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Author:
JEFFREY OWEN KATZ   DONNA. M CCORMICK  


Issue Date:
2015


Abstract(summary):

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 ? Data Sources and VendorsChapter 2Simulators 13Types of Simulators * Programming the Simulator * Simulator Output @erformancesummnry reports; trade-by-trade reports) * Simulator Perfomxmce (speed: capacity:power) ? 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) ? 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? ? Sampling * Optimization andCurve-Fitting ? 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?) ? Example 2:Evaluating the In-Sample Tests * Interpreting the Example Statistics (optimizationi-esults; verification results)? 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 ? Characteristics of Breakouts . Testing Breakout Models ?Channel Breakout Entries (close only channel breakouts; highest higMowest lowbnxzkouts) ? Volatility Breakout Entries? Volatility Breakout Variations (long positionsonly; currencies only; adx tremififilter). Summary Analyses (breakout types: entryorders; interactions; restrictions andjilters; analysis by market) * Conclusion ?What Have We Lamed?Chapter 6Moving Average Models 109What is a Moving Average? - Purpose of a Moving Average * The Issue of Lag ?Types of Moving Averages ? Types of Moving Average Entry Models ? Characteristicsof Moving Average Entries ? Orders Used to Effect Entries * Test Methodology 'Tests of Trend-Following Models* Tests of Counter-Trend Models * Conclusion ?What Have We Learned? Chapter 7Oscillator-Based Entries 133What Is an Oscillator? ? Kinds of Oscillators* Generating Entries with Oscillators *Characteristics of Oscillator Entries . Test Methodology ? Test Results (teas ofoverbought/oversold models; tests of signal line models; tests of divergence models;summary analyses) - Conclusion * What Have We Learned?Chapter SSeasonality 153What Is Seasonality? ? Generating Seasonal Entries ? Characteristics of SeasonalEntries . Orders Used to Effect Seasonal Entries . Test Methodology . Test Results(test of the basic crossover model; tests of the basic momentum model: tests of thecrossover model with con$mtion; tests of the C~SSOV~~ model with confirmation andinversions: summary analyses) * Conclusion * What Have We Learned?Chmter 9Lunar and Solar Rhythms179Legitimacy or Lunacy? ? Lunar Cycles and Trading (generating lunar entries: lunar testmethodology; lunar test results; tests of the basic cmmo~er model; tests of the basicmomentum model: tests of the cnx~mer model with confirmation; test.s of the crmmvermodel with confirmation and inversions; summary analyses; conclusion) * SolarActivity and Trading (generazing solar entries: solar test results: conclusion) *What Have We Learned?Chapter 10Cycle-Based Entries 2Q3Cycle Detection Using MESA ? Detecting Cycles Using Filter Banks (butterworthjilters; wavelet-basedjilters)* Generating Cycle Entries Using Filter Banks *Characteristics of Cycle-Based Entries . Test Methodology . Test Results .Conclusion ? What Have We Learned?Chapter 11Neural Networks 227What Are Neural Networks? (feed-forward neural networks) . Neural Networksin Trading ? Forecasting with Neural Networks ? Generating Entries with NeuralPredictions . Reverse Slow %K Model (code for the reverse slow %k model: testmethodology for the reverse slow %k model; training results for the reverse slow %kmodel) ? Turning Point Models (code for the turning point models; test methodology for the turning point models; training resulrs for the turning point models) * TradingResults for All Models (@ading results for the reverse slow %k model: frading resultsfor the bottom ruming point model; trading results for the top turning poinf model) *Summary Analyses ? Conclusion * What Have We Learned?Chapter 12Genetic Algorithms 257What Are Genetic Algorithms? * Evolving Rule-Based Entry Models * Evolving anEntry Model @he rule remplares)* Test Methodology (code for evolving an entrymodel) ? Test Results (solutions evolved for long entries; solutions evolved for shortenrries; fesf results for the standard portfolio; market-by-market tesf resulrs: equifycurves; the rules for rhe solurions tesred)* Conclusion * What Have We Learned?PART IIIThe Study of ExitsIntroduction 281The Importance of the Exit ? Goals of a Good Exit Strategy * Kinds of ExitsEmployed in an Exit Strategy (money management exits; trailing exits; projir tnrgefexiW rime-based exits; volarilify airs: barrier exits; signal exits) * ConsiderationsWhen Exiting the Market (gunning; trade-offs with prorecrive stops: slippage;conC?nian rrading: conclusion) * Testing Exit Strategies * Standard Entries for TestingExits (the random entry model)Chaoter 13The Standard Exit Strategy293What is the Standard Exit Strategy?* Characteristics of the Standard Exit * Purpose ofTesting the SES ? Tests of the Original SES (test results) * Tests of the Modified SES(test resulrs) * Conclusion - What Have We Learned?Chapter 14Improvements on the Standard Exit309Purpose of the Tests ? Tests of the Fixed Stop and Profit Target * Tests of DynamicStops (rest of the highest higWlowest low stop; fesf of the dynamic arr-based stop: fatof the modified exponential moving average dynamic stop) * Tests of the Profit Taget *Test of the Extended Time Limit - Market-By-Market Results for the Best Exit *Conclusion ? What Have We Learned?


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