: A Computer Evaluation (Thiel and Davis). 2"5 Point and Figure Method of Anticipating Stock

PriceMoiemont. the (de Villiers). 256 Point-and-figurc testing, 525-527 Point of ruin. 614

Portable MBA in Investment, The (Bernstein). 4 Portfolio management, 600-603 Portfolio Management Formulas (Vince). 4. 616, 624

Position trader. 259 Positive Volume Index (PVT), 242 Iosterior (revised) probability, 28 Prechter, Robert, 355. 357 Precious metals markets, 598

carrying charges in, 321

and spreads. 305. 331-555 Presidential elections, effect on mailcet. 345-344 Price, 2-4, 1(1

and averaging. 11-12

behavioral aspects of, 214

and momentum. 126-132

in moving average, 67

and production costs, 49

m supj4y and demand, 29-32 Price and Volume Trend (PVT), 242 Pnce chart, 53-34. 2l4, 281, 553 Price distribution, 14, 449-464 Price-Filtered On-Balance Volume, 254 Vnix level, 126

and day trading, 422-423

and seasonality, 162

and spread relationships, 3l6

and volatility, 471-473 Price movement, 4. 189, 454, 5"%

and agricultural markets, 182

asymmetry in. 650

change of character in, 235

chaotic. 491

and charting, 213-220, 449- See also Charting

systems and ttimmodities, 216 and contrary opinion, 347-48 and cycles. 189.210 in Dow Theory, 216-217 globalization effect on, 54, 600 human element in. 294-297 and models, 54-56 in point-and-figurc charts, 257-259 and probability. 24-25 randomne.ss in. 37 relative strength of, 135 and seasonality. 160-164, 172.176 speed of, 126. See also Momentum

and time patterns. 586

and volatility, 278-280, 47175

and volume, 238, 249. 485--i84 Price objectives:

in bar charting, 228-232

in Elliott Wave Theory. 357

in GtJden Section Compass system, 365

in point-and-figure charting, 268-272, 277 Price shocb, 213, 555, 586

and event trading, 228, 334, 338-540

and expectation, 339, 562-563

gaps after, 225

identifying, 563-565

noise as, 484

and risk, 587

and testing. 546-548 Price trend. See Trend

Price-volatility relationship, 278-280, 47172 Price-volume distribution, 483-484 Principle of confirmation, 216 ProbabUistic model, 44 Probability, 18, 23-29, 488 in Gambling Theory. 566 Probability model, 250-251 Probability network, 25-28 Producer Price Index (PPI), 36, 336, 342 Production costs, 18, 49, 454 Production cydes, 125, 189 Product substitution, 307, 312 Professional Commodity Trader, Tbe (Kroll), 221

Profit and Pntahility (Davis). 259

Profit Magic of Stock Transaction Timing, Tbe

(Hurst), 54, 210 Profit-making, 125, 266-267

and divergence, 157

and diversification, 600

and stop-loss, 605 Programming code:

for correlation coefQcient calculation in adaptive techniques, 439-440

for Ellion Wave Theory, 360-61

for gap analysis, 399

for geometric moving average, 74

for Herrick Payoff Index, 148

for intraday breakout system. 434

for key reversal, 226

for linearly weighted moving average, 69-70 for lunar phases, 377 for MACD, 128-129 for momentum, 127

for momentum-volume relationship, 147 for multiple time frames, 465-466 for Ai-day Relative Strength Index, 134 notation for, 8.16, 67 fcjT ParaboUc Timerice System, 443-444 for pivot-point weighring, 73

ftff reversal pattern, 415-416

for shock fiictor, 564

for swing high/low, 285-286

for trend system comparison, 107-116

for True Strength Index. l45

for Variable Index Dynamic Average 459

for volatihty filter, 479-482

for Volume-Filtered on-Balance Volume, 254

for volume indicawrs, 246-248

for weekday patterns studji 40-*- >8

for weekend pattem study. 409-412 Program trading, 311 Projected crossovers. 152 Prelected ranges, 383-384 Proponional retracements, 295 Pure carry market, 321 Put-eall ratio, 350

Quadratic mean, 12

Quattro software (Corel), 5. 8, 244

Random Character of Stock Market Prices, Tbe

(Coomer), 3 Random walk theory, 3. 626 Range ©lvalues, 11

Range Qxrotient trading system 545-546,

584-585 Raschke, Linda Bradford, 99 Rate of change (HOC):

of price, 126. 154

of volume, 240-241 Rate-of-change indicators. 126, 133, 152-154 Rate of return, 20-21

Reference Deviation trading system. 545-546.

584-585 Regression analysis, 2. 3. 57-61

ARIMA mediod in, 55-60

and confidence bands, 45

linear approximation in, 38-45

and market rdationships, 49-50

multivariate approximations in, 51-55

nonlinear approximatitm in, 45-48

time interval in, 38 Regressicm tool, in software, 41. 44, 48 Relative lower partial moments (RLPMs), 22 Relative strength:

in momentum, 128

and projected crossovers, 152 Relative Strength Index (RSI), 133-135, 138-140, 147-148

adaptive, programming foi; 440 RellabUity, in systems, 522. 571 Reminiscences of a Stock Gperator (Lefevre), 5, 400

Repeat sign. in thrust systems, 291, 292