Trading Systems and Methods

ISBN-10: 1118043561

ISBN-13: 9781118043561

Edition: 5th 2013

Authors: Perry J. Kaufman

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Description:

New Trading Systems and Methods + Website, Fifth Edition provides traders, money managers, and trading systems develoepers with a complete understanding of the tools and techniques needed to develop or choose a trading program for their needs. It begins with a discussion of basic mathematical and statistical concepts including how much data to use, how to create an index, probabilities, and other tools necessary to an understanding of trading systems and methods. Key technical analysis topics and indicators are then covered including indentifying trends and momentum. The analytical framework for comparing patterns to other systematic methods and techniques is presented. Examples are provided for stocks, including ETFs and futures. This new edition offers expanded coverage of arbitrage and high frequency trading, along with even more sophisticated risk management models. New Trading Systems and Methods, Fifth Edition thoroughly updates this much in demand reference - adding more systems, more methods, and an extensive array of risk analysis techniques necessary to survive and thrive in post-crisis markets.
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Book details

List price: $150.00
Edition: 5th
Copyright year: 2013
Publisher: John Wiley & Sons Canada, Limited
Publication date: 1/29/2013
Binding: Hardcover
Pages: 1232
Size: 7.20" wide x 10.10" long x 1.90" tall
Weight: 2.574
Language: English

Acknowledgments
Introduction
The Expanding Role of Technical Analysis
Convergence of Trading Styles in Stocks and Futures
A Line in the Sand Between Fundamentals and Technical Analysis
Professional and Amateur
Random Walk
Deciding on a Trading Style
Measuring Noise
Maturing Markets and Globalization
Background Material
Research Guidelines
Objectives of This Book
Profile of a Trading System
A Word About the Notation Used in This Book
And finally…
Basic Concepts and Calculations
About Data And Averaging
On Average
Price Distribution
Moments Of The Distribution: Variance, Skewness, And Kurtosis
Standardizing Risk And Return
The Index
Standard Measurements Of Performance
Probability
Supply and Demand
Charting
Finding Consistent Patterns
What Causes the Major Price Moves and Trends?
The Bar Chart and Its Interpretation by Charles Dow
Chart FormationsTrendlines
One-Day Patterns
Continuation Patterns
Basic Concepts in Chart Trading
Accumulation and Distribution—Bottoms and Tops
Episodic Patterns
Price Objectives for Bar Charting
Implied Strategies in Candlestick Charts
Practical Use of the Bar Chart
Evolution in Price Patterns
Charting Systems and Techniques
Dunnigan and the Thrust Method
Nofri’s Congestion-Phase System
Outside Days with an Outside Close
Inside Days
Pivot Points
Action and Reaction
Channel Breakout
Moving Channels
Commodity Channel Index
Wyckoff’s Combined Techniques
Complex Patterns
A Study of Charting Patterns
Bulkowski’s Chart Pattern Rankings
Event-Driven Trends
Swing Trading
Constructing a Swing Chart Using a Swing Filter
Point-And-Figure Charting
The N -Day Breakout
Regression Analysis
Components of a Time Series
Characteristics of the Price Data
Linear Regression
Linear Correlation
Nonlinear Approximations for Two Variables
Transforming Nonlinear to Linear
Evaluation of Two-Variable Techniques
Multivariate Approximations
ARIMA
Basic Trading Signals Using a Linear Regression Model
Measuring Market Strength
Time-Based Trend Calculations
Forecasting and Following
Price Change Over Time
The Moving Average
Geometric Moving Average
Accumulative Average
Reset Accumulative Average
Drop-off Effect
Exponential Smoothing
Plotting Lags and Leads
Trend Systems
Why Trend Systems Work
Basic Buy and Sell Signals
Bands and Channels
Applications of a Single Trend
Comparison of Major Trend Systems
Techniques Using Two Trendlines
Multiple Trends and Common Sense
Comprehensive Studies
Selecting the Right Trend Method and Speed
Moving Average Sequences: Signal Progression
Early Exits from a Trend
Moving Average Projected Crossovers
Momentum and Oscillators
Momentum
Divergence Index
Oscillators
Double-Smoothed Momentum
Velocity and Acceleration
Hybrid Momentum Techniques
Momentum Divergence
Some Final Comments on Momentum
Seasonality and Calendar Patterns
A Consistent Factor
The Seasonal Pattern
Popular Methods for Calculating Seasonality
Seasonal Filters
Seasonality and the Stock Market
Common Sense and Seasonality
Cycle Analysis
Cycle Basics
Uncovering the Cycle
Maximum Entropy
Cycle Channel Index
Short Cycle Indicator
Phasing
Volume, Open Interest, and Breadth
A Special Case for Futures Volume
Variations from the Normal Patterns
Standard Interpretation
Volume Indicators
Breadth Indicators
Interpreting Volume and Breadth Systematically
Breadth as a Counter-Trend Indicator
An Integrated Probability Model
Intraday Volume Patterns
Filtering Low Volume
Market Facilitation Index
Spreads and Arbitrage
Dynamics of Futures Intramarket Spreads
Carrying Charges
Spreads in Stocks
Spread and Arbitrage Relationships
Risk Reduction in Spreads
Arbitrage
The Carry Trade
Changing Spread Relationships
Intermarket Spreads
Behavioral Techniques
Measuring the News
Event Trading
Commitment of Traders Report
Opinion and Contrary Opinion
Fibonacci and Human Behavior
Elliott’s Wave Principle
Price Target Constructions Using The Fibonacci Ratio
Fischer’s Golden Section Compass System
W. D. Gann—Time And Space
Financial Astrology
Pattern Recognition
Projecting Daily Highs And Lows
Time Of Day
Opening Gaps
Weekday, Weekend, And Reversal Patterns
Computer-Based Pattern Recognition
Artificial Intelligence Methods
Day Trading
Impact Of Transaction Costs
Key Elements Of Day Trading
Trading Using Price Patterns
Intraday Breakout Systems
Intraday Volume Patterns
Intraday Price Shocks
Adaptive Techniques
Adaptive Trend Calculations
Adaptive Variations
Other Adaptive Momentum Calculations
Adaptive Intraday Breakout System
An Adaptive Process
Considering Adaptive Methods
Price Distribution Systems
Measuring Distribution
Use Of Price Distributions And Patterns To Anticipate Moves
Distribution Of Prices
Steidlmayer’s Market Profile
Using Daily Distributions to Identify Support and Resistance
Multiple Time Frames
Tuning Two Time Frames To Work Together
Elder’s Triple-Screen Trading System
Robert Krausz’s Multiple Time Frames
Martin Pring’s
Kst System
Advanced Techniques
Measuring Volatility
Using Volatility For Trading
Trade Selection Using Volatility
Liquidity
Trends And Price Noise
Trends And Interest Rate Carry
Expert Systems
Fuzzy Logic
Fractals, Chaos, And Entropy
Neural Networks
Genetic Algorithms
Replication Of Hedge Funds
System Testing
Expectations
Identifying The Parameters
Selecting The Test Data
Testing Integrity
Searching For The Best Result
Visualizing And Interpreting Test Results
Large-Scale Testing
Refining The Strategy Rules
Arriving At Valid Test Results
Comparing The Results Of Two Systems
Profiting From The Worst Results
Retesting For Changing Parameters
Testing Across A Wide Range Of Markets
Price Shocks
Anatomy Of An Optimization
Summarizing Robustness
Practical Considerations
Use And Abuse Of The Computer
Extreme Events
Gambling Techniques—The Theory Of Runs
Selective Trading
System Trade-Offs
Trading Limits And Disconnected Markets
Silver And Nasdaq—Too Good To Be True
Similarity Of Systematic Trading Signals
Risk Control
Mistaking Luck For Skill
Risk Aversion
Liquidity
Measuring Return And Risk
Leverage
Leverage Based On Exposure
Individual Trade Risk
Position Sizing
Kaufman On Stops And Profit-Taking
Ranking Of Markets For Selection
Probability Of Success And Ruin
Entering A Position
Compounding A Position
Equity Trends
Investing And Reinvesting:
Optimal F
Comparing Expected And Actual Results
Diversification and Portfolio Allocation
Diversification
Changing Correlations
Types Of Portfolio Models
Classic Portfolio Allocation Calculations
Finding Optimal Portfolio Allocation Using Excel’s Solver
Kaufman’s Genetic Algorithm Solution To Portfolio Allocation (GASP)
Volatility Stabilization
Statistical Tables
Matrix Solution to Linear Equations and Markov Chains
Trigonometric Regression for Finding Cycles
Construction of a Pentagon
Bibliography
About the Companion Website
Index
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