Updated Index for New Trading Systems and Methods
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Index A pairs trading, 530 Acceleration, 382—386 product spreads, 531—537 Accumulation—bottoms and tops, 105—110 program trading, 525—526 Accumulative average, 258 ratio chart, 529—530 Adaptive techniques, 731—751 representative subset of an index, 527 Chande’s Variable Index Dynamic Average, 736 reverse crack, 534 comparisons, 741 single stock futures and underlying stock, 527—528 correlation coefficient, r2, 739—740 soybean crush, 532—533 dynamic momentum index, 747—748 stock and futures relationships, 531 FAMA, 737—738 TED spread, 544 intraday breakout system, 748—749 ARIMA (Autoregressive Integrated Moving Average), Kaufman’s Adaptive Moving Average, 731—735 237—243 MAMA, 737—738 estimation: determining the coefficients, 240—241 Master Trading Formula, 745—746 first-order autoregression, 237 McGinley Dynamics, 742 forecast results, 241 MESA Adaptive Moving Average, 737—739 Kalman filters, 243 momentum calculations,740 second-order autoregression, 238 Parabolic Time/Price System, 742—745 trading strategies, 241—243 RSI programmed, 740—741 Arithmetic mean, 19—20, 26 process development example, 749—750 Arms’Equivolume, 490 trend-adjusted oscillator, 747 Arms Index, 504 stochastic, variable-length, 746—747 Artificial intelligence, 696—697. varying the trend period, 739—740 See also Pattern recognition, computer-based ADX (Average Directional Movement Index), 1015-1017 Aspects, planetary, 616—618 AD oscillator, 369—373 Aspray’s Demand Oscillator, 495—496 Advance-decline system, 508 Asset allocation. See Portfolio allocation Advanced techniques, 791—846 Astrology, financial, 612—625 chaotic patterns and market behavior, 826—827 Aspects, 616—618 entropy and conditional entropy, 827—829 Jupiter-Saturn cycle, 613—616 expert systems. See Expert systems lunar eclipses, 624—625 fractals. See Fractals lunar phases, 619—623 fuzzy logic. See Fuzzy logic moon, 615 genetic algorithms. See Genetic algorithms planetary clock, 615 measuring volatility. See Volatility, measuring Saturn lines, 614 neural networks. See Neural networks solar eclipses, 623—624 price-volume distribution, 811—812 Attractors, 826 trade selection, 810—811 Autoregressive Integrated Moving Average. See ARIMA Bierovic’s On-Balance True Range, 810—811 Average, 19—22, 26—27 predicting volatility with trading ranges, 810 Also see Moving averages trends and noise, 812—815 averages, seasonal, 412—415 Agricultural patterns, 637. Average Directional Movement Index (ADX), 1015-1017 Also see Intraday patterns, Seasonality Average Maximum Retracement (AMR), 991—992 Allocation. See Optimal f, Portfolio allocation Average true range, 797 Annualizing, 39—40 Anti-Martingales, 957—958 B Anticipating a trend change, 346 Bands and channels, 292—299 Anticipating moves using price distributions, 756 Also see Confidence bands Arbitrage, 521—537 Bollinger bands, 294—295, 299 Also see Spreads changing price objectives, 114—115 butterfly spreads, 536—537 compromise between reliability and delay, 298—299 carrying charge, 537—538 moving channels, 145—146 Class B, 525 profit targers, 113—115 commodities, storable, 521—522 rules for using bands, 295—297 crack spread, 533—534 standard deviation, 754 crossrates, 523—525 timing the order, 297—298 forward rate parity, 523 volatility sensitive bands, 293—294 intercrop spreads, 534—536 Bar chart interest rate parity, 522—525 Also see Charting intermarket index spreads, 528—530 Dow Theory. See Dow Theory Trading Systems and Methods, Fourth Edition Page 1 of 16 multiple signals, 123 Bolton-Tremblay, 503—504 pattern failures, 123—125 interpreting breadth systematically, 506—508 price objectives, 112—118 Is one better than another?, 505—506 bottom formation, 116 McClellan Oscillator, 504 channels, 113—115 Schultz A/T, 504 common elements, 113 Sibbett’s Demand Index, 503 consolidation areas, 113—115 Thrust Oscillator (TO), 505 flags, 116—117 TRIN, Arms Index. 504 head-and-shoulders, 116 Upside/Downside Ratio (UDR), 504 rule of seven, 117—118 Breakaway gap, 82—83 triangles, 116—117 Breakout systems tops and bottoms, 115 Also see Trend systems, event-driven, Day Trading reliability of trends, 122—123 1st hour, 723 testing your skill, 125—126 adaptive, 748—749 trends easier to see in retrospect, 122 intraday breakout systems, 720, 722—727 Bayes’ theorem, 49—50 N-day breakout, 200—207 Bear market, 66—71 modified, 203—204 seasonal patterns, 432 programmed, 324, 327, 330 Bear spread, 553—554 testing, 204—205 Bear trap, 124—125 risk profile, 309, 312 Behavior, modeling with neural network, 837—838 testing, 905—917 Behavioral techniques, 561—625 Bressart, Walt, 708 Commitment of Traders Report. Bullish Consensus, 582—583 See Commitment of Traders Report Bull and bear chart formations, 66—70 contrary opinion, 581—586 Bull market, 66—71 Elliott’s wave principle See Elliott’s wave principle seasonal patterns, 432 event trading. See Event trading Bull spread, 553—554 Fibonacci and human behavior, 587—590 Bull trap, 124—125 Financial astrology. See Astrology, financial Butterfly spreads, 536—537 Fischer’s Golden Section Compass System, 603—606 Buy and sell signals, 288—292 Gann. See Gann, W.D. news, trading on, 562—567 C market selectivity, 566 Cambridge Hook, 389 media indicators, 566—567 Candlestick charts, 118—122 ranking and measuring, 562—565 pivot points and candle charts, 121—122 price target constructions using Fibonacci ratio, 601 quantifying candle formations, 121 Benchmarks, 881—882 strategies, 118—122 Bernstein, Peter L., 1049 Caps, 87—88 Bias, 17, 873 Carrying charge spreads, 537—540 Bierovic’s On-Balance True Range, 810—811 Central tendency, measures of, 25 Binomial probability, 1037—1038 Chande’s Variable Index Dynamic Average, 736 Blau, William, 277 Chande, Tushar, 736, 1003, 1004 Block transactions, 586 Changing markets, 11 Bollinger bands, 294—295, 754—755 Channel breakout, 142—146 Bollinger, John A., 294 Channel projection, 144 Bolton-Tremblay approach, 503—504 Channels, 80—81 Bottoms and tops, 97—110 Also see Bands and channels danger of trading, 104 Chaotic patterns and market behavior, 826—827 double, 100—103 Charting, 59—127 extended rectangle bottom, 105—106 accumulation and distribution, 105—110 head-and-shoulders formation, 108—110 bar chart. See Bar chart trading rules for, 110 candlestick charts, implied strategies, 118—122 price targets, 115 channels, 80—81 rounded, 106—108 chart patterns, reasons for, 60—62 triple, 103—104 chart trend in retrospect, 73—74 V-bottoms, 100 consistent patterns, 60—62 V-tops, 97—100 consolidation patterns, 79—80 wedge patterns, 108 continuation patterns, 92—95 Breadth, 502—506 distribution—bottoms and tops, 105—110 Also see Volume, Open interest double and triple tops and bottoms, 100—104 advancing and declining volume, 503 Dow Theory, 63—72 Arms Index (TRIN), 504 episodic patterns, 111—112 Trading Systems and Methods, Fourth Edition Page 2 of 16 Also see Price shocks Commitment of Traders Sentiment Index, 584—585 flags, 94 Commodex method, 968—970 gaps, 82—84 Commodity cycle index, 479—480 Also see Gaps Commodity Selection Index (CSI). 1013, 1017 head-and-shoulders formation. 108—110 Compounding a position, 1025—1032 inside days, 90—92 adding equal amounts, 1026—1207 island reversals, 36—88 adding equal size, 1026 key reversal days, 89—90 comparison of compounding methods, 1028 major and minor formations, 96 maximum compounding, 1027—1028 major price moves and trends, 62—63 reflecting pyramid, 1028 noise, 96—97 upright pyramid, 1026 one-day patterns, 82—92 Computer, use and abuse of outside days, 90—91 acquiring data, 937—938 pattern evolution, 126—127 cleaning the data, 937—938 pennants, 94—95 combining standard techniques into a system, 938—939 price objectives for bar-charting. expectations, 943—944 See Bar chart, price objectives for it should work, but it doesn’t, 941 rectangle bottom, extended 105—106 isolating problems, 942—943, reversal days, 88—90 maybe it does in theory, 944—946 rounded tops and bottoms. 106—108 transparent or complex solutions, 942 run days, 96 vertical or integrated solutions, 941—942 spikes, 85—86 looking into the past, 940 support and resistance lines, 75—76, 77, 78—79 paper trading, 940—941 systems and techniques. programming a new idea, 939—940 See Charting systems and techniques simple or complex?. 944 trading rules, 77—79 start slowly, 946 trendlines, 74—81 winner in disguise. 944 redrawing, 74—75 Confirmation, principle of, 70 triangles, 92—93 Confidence bands, 223—224, 214—215, 244—245 triple tops and bottoms, 100—104 Consolidation patterns, 79—80 V-bottoms, 100 Contingent probability, 45 V-tops, 97—100 Continuation patterns, 92—95 wedges, 95 Continuous forecasting, 132 wedge top and bottom patterns. 108 Conservation of captital, 291 wide-ranging days, 90—91, 728 Consolidation patterns, 79—80 Charting systems and techniques, 129—152 price targets, 113—115 action and reaction Contrary opinion, 581—584 Fibonacci ratios, 135—136 block transactions, 586 percentage retracements, 138—142 Bullish consensus, 582—584 Trident Commodity-Trading System, 136—138 Commitment of Traders Sentiment Index, 584—585 Tubbs’ Law of Proportion, 136 Dogs of the Dow, 585—586 basic principles of charting. See Charting basics Puppies of the Dow, 585—586 channel breakout, 142—145 put-call ratios, 585 combining techniques, 147 Small Dogs of the Dow, 585—586 complex patterns, 147—150 Corn-soybean relationship, 214—218 DeMark’s Sequential, 148—150 Correlation coefficient, r2, 220, 246—247 Dunnigan’s Thrust Method, 129—132 in adaptive trends, 739—740 One-Way Formula, 131—132 in portfolio allocation, 1049 Square Root Theory, 132 Correlation of systematic trading signals, 977—981 moving channels, 145—146 Countertrend. See Mean reversion Nofri’s congestion-phase system, 132—134 COT oscillator (COT Index), 579—580 outside days with an outside close, 134 Crabel, Toby, 720—722 study of, 150—152 Crack spread, 533—534 Chart patterns, computer recognition, 150—152 Crisis management, 952—954 Chi-square test (χ2), 1039—1042 Also see Price shocks Class B arbitrage, 525 Crossovers, moving average projected, 387 Cleaning data, 937—938 Crossovers, testing, 905—917 Cobweb charts, 54 Crossrate arbitrage, 523—525 Cohen, A.