| Preface |
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xiii | |
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Developing and Implementing Trading Systems |
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1 | (38) |
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1 | (1) |
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What's New in This Edition |
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2 | (2) |
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4 | (1) |
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What Is a Trading System? |
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4 | (1) |
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What Is a Trading Program? |
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4 | (1) |
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Classification of Return Generation Processes |
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5 | (3) |
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Comparison: Discretionary versus Mechanical System Trader |
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8 | (1) |
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Why Should You Use a Trading System? |
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9 | (1) |
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Robust Trading Systems: Tops Cola |
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10 | (1) |
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What Is a ``Good'' Trading Program? |
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11 | (1) |
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How Do You Implement a Trading System? |
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12 | (1) |
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Is Systematic Trading Easy? |
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12 | (2) |
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14 | (1) |
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Appendix to Chapter 1: A Brief Technical Analysis Primer |
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15 | (24) |
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15 | (1) |
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Assumptions of Technical Analysis |
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16 | (1) |
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Typical Price Patterns and Chart Formations |
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16 | (5) |
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Measured Objectives from Chart Formations |
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21 | (2) |
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23 | (2) |
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25 | (2) |
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27 | (1) |
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28 | (3) |
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31 | (1) |
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31 | (5) |
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Estimating Long-Term Support and Resistance |
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36 | (3) |
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Principles of Trading System Design |
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39 | (26) |
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39 | (1) |
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What Are Your Trading Beliefs? |
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40 | (1) |
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41 | (1) |
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42 | (2) |
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44 | (4) |
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48 | (7) |
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Trading Multiple Contracts |
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55 | (3) |
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Risk Control, Money Management, and Portfolio Design |
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58 | (4) |
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62 | (1) |
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63 | (2) |
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Foundations of System Design |
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65 | (54) |
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65 | (1) |
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66 | (4) |
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To Follow the Trend or Not? |
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70 | (3) |
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To Optimized or Not to Optimize? |
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73 | (4) |
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Initial Stop: Solution or Problem? |
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77 | (7) |
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Does Your Design Control Risks? |
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84 | (4) |
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88 | (2) |
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Choosing Orders for Entries and Exits |
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90 | (1) |
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Understanding Summary of Test Results |
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91 | (2) |
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What the Performance Summary Does Not Show |
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93 | (2) |
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Some Avoidable Pitfalls in System Testing |
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95 | (5) |
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100 | (1) |
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Appendix to Chapter 3: Design Issues---Entry and Exit Strategies |
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101 | (18) |
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Design Issues for Entries |
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102 | (9) |
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111 | (6) |
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Summary: Review of Entry and Exit Strategies |
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117 | (2) |
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Developing New Trading Systems |
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119 | (82) |
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119 | (1) |
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The Assumptions behind Trend-Following Systems |
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120 | (1) |
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The 65sma-3cc Trend-Following System |
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121 | (24) |
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Effect of Initial Money Management Stop |
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132 | (6) |
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Adding Filter to the 65sma-3cc System |
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138 | (6) |
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Adding Exit Rules to the 65sma-3cc System |
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144 | (1) |
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Channel Breakout-Pullback Pattern |
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145 | (10) |
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An ADX Burst Trend-Seeking System |
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155 | (5) |
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A Trend-Antitrend Trading System |
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160 | (6) |
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Gold-Bond Intermarket System |
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166 | (9) |
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A Pattern for Bottom-Fishing |
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175 | (8) |
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Identifying Extraordinary Opportunities |
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183 | (3) |
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Performance Update: 65sma-3cc System |
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186 | (2) |
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188 | (1) |
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189 | (8) |
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197 | (2) |
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Appendix to Chapter 4: Additional Performance Updates |
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199 | (2) |
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Developing Trading System Variations |
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201 | (30) |
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201 | (2) |
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Channel Breakout on Close with Trailing Stops |
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203 | (1) |
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Channel Breakout on Close with Volatility Exit |
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204 | (4) |
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Channel Breakout with 20-Tick Barrier |
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208 | (4) |
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Channel Breakout System with Inside Volatility Barrier |
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212 | (2) |
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Statistical Significance of Channel Breakout Variations |
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214 | (4) |
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218 | (3) |
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221 | (4) |
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The Long Bomb--A Pattern-Based System |
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225 | (4) |
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229 | (2) |
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231 | (54) |
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231 | (1) |
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Measuring the ``Smoothness'' of the Equity Curve |
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232 | (5) |
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Effect of Exits and Portfolio Strategies on Equity Curves |
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237 | (8) |
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Analysis of Monthly Equity Changes |
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245 | (6) |
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Effect of Filtering on the Equity Curve |
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251 | (5) |
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256 | (3) |
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Stabilized Money Manager Rankings |
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259 | (5) |
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Mirror, Mirror on the Wall... |
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264 | (1) |
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265 | (2) |
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Risk-Adjusted Measures of Performance |
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267 | (4) |
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Comparison of Risk-Adjusted Performance Measures |
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271 | (9) |
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Control Charts for Future Performance |
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280 | (3) |
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283 | (2) |
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Ideas for Money Management |
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285 | (58) |
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285 | (1) |
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286 | (3) |
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Interaction: System Design and Money Management |
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289 | (6) |
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295 | (3) |
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Changing Bet Size After Winning or Losing |
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298 | (3) |
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Depth of Drawdowns for Actual Performance Records |
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301 | (9) |
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Estimating the Duration of Drawdowns |
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310 | (4) |
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Estimating Future Returns |
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314 | (3) |
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317 | (2) |
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319 | (3) |
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322 | (2) |
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A Calibration for Leverage |
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324 | (1) |
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Return-Efficiency Benchmarks |
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324 | (3) |
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327 | (2) |
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329 | (8) |
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Risk and Reward in Stocks and Mutual Funds |
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337 | (2) |
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339 | (4) |
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343 | (12) |
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343 | (1) |
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What You Really Want To Know about Your System |
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343 | (1) |
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Past Is Prolog: Sampling with Replacement |
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344 | (2) |
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Data Scrambling: All the Synthetic Data You'll Ever Need |
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346 | (6) |
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Testing a Volatility System on Synthetic Data |
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352 | (2) |
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354 | (1) |
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355 | (20) |
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355 | (1) |
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356 | (1) |
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Paper Trading: Pros and Cons |
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356 | (1) |
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Do You Believe in Your System? |
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357 | (1) |
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358 | (1) |
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358 | (1) |
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359 | (1) |
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``Guaranteed'' Entry into Major Trends |
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360 | (1) |
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360 | (1) |
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361 | (1) |
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361 | (1) |
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How Will You Monitor Compliance? |
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362 | (1) |
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362 | (1) |
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363 | (1) |
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Applications of Sports Psychology in Trading |
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363 | (6) |
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Trading with Your Head and Heart |
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369 | (1) |
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370 | (1) |
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Appendix to Chapter 9: Creating an Automated Diary of Trading Emotions |
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371 | (4) |
| Selected Bibliography |
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375 | (2) |
| Index |
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377 | |
Other versions by this Author