Creat membership Creat membership
Sign in

Forgot password?

Confirm
  • Forgot password?
    Sign Up
  • Confirm
    Sign In
Creat membership Creat membership
Sign in

Forgot password?

Confirm
  • Forgot password?
    Sign Up
  • Confirm
    Sign In
Collection

toTop

If you have any feedback, Please follow the official account to submit feedback.

Turn on your phone and scan

home > search >

THE ENCYCLOPEDIA OF TRADING STRATEGIES

Author:
JEFFREY OWEN KATZ   DONNA. M CCORMICK  


Issue Date:
2015


Abstract(summary):

PREFACE xiii INTRODUCTION xv What Is a Complete Mechanical Trading System? - What Are Good Entries and Exits? * The Scientific Approach to System Development * Tools and Materials Needed for the Scientific Approach PART I Tools of the Trade Introduction 1 Chapter 1 Data 3 Types of Data * Data Time Frames * Data Quality? Data Sources and Vendors Chapter 2 Simulators 13 Types of Simulators * Programming the Simulator * Simulator Output @erformance summnry reports; trade-by-trade reports) * Simulator Perfomxmce (speed: capacity: power)? Reliability of Simulators - Choosing the Right Simulator * Simulators Used in This Book Chaoter 3 Optimizers and Optimization 29 What Optimizers Do * How Optimizers Are Used *? Lpes of Optimization (implicit optimizers; brute force optimizers; user-guided optimization; genetic optimizers; optimization by simulated annealing; analytic optimizers; linearpmgrwnming)? How to Fail with Optimization (small samples: large fxmztneter sets; no veri~cation). How to Succeed with O&mization (h-ge, representative samples; few rules andparameters; veriicatim @results) * Alternatives to Traditional Optimization * Optimizer Tools and Information * Which Optimizer Is forYou? Statistics 51 Why Use Statistics to Evaluate Trading Systems?? Sampling * Optimization and Curve-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 (optimization i-esults; verification results)? Other Statistical Techniques and Their Use (genetically evoJved systems; multiple regression; monte car10 simulations; out-of-sample testing; walk-forward testing) * Conclusion PART II The Study of Entries Introduction 71 What 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) * Standardized Exits * Equalization of Dollar Volatility * Basic Test Portfolio and Platfcnm Chapter 5 Breakout Models 83 Kinds of Breakouts? Characteristics of Breakouts. Testing Breakout Models? Channel Breakout Entries (close only channel breakouts; highest higMowest low bnxzkouts)? Volatility Breakout Entries? Volatility Breakout Variations (long positions only; currencies only; adx tremififilter). Summary Analyses (breakout types: entry orders; interactions; restrictions andjilters; analysis by market) * Conclusion? What Have We Lamed? Chapter 6 Moving Average Models 109 What is a Moving Average? - Purpose of a Moving Average * The Issue of Lag? Types of Moving Averages? Types of Moving Average Entry Models? Characteristics of 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 7 Oscillator-Based Entries 133 What Is an Oscillator?? Kinds of Oscillators * Generating Entries with Oscillators * Characteristics of Oscillator Entries. Test Methodology? Test Results (teas of overbought/oversold models; tests of signal line models; tests of divergence models; summary analyses) - Conclusion * What Have We Learned? Chapter S Seasonality 153 What Is Seasonality?? Generating Seasonal Entries? Characteristics of Seasonal Entries. Orders Used to Effect Seasonal Entries. Test Methodology. Test Results (test of the basic crossover model; tests of the basic momentum model: tests of the crossover model with con$mtion; tests of the C~SSOV~~ model with confirmation and inversions: summary analyses) * Conclusion * What Have We Learned? Chmter 9 Lunar and Solar Rhythms 179 Legitimacy or Lunacy?? Lunar Cycles and Trading (generating lunar entries: lunar test methodology; lunar test results; tests of the basic cmmo~er model; tests of the basic momentum model: tests of the cnx~mer model with confirmation; test. s of the crmmver model with confirmation and inversions; summary analyses; conclusion) * Solar Activity and Trading (generazing solar entries: solar test results: conclusion) * What Have We Learned? Chapter 10 Cycle-Based Entries 2Q3 Cycle Detection Using MESA? Detecting Cycles Using Filter Banks (butterworth jilters; wavelet-basedjilters) * Generating Cycle Entries Using Filter Banks * Characteristics of Cycle-Based Entries. Test Methodology. Test Results. Conclusion? What Have We Learned? Chapter 11 Neural Networks 227 What Are Neural Networks? (feed-forward neural networks). Neural Networks in Trading? Forecasting with Neural Networks? Generating Entries with Neural Predictions. Reverse Slow %K Model (code for the reverse slow %k model: test methodology for the reverse slow %k model; training results for the reverse slow %k model)? Turning Point Models (code for the turning point models; test methodology for the turning point models; training resulrs for the turning point models) * Trading Results for All Models (@ading results for the reverse slow %k model: frading results for the bottom ruming point model; trading results for the top turning poinf model) * Summary Analyses? Conclusion * What Have We Learned? Chapter 12 Genetic Algorithms 257 What Are Genetic Algorithms? * Evolving Rule-Based Entry Models * Evolving an Entry Model @he rule remplares) * Test Methodology (code for evolving an entry model)? Test Results (solutions evolved for long entries; solutions evolved for short enrries; fesf results for the standard portfolio; market-by-market tesf resulrs: equify curves; the rules for rhe solurions tesred) * Conclusion * What Have We Learned? PART III The Study of Exits Introduction 281 The Importance of the Exit? Goals of a Good Exit Strategy * Kinds of Exits Employed in an Exit Strategy (money management exits; trailing exits; projir tnrgef exiW rime-based exits; volarilify airs: barrier exits; signal exits) * Considerations When Exiting the Market (gunning; trade-offs with prorecrive stops: slippage; conC? nian rrading: conclusion) * Testing Exit Strategies * Standard Entries for Testing Exits (the random entry model) Chaoter 13 The Standard Exit Strategy 293 What is the Standard Exit Strategy? * Characteristics of the Standard Exit * Purpose of Testing the SES? Tests of the Original SES (test results) * Tests of the Modified SES (test resulrs) * Conclusion - What Have We Learned? Chapter 14 Improvements on the Standard Exit 309 Purpose of the Tests? Tests of the Fixed Stop and Profit Target * Tests of Dynamic Stops (rest of the highest higWlowest low stop; fesf of the dynamic arr-based stop: fat of 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?


Page:
386


Similar Literature

Submit Feedback

This function is a member function, members do not limit the number of downloads