Encyclopedia Of Trading Strategies

Company and product names associated with listings in this book should be consideredas trademarks or service marks of the company indicated. The use of a registeredtrademark is not permitted for commercial purposes without the permissionof the company named. In some cases, products of one company are offered byother companies and are presented in a number of different listings in this book. Itis virtually impossible to identify every trademark or service mark for every productand every use, but we would like to highlight the following:......
Nội dung trích xuất từ tài liệu:
Encyclopedia Of Trading StrategiesTHE ENCYCLOPEDIA OFTRADING STRATEGIESJEFFREY OWEN KATZ, Ph.D.DONNA 1. M C CORMICKT R A D E M A R K S A N D S E R V I C E M A R K SCompany and product names associated with listings in this book should be con-sidered as trademarks or service marks of the company indicated. The use of a reg-istered trademark is not permitted for commercial purposes without the permissionof the company named. In some cases, products of one company are offered byother companies and are presented in a number of different listings in this book. Itis virtually impossible to identify every trademark or service mark for every prod-uct and every use, but we would like to highlight the following: Visual Basic, Visual C++, and Excel are trademarks of Microsoft Corp. NAG function library is a service mark of Numerical Algorithms Group, Ltd. Numerical Recipes in C (book and software) is a service mark of Numerical Recipes Software. TradeStation, SuperCharts, and SystemWriter Plus are trademarks of Omega Research. Evolver is a trademark of Palisade Corporation. Master Chartist is a trademark of Robert Slade, Inc. TS-Evolve and TradeCycles (MESA) are trademarks of Ruggiero Associates. Divergengine is a service mark of Ruggiero Associates. C++ Builder, Delphi, and Borland Database Engine are trademarks of Borland. CQC for Windows is a trademark of CQG, Inc. Metastock is a trademark of Eqnis International. technical analysis function library is a service mark of FM Labs. Excalibur is a trademark of Futures Truth. MATLAB is a trademark of The MathWorks, Inc. MESA96 is a trademark of Mesa.C ONTENTS. ~.PREFACE xiiiINTRODUCTION xvWhat Is a Complete Mechanical Trading System? - What Are Good Entries and Exits?* The Scientific Approach to System Development * Tools and Materials Needed forthe Scientific ApproachPART ITools of the TradeIntroduction 1Chapter 1Data 3Types of Data * Data Time Frames * Data Quality l Data Sources and VendorsChapter 2Simulators 13Types of Simulators * Programming the Simulator * Simulator Output @erformancesummnry reports; trade-by-trade reports) * Simulator Perfomxmce (speed: capacity:power) l Reliability of Simulators - Choosing the Right Simulator * Simulators Usedin This BookChaoter 3Optimizers and Optimization 29What Optimizers Do * How Optimizers Are Used * ?Lpes of Optimization (implicitoptimizers; brute force optimizers; user-guided optimization; genetic optimizers; optimizationby simulated annealing; analytic optimizers; linearpmgrwnming) l How to Fail withOptimization (small samples: large fxmztneter sets; no veri~cation) . How to Succeedwith O&mization (h-ge, representative samples; few rules andparameters; veriicatim@results) * Alternatives to Traditional Optimization * Optimizer Tools and Information *Which Optimizer Is forYou?Chapter 4Statistics 51Why Use Statistics to Evaluate Trading Systems? l Sampling * Optimization andCurve-Fitting l Sample Size and Representativeness . Evaluating a System Statistically* Example 1: Evaluating the Out-of-Sample Test (what ifthe distribution is not normal?what if there is serial dependence? what if the markets change?) l Example 2:Evaluating the In-Sample Tests * Interpreting the Example Statistics (optimizationi-esults; verification results) l Other Statistical Techniques and Their Use (geneticallyevoJved systems; multiple regression; monte car10 simulations; out-of-sample testing;walk-forward testing) * ConclusionPART IIThe Study of EntriesIntroduction 71What Constitutes a Good Entry? * Orders Used in Entries (stop orders; limit orders;market orders; selecting appropriate orders) * Entry Techniques Covered in This Book(breakouts and moving averages; oscillators; seasonality: lunar and solar phenomena:cycles and rhythms; neural networks; geneticaNy evolved entry rules) * StandardizedExits * Equalization of Dollar Volatility * Basic Test Portfolio and PlatfcnmChapter 5Breakout Models 83Kinds of Breakouts l Characteristics of Breakouts . Testing Breakout Models lChannel Breakout Entries (close only channel breakouts; highest higMowest lowbnxzkouts) l Volatility Breakout Entries l Volatility Breakout Variations (long positionsonly; currencies only; adx tremififilter) . Summary Analyses (breakout types: entryorders; interactions; restrictions andjilters; analysis by market) * Conclusion lWhat Have We Lamed?Chapter 6Moving Average Models 109What is a Moving Average? - Purpose of a Moving Average * The Issue of Lag lTypes of Moving Averages l Types of Moving Average Entry Models l Characteristicsof Moving Average Entries l Orders Used to Effect Entries * Test Methodology ’Tests of Trend-Following Models * Tests of Counter-Trend Models * Conclusion lWhat Have ...