INDEX

Page numbers followed by n indicate note numbers. A Array, investing and, 456 Ascending , 192, 193–194 Absolute return, 537 Aspray, Thomas, 160 Acampora, Ralph, 151 Aspray’s demand oscillator, 160–161 Accumulation and distribution, 159 Asset allocation, 448, 540 Accumulative average, 62 Athens General Index, 470–471 ACD method, 239 ATR. See Active portfolio weights, 539 Autoregressive integrated Activity-based intervals, 17–18 (ARIMA), 429–435 tick bars, 17–18 forecast results, 433 -scaled charts, 17 Kalman filters, 434–435 Adaptive markets hypothesis (AMH), 546, 553–554 mean-reverting indicator, 581 Adaptive Trading Model, 527 slope, 434 A/D oscillator, 132–136 trading strategies, 433–434 Advance-decline system, 174–175, 706 use of highs and lows, 434 Advance Market Technologies (AMTEC), Autoregressive model, 50–51 726–727n2 Average-modified method, 57 760 Advances in financial machine learning, 575 Average-off method, 57 ADX line, 39–40 Average true range (ATR), 32 Alexander filter, 624 Average volume, 153 Allais Paradox, 351 Alpha description of, 537 B method, 461–462 Backtesting, statistics of, 569–580 returns, 537 price data, 573–575 American Association of Individual Investors statistical concerns in, 576–580 (AAII), 380 time-series price data, 572–573 Amex QQQ index, 348 Bacon, Francis, 599–600 AMH. See Adaptive markets hypothesis Bailout, 212 AMTEC. See Advance Market Technologies Bands, 42–45, 75–84 Anchoring, 362–363 confidence, 435–437 Animal spirits, 561 formed by highs and lows, 75 Annualized rate ofCOPYRIGHTED return, 754 rulesMATERIAL for using, 81–82 Apex, 192, 234 trading strategies using, 44–45 Appel, Gerry, 169 Bandwidth indicator, 45 APT, 680n22 Barberis, Shleifer, and Vishny (BSV) hypothesis, Arbitrage, 647–649, 655 668–670 Arguments, 588–592 Bar chart, 185, 208–209 ARIMA. See Autoregressive integrated moving Bar chart patterns, 178–210. See also Patterns average classic patterns, 187–202 Aristotle, 582–583, 588 learning objective statements, 178 Arithmetic moving average, 24 overview, 178–179 Arms index, 167–168 Base, 192 Arms index (TRIN), 167–168 Bat indicator, 499

bindex.indd 760 1/20/21 9:26 PM INDEX 761 1/20/21 9:26 PM distribution volume Single candle lines candle patterns; 499, 500 499, Barberis, Shleifer, and Vishny hypothesis Vishny and Shleifer, See Barberis, VIX and, 338–341 VIX and, 280–287 applications, 281–282 to confirmresistance, to confirm 282 support, 283–284 confluence of candles, 284 to enter or exit trades, 280–281 to preserve capital, 240–241 description of, 251 ranking, interpreting, 173–175 interpreting, 152 learning statements, objective 705 indicators, breadth market 188 premature, and false 216–217 gaps, 739 systems, 354 and, strength relative 68–74 signals, C ratio advance-decline Cumulative See CADR. accumulation- See Cumulative CADV. 55 period, Calculation 17–18 8, , 4–6, Candlestick charts See also Multi- 240–246. Candlestick patterns, Breadth thrust, 500–502 thrust, Breadth 216–217 , Breakaway Breakout 187 price, Breakout 196–199 192, patterns, Broadening All-Cap Index, Equity Series Market Broad 378 firms, Brokerage BSV. value B T. See Bolton-Tremblay 561 558, 553, Bubbles, Warren, 661 Buffett, 179 Thomas N., Bulkowski, 262 261, Bullish belt-hold, 722 Bullish divergence, 266–268 Bullish engulfing pattern, 722 Bullish nonconfirmation, 265–268 Bullish piercing pattern, 190 Busted rectangles, 470 “Butterfly effect,” Buy 748 Buy-and-hold return, 662–663 664–666 movements, foundations of, 655–656 of, foundations 661–662 herd behavior, 661 and, behavior imitative 661–662 information cascades, 663 shifts, attention investor 658–659 stories, investors’ 655 limits of arbitrage, 655–656 limits of human rationality, 659 optimism, 552 and, overconfidence 182–183 pattern and, recognition psychological 656–660 factors of, of feedback pricerole in systematic 659–660 sample size neglect, 660–666 social factors of, 537–538 description of, 537–538 returns, 84 combined with other indicators, 79–80 modified, 730–731n39 530, AAA, 529 learning statements, objective 453–454 long-term rates, interest 529–535 model, 454 to stocks, 175 as a countertrend indicator, 170 highs and lows, 164–171 indicators, anchoring and adjustment to, 657–658 anchoring and adjustment to, 656–657 bias and, 667–673 of, hypotheses competing informationdiffusion of among investors, Bernard, V., 680n19 V., Bernard, Beta 161 139, William, Blau, 554–555 544, John, Bogle, Karl See also Popper, 609. Bold conjecture, 78–84 42–43, , 166 (BT) value, Bolton-Tremblay Bonds 225 bar, Bottom reversal 563 459–463, Bottom-up analysis, 202–203 Bowl, 188–189 pattern, Box 12–13 size, Box Breadth 9 679n theorem, Bayes’ 262 Bearish belt-hold, 683n84 654–673, 552–553, finance, Behavioral bindex.indd 761 bindex.indd 762 762 INDEX CMT Association CMF. SeeCumulative money flow CMA Envelope, 302 Cluster, 213 Climax pattern, 199–201, 222, 223 CHLR. SeeCumulative new high-lows ratio Chicago Boardof Trade (CBOT), 19, 20 Charting, 12–20 Charles D. method, Kirkpatrick 464–465 Channels, 45–46, 75–84 operator (CN),Channel-normalization Channel-breakout operator (CBO), 691–692, Chande, Tushar,168–169 Chaiken, Mark, 158, 701, 702 CHADTP.Connors-Hayward Advance- See CFTC. SeeCommodityFutures Trading CCI. SeeCommodityChannelIndex; CBOT. SeeChicagoBoardof Trade Cboe S&Pvolatility index, 347 Cboe Russell2000volatility index, 346–347 Cboe NASDAQ-100 volatility index, 345–346 Cboe DJIAvolatility index, 343–345 CBO. SeeChannel-breakout operator Catalysts, 546 Case studies CAPM. model SeeCapitalassetpricing Capitalization, EMHand, 651 model(CAPM),Capital assetpricing 642, CANSLIM method, 463–464 level II contentselections, ix exam topicsandquestionweightings, ix about, vii intervals, 12–16 price-based overview, 12 of multiple data sets, 9–11 market profile, 19–20 objective statements,learning 12 activity-based intervals, 17–18 Keltner, 75–76 of,description 200 data miningfortheS&P500,rule 685–731 of gapsandclassicpatterns, 220–222 designing “HAL”of 695–697. indicator SeealsoStochastic 729n12 Patterns Decline Trading Commission Continuous CommodityIndex 745–749, 757–758 680n21 (2001: A SpaceOdyssey), Cumulative advance-decline ratio (CADR), 706 Cumulative accumulation-distribution volume CTAs.Commodity TradingAdvisors See Crossovers, leftandright, 131 ofsmallnumbers,Crime 659–660 CRB. Bureau SeeCommodityResearch Cradle, 192 Crabel, Toby, 227, 229–230, 237–238 CPB. SeeCumulative positive volume index trading,Countertrend 124, 175 patterns,Counterattack 268 Correlogram, 431–432 Correlation, 409–422 Correction, withinatrend, 232 Cooper, Michael, 678–679 Continuous CommodityIndex(CCI), 518 Constant forward contracts, 743–744 Advance-DeclineConnors-Hayward Trading Connors, Larry, 233, 237 Confirmation Computers Commodity Trading (CTAs),Advisors 64 Bureau (CRB),Commodity Research 473 Commodity Futures Trading Commission Commodity ChannelIndex(CCI), 745 Commitments of Traders (COT) report, Coil, 194–195 Cognitive errors, 655 Cognitive dissonance, 552–553 Cognitive consonance, 552 Coefficient ofdetermination, 411 CNVR. SeeCumulative netvolume ratio CNV. SeeCumulative negative volume index operator SeeChannel-normalization CN. outliers, 421 normality, 417–420 objective statements,learning 409 homoscedasticity, 421–422 coefficient, 409–412, 430 assumptions, 412–420 errors, 552 confirmation, withtechnical 652 earnings testing oftrend system, 98 recognition and,pattern 183–184 program, viii level IIexam, ix (CADV), 701–703 Patterns (CHADTP), 174–175 (CFTC), 386, 676 385, 386 1/20/21 9:26 PM INDEX 763 1/20/21 9:26 PM Subrahmanyam hypothesis Subrahmanyam 725–727 727–728 for, convention averages pullbacks in, 199 pullbacks in, 199 trading, 37 constructing indicators for, 37–40 description, 38–40 using, 723–725 indicator, of proposed limitations channelneed for double normalization, 722–723 of, measure objective and naming parameter combinations 721–722 analysis, subjective 726–728 types, 90–92 system, average moving 5- and 20-day 92 breakout, 20- and 40-day 345 industry weightings, 344 members of, Death cross, 92–94 cross, Death 165–166 Index, Demand 160–161 Demand oscillator, 383 184, Derivatives, 383–389 markets, Derivatives 600 Rene, Descartes, 192–193 triangle, Descending and Hirshleifer, See Daniel, DHS. 197–199 192, Diamond top pattern, movement Directional 67–68 frequency of, Distribution, 120–121 index, Divergence 719–728 rules, Divergence 142–143 changing, Divisor, Average Industrial Jones Dow See DJIA. 281–282 257–260, 242, pattern, 247 Doji star, 455 452–453, Dollar, See also Moving 739. 46, , Anne, Dorn, 557 557 Daniel, Dorn, 187–188 bottoms, Double 139–146 , Double-smoothed 141 stochastic, Double-smoothed 187–188 tops, Double 147 Charles, Dow, 530 Average, 20 Bond Jones Dow (DJIA) Average Industrial Jones Dow 457–458 Industrials, Jones Dow 234–235 Walter, Downs, 147 Downtrends, hypothesis, 670–671 hypothesis, 743–744 S&P 500 703–704 704–705 charting 9–11 sets of, multiple 750 in-sample, systems, for futures problems special data 742–743 testing with clean data, 9–11 charting sets, data multiple 3–7 description of, 3 learning statements, objective 3 overview, 7–9 with multiple, working foreign, 476 foreign, 674 risk, 299–300 of principlesapplication and tools, 299 learning outcome statements, 307 spectrogram, 306 visual analysis, 290 inversions, 288 principles, 294 variation, Daily raw figure (DRF), 133 (DRF), figure raw Daily 512 506, Sentiment Composite, Daily 310 Dominant Cycles, XLV Daily 466 Danger points, (DHS) and Subrahmanyam Hirshleifer, Daniel, 266 265, 247, 245–246, Dark cloud cover, Data 3–11 intervals, Data mining for the Rule data See mining. Data 379 to Cover, Days 222–224 bounce (DCB), Dead cat D Cumulative net volume ratio (CNVR), 706 (CNVR), ratio net volume Cumulative 707 (CHLR), ratio high-lows new Cumulative 700–701 on-balance volume, Cumulative index (CPB), volume positive Cumulative 202–203 Cups, 452–453 Currency rates, 749 742, Curve-fitting, 299–312 applied, Cycle analysis 288–298 Cycle theory, 288–289 Cyclicality, 537–538 Cyclical stocks, Cumulative money flow (CMF), 703 (CMF), flow money Cumulative (CNV), index volume negative Cumulative bindex.indd 763 bindex.indd 764 764 INDEX Environmental Risk Index, 525–526 Environmental model. SeeFab Five Envelopes, 40–42, 44–45 Entry, 179–180 Entropy, 737 Engulfing patterns, 245, 246, 266–268 EMH. SeeEfficientmarkets hypothesis EMA. SeeExponentially smoothedmoving Ellis, Charles, 555–557 Elder,154 Alex, Einstein, Albert, 585, 613 Ehlers, John, 138 Efficient markets hypothesis(EMH), 21, 460, factor,Efficiency 754 EBTA. analysis SeeEvidence-basedtechnical E Dysart, Paul, 730n29 Drop-off effect, 29, 63 DRF. SeeDaily raw figure Drawdown, 744, 754 Dragonfly doji, 259 “The Winner’s Game,” 556–557 “Levels oftheGame,” 555–556 understanding, 551–552 vs.smart dumbparadox, 643–644 volatilityprice of, 649 predictability and,price 649–651 predictability studiescontradictingweak predictability studiescontradicting Ponzi and, schemes 666–667 motionin,nonrandom price 673–679 of,forms 680n17 flaws inassumptionsof, 645–649 false notionsof, 638–639 evidence infavor of, 639–643 of,description 637 paradox,cost ofinformation 644 contradiction to, 653–654 consequences ofmarket efficiency, 637–639 to,challenges 643–654 assumptions of, 644–645 average; Exponentialmoving average ofEMH,form 652–653 semistrong EMH, 651–652 hypothesis motiontheories;price Randomwalk also Behavioral finance; Nonrandom 546–552, 610–612, 637–654. See Extrapolation errors, 552 Exponential moving average (EMA), 30–31, Exponentially smoothedmoving average Expected utilitytheory, 646 Exogenous signalsystems, 741–742 Exit, 179–180 Exhaustion gap, 219 rate,Exchange 470 Exchange-Calculated Volatility products, 389 eVWMA. See Variably weighted moving average analysisEvidence-based technical (EBTA), 631 Evening Star, 246–247, 248, 272 “Eve andEve” double toppattern, 187 Errors Equity market, 684n99 Equity curve, 755–756 Feedback, 664–666 FBNDX. SeeFidelityInvestment GradeBond Fat tail, 65–67, 104 Fama, Eugene, 460, 641 Falsification. SeealsoPopper, Karl Falling window, 277–278 Failure swing, 123 Failures, 181, 207 Fading, 114, 277, 741 Fab Five, 497–528 F judgment, 666 investor, 647 hindsight, 552 extrapolation, 552 confirmation, 552 cognitive, 655 analysis of, 51–54 VIX and, 343–347 premium,risk 674 scientists’ response to, 612–614 limitations of, 608–609 using, 528 tape component, 497–505 sentiment component, 505–515 overview, 497 component,monetary 515–522 final tapecomponent, 505 combo component, 522–527 32, 154 (EMA), 29–33 Fund 1/20/21 9:26 PM INDEX 765 1/20/21 9:26 PM ratio ratio back test results, 629–630 back test results, 206 trading, long-term interest rates, 453–454 long-term rates, interest 449–450 performance, H 206–208 Half-mast formation, 283–284 256, Hammer, 243–244 Hammer pattern, 202 Handle, 256 243–244, Hanging man pattern, 604 guess, Happy 269–270 243, Harami pattern, 449 Hard assets, 289 Harmonicity, 204 Head, 203–206 Head-and-shoulders formation, 306–312 Select Sector SPDR ETF, Health Care 357 Hedging, 661–662 660, Herd behavior, 145–146 Herrick index (HPI), payoff 658 552, Heuristics, 169–170 index (HLX), High-low 502 logic indicator, High-low 255 candle, High wave 231 230, Hikkake, Transform, 33 Hilbert’s 742 R., John Hill, 552 Hindsight errors, highs/lows of new averages See Moving HLR1. highs/lows of new averages See Moving HLR30. index See High-low HLX. 421–422 Homoscedasticity, 672–673 Hong and Stein (HS) hypothesis, Globalization, communication and, 470 and, communication Globalization, average See Geometricmoving GMA. 497 452–453, 51, Gold, 92–94 Golden Cross, 388 Index (gvX), Gold ETF volatility 336 Goldman Sachs, 363 Goldman Sachs Commodity Index (GSCI), 371 363, Government, 155 Joseph, Granville, 281–282 259–260, doji, Gravestone 747 loss, Gross 747 profit, Gross See Goldman Sachs Commodity Index GSCI. principles 550 (GAAP), (FBNDX), 534 (FBNDX), 445–447 163–164 case study of, 220–222 of, case study 277 fading, centered moving average envelopes, 294–296 envelopes, average moving centered 296–297 lines, trend valid 619–621 of meaningless, elimination 279 learning statements, objective 52 limiting to direction, 279–280 overview, 620–621 subjective, stock and, choosing markets between for volume, substituting open interest Galilei, Galileo, 584 Galileo, Galilei, 659 fallacy,” “Gambler’s 215–222 Gaps, 148–150 M., Harold Gartley, 60 Gaussian filter, 384 Gaussian PDF, accepted accounting principles Generally 61–62 Geometric mean, 61–62 32, (GMA), average Geometric moving G accepted accounting See Generally GAAP. Figure charts,Figure 466 381 Journal, Analysts Financial 560 Financial crisis of 1988, 697 Calculator, Financial Data 239 Mark, Fisher, 294–296 cycle tools (Phasing), Fixed 206–208 Flags, 755 longest, time, Flat 154 index, Force 279–287 50–54, candle pattern, Forecasting, 682n56 horizon, Forward-looking 502 160, Norman, Fosback, 96–97 model, 4-9-18 crossover 180 Fractal, 359–362 Framing, 163 Christian, Fries, 58 technique, Front-loaded 587 Functional relationships, 196 Funnel, Futures Fidelity Investment Grade Bond Fund Bond Grade Investment Fidelity bindex.indd 765 bindex.indd 766 766 INDEX Integrated probabilityIntegrated model, 176 Inside bar, 227–230 In-sample (IS)data, 750 cascades,Information 661–662 Inferential statistics effects, 393–408 sectors,Industry 684n105 rawIndustrial materials, 450 metals,Industrial 450 language(ISL),Indicator scripting 697 Indicators, 699–708 Implied volatility, 323–334 I Hypothetico-deductive method, 615–617 Hutson, Jack, 142 Hume, David, 600–602, 639 SentimentIndex, Newsletter Stock Hulbert Hulbert, Mark, 544 SeeHongandSteinhypothesis HS. payoffHPI. index SeeHerrick pattern, 226,Horn 227 rule, symmetry Horizontal 626 Hook reversal day, 230 regression analysis, 403–407 linear regression, 407–408 inferential satistics, 394–395 hypothesis testing, 395–396 correlation, 399–403 autocorrelation, 403 volume and, 152–164 scripting, 697–698 raw and, timeseries 698–708 andvolumeprice functions, 699–700 predictability, 649–650 VIX and, 334 valuing options, 328–330 and,put-call parity 325–327 overview, 323 models,option pricing 328 objective statements,learning 323 impact onoptionprices, 333–334 vs.historical forward-looking volatility, fluctuations basedonsupply anddemand, movement,estimating price 327–328 stages of, 615–616 example from, 616–617 323–325 330–333 513–515 Isosceles triangle, 194–195 Island reversals, 224 ISL. language SeeIndicator scripting IPS. SeeInvestment statements policy Investors Intelligenceadvisors’ Sentiment Investors Investment statements (IPS), policy 562–565 Investing, 443–488 Inverted triangle, 196 , 244, 245 Inversions, 290 value,Intrinsic 540, 545 Intraday patterns, 237–239 Intraday intensity, 159 Interest rates, 509 Kelly Criterion, 648 Kaufman adaptive moving average (KAMA), 33 Kasakasa, 244 KAMA. SeeKaufmanadaptive moving average Kalman filters, 434–435 K Journal ofPortfolio Management, 577 Jegadeesh, Narishimhan, 460 January effect, 552 James O’Shaughnessy method, 464 J shifts inattention, 663 rational assumptionsof, 646–647 errors, 647 among,diffusion ofinformation 662–663 active vs. passive, 537 sample investment policy, 564–565 process of, 563 philosophy, 562–563 overview, 562 relative vs. investment, absolutereturn 537 for, strategies 481–493 perspectives on, 554–561 issue selection, 447–448 array and, 456 spread, 708 from, instruments prices-of-debt 708 long-term, 453–454 decline in, 104 in,changes 515 report, 381 1/20/21 9:26 PM INDEX 767 1/20/21 9:26 PM operator divergence 85–86 (MPTDI), trading in stocks, 678–679 in stocks, trading crash, 666 crash, 546–552 efficiency of, 737 and, entropy 547–548 efficiency, market 67–68 maturity of, 438–440 measuring strength, market 65 and, money 684n104 sectors, 340–342 VIX and, liquidity premium and gains to countertrend and gains premium liquidity 674 premium, 447 of trading, 588 consistency of, 589–596 deductive, 597–598 enumeration, induction by 596–597 inductive, 588 and arguments, propositions 353–355 aversion, 67 distribution, 755 large, 755 754, losses, consecutive maximum M Moving-average average; See Moving MA. convergence/ average See Moving MACD. 104 Macrotrends, Indicator” Directional Trend “Major Price 35–36 33, system, strategy MAMA-FAMA 705 indicators, breadth Market 19–20 profile, Market Markets 56 accounting, Market-to-market 754 750, MAR ratio, 749 excursion, adverse Maximum Linearly weighted moving average moving weighted See Linearly LMA. 587–598 Logic, 260 Long-legged doji, 260–263 bodies, Long real 131 Long sale, 648 Capital Management (LTCM), Term Long 461 Lookback, 470 Edward, Lorenz, Loss Capital Management Term See Long LTCM. average moving weighted See Linearly LWMA. LWMA), 29, 711 29, LWMA), efficiency, 559 efficiency, 557–558 560 contest, 560–561 long-term expectations and stock values, 558 long-term and stock expectations values, long-term for investors, expectations beauty vs. investing on professional 559–560 investor, on the professional of fundamental investors, role on reduced 561 warning for long-term investors, animal spirits and, 561 animal spiritsand, 561 on bubbles, 558–559 on efficient markets, 559 volatility, on excessive market and professionals on investment L 141 50, Lag, 216–217 David, Landry, 729n18 George, Lane, 588 of noncontradiction, Law 456–457 of percentages, Law 51 model, Least-squares 565 Act, Uniform PrudentLegislation, Investor 555–556 of the Game,” “Levels 463 459–460, Robert, Levy, 463 method, Levy Libertarian 371 paternalism, 412–417 Linearity, (LMA; average moving weighted Linearly 435–438 model, Linear regression 438 slope, Linear regression 9–10 Line chart, 4, 202 Lip, Liquidity Key reversal bar, 225 bar, reversal Key 464 Charles D., Kirkpatrick, 530–532 497, KISS philosophy, 232–233 Knockout pattern (KO), KO. See Knockout pattern Thomas, Kuhn, 621 Keltner, Chester, 42 Chester, Keltner, 42–43 band, Keltner 75–76 channels, Keltner 635 of planetary motion, laws Kepler’s 633n50 Kernel regression, 677–678 Lars, Kestner, 557–561 Maynard, John Keynes, bindex.indd 767 bindex.indd 768 768 INDEX Momentum, 460 Modified 3-crossover model, 96 Portfolio Modern (MPT),Theory 461 Models Mode bat, 498, 508 MLM. SeeMt. LucasManagementIndex randomness,Misunderstanding 553 Minute-to-minute patterns, 183 Mill, John Stuart, 605 Meta-look-ahead bias, 579–580 Megaphone, 196 Media, reactions to, 551 gap,Measuring 219 Measured rule, 187, 208 MDD. SeeMaximum drawdown McClellan oscillator, 166–167 Maximum favorable andadverse excursions, 755 Maximum drawdown (MDD), 754 Maximum consecutive losses, 754 double-smoothed, 139–146 as thedifference between andtrend, price description, 108–110 by trading confirmed volume, 653 indicator toRSIand, stochastic comparing indicator tomomentum stochastic comparing of,characteristics 109–111 basic exit, 115 adding volume to, 143–144 Zweig BondModel, 530–535 market model,stock 494–528 real-time models, 529–530 models,option pricing 328–329 Nine-Indicator Model, 523–525 modified 3-crossover model, 96 linear regression model, 435–438 least-squares model, 51 probabilityintegrated model, 176 Hong andSteinhypothesis, 672–673 4-9-18 crossover model, 96–97 Fab Five model, 497–528 Daniel, Hirshleifer, andSubrahmanyarn model,capital assetpricing 642, 680n21 Barberis, Shleifer, and Vishny hypothesis, autoregressive model, 50–51 Adaptive Trading Model, 527 111–112 128–130 and RSI, 128–130 hypothesis, 670–671 668–670 Moving average convergence/divergence Mt. LucasManagementIndex(MLM), star,Morning 246–248, 271–272 Morgan Stanley Focus Growth Strategy Profile, Monthly 4–7 chart, Monte Carlopermutation, 686, 688–689 Money management, 536–567 , 158 Money flow Money, markets and, 65 Momentum-volume (MV)indicator, 144 underperformance ofmoney managers, underperformance top-down fundamentalanalysis process, relative vs. investing, absolutereturn 537 professional investment statements, policy perspectives oninvesting, 554–561 overview, 536 money managers’ record, 544–546 market efficiency, 546–552 objective statements,learning 536 beta returns, 537–538 behavioral financeand, 552–553 analysts and, 549–551 alpha returns, 537 adaptive markets hypothesis, 553–554 moving averages of, 703 cumulative, 703 volume andpercentagechange, 153–154 as trend indicator, 112–113 timing anentry, 113–114 system, 85 reversal of, 652 relative strength and, 481–482 of,persistence 652 of,pattern 108–109 overview, 106–108 and,oscillators 106–146 nonreversal of, 652–653 moving convergence/divergence, 118–120 objective statements,learning 106 extremes,identifying andfading price high-momentum trading, 118 representationgeometric of, 107 (MACD), 118–120, 741 677–678 562–565 545–546 538–543 562–565 114–118 1/20/21 9:26 PM INDEX 769 1/20/21 9:26 PM Investment Trusts Investment 363 (NAREIT), Trusts Five Fab hypothesis; See also Efficient markets analysis Technical 678–679 trading in stocks, 677–678 returns, following 673–675 efficiency, sector weightings, 346 sector weightings, 73–74 for, system trend 673–679 in the context of efficient markets, 635 importance of theory, 634 learning statements, objective and gains to countertrendliquidity premium Lucas Management Index of trend Mt. 634 overview, 635 scientific theory, price systematic motion and market N NA. See Net advances 230 reversal, bar upward Naked of Real Estate Association See National NAREIT. 236–237 bar (NR), Narrow-range 100 NASDAQ 470–471 Index, Composite NASDAQ 74 futures, NASDAQ Investment of Real Estate Association National 62 log, Natural N AV. See Net asset value Research See NDR. 205 Neckline, See also 494. Research (NDR), Ned Davis 159–160 index (NVI), volume Negative 166–167 (NA), Net advances 56 (NAV), Net asset value 520 reserves, Net borrowed 747 Net profit, 751 Neural network, 697 Neuro-Shell, 523–525 Model, Nine-Indicator 675–676 358–361, Non-correlated asset classes, 680n20 event, Noninformative 428 Nonparametric regression, 634–684. Nonrandom price theories, motion Multiple-bar patterns, 246–250 patterns, Multiple-bar 426–428 424, regression, Multiple 576–578 fallacy, Multiple testing M V. indicator Momentum-volume See

channel 708 HLR30), (HLR1; Theory Modern Portfolio Indicator”; Candlestick Single candle lines patterns; of accumulation distribution volume, 703 distribution volume, of accumulation 705 ratio, of advance-decline 174 approaches to, 429–435 ARIMA and, 42–45 bands, 22–28 calculating, 45–46 channel, 56–57 components of, 104–105 projection, crossover 22 description, 37–40 and, movement directional 40–42 envelopes, 21 learning statements, objective 26 length of, 703 flow, of money 26–27 multiple, 704 index, volume of negative 707 ratio, of net volume 21–22 overview, 100 performance of, 157–158 price substitution in, 73–74 of, profile 101–104 sequences, 729n13 simple, 693 smoothing effect, 85–86 step-weighted, 33–37 strategies for using, 739 systems, 87 rule, average moving 10-day 54–61 and, calculations time-based trend 57 28–33, types of, 59 group, by weighted 264 learning statements, objective reading the indicator, 119–120 the indicator, reading 127 of, RSI version 120 trading, 163 weighted, variably 162 volume-weighted, Moving-average operator (MA), 692–695 (MA), operator Moving-average ratio highs/lows of new averages Moving Directional Trend “Major Price See MPTDI. 363 MSCI EAFE Index, See also 264–278. Multi-candle patterns, 508 Multi-Cap Equity Series, 681n43 Multiperiod horizons, Donchian See also 21–48. (MA), average Moving bindex.indd 769 bindex.indd 770 770 INDEX Outlier-adjusted profit, 753 approach, 377 Our portfolio-based O’Shaughnessy, James, 464 Oscillators Option, 315–322 Optimizing Open interest Opening gap, 217–219 OOS. SeeOut-of-sampleoptimization Oops! pattern, 233, 245 463 O’Neil, William, One-bar reversal patterns, 225 On-balance volume (OBM), 155–158 OIH spectrogram, 303 Occam’s Razor, 585, 618 OBM. SeeOn-balancevolume O NVI. SeeNegative volume index Null hypothesis, 611–612, 688–689 NR4 day, 236 doji, 260 Northern volume, 154–155 trending vs. sideways markets, 143 indicator,stochastic 127–132 relative strength indexand, 122–127 periods, 297–298 overview, 106–108 momentum and, 106–146 objective statements,learning 106 forecast, 438 description, 121–122 terminology, 316–317 strategies, 321 overview, 315 markets, 328 objective statements,learning 315 implied volatility and, 328–330 impact from impliedvolatility, 333–334 smoothness andtheequitycurve, 755–756 and,screening forparameters 752 measures,risk 754–755 profit measures, 753–754 methods of, 750–753 systemresults forrobustness,measuring and trend, 386 substituting forvolume usingfutures, objective statements,learning 152 753–758 163–164 Perception biases, 358–365 Percentage winningtrades, 137, 754 Percentage filter, 624 Percentage envelopes, 40–42 Percentage method, change 461 Percentage bands, 76 Pennants, 206–208 Pearson’s correlation, 409–411, 413, 414 Payoff ratio, 754 Patterns. patterns SeealsoBarchart Pattern recognition systems, 741 Pattern completionrule, 627–628 Path dependence, 354–355 Parameter set, 744 Paper umbrella, 244 Paper assets, 449 Pairs trading, 724 P Oversell, 114 Overbuy, 114 Outside bar, 230–231 Out-of-sample optimization (OOS), 742, Outliers, 421 overview, 358 objective statement,learning 358 framing, 359–362 anchoring, 362–363 in volatility, 552 subjective, 622–630 continuation tradingpatterns, shorter with rounded edges, 202–209 recognizing, 182–183 profitability of, 186–187 objective, 623 market and recognizing, structure 184 withbest patterns barchart long-term identifying direction from consolidation leakage,future information 628–629 existence of, 181–183 andexit,entry 179–180 of,description 179 and,computers 183–184 of,characteristics 179–181 broadening, 196–199 206–208 208–209 andlowestperformance offailure, risk patterns, 186 750–752 1/20/21 9:26 PM INDEX 771 1/20/21 9:26 PM Efficient markets hypothesis See also Efficient markets 429–435 435–438 model, busted, 190 busted, 190 trading, 428 assumptions, 425 423–424, equation, 423 learning statements, objective 426–428 424, multiple, 428 nonparametric regression, average, integrated moving autoregressive 434 learning statements, objective 438–440 measuring strength, market trading signals using a linear regression patterns and, 186–187 patterns and, 747 percent profitable, 354n9 description of, 356 of, drawbacks 351 learning statements, objective 353–355 loss aversion, 351 overview, 355 in practice, 351–352 point, reference 352–353 S-curve, R 637. 460, 21, (RWH), hypothesis Random walk 14–16 Range bars, 236–237 Linda Bradford, Raschke, 107n1 107, of changeRate (ROC), 754 of return, Rate 448 analysis, Ratio 459 method, Ratio 698–699 time series, Raw 529–530 Real-time models, 755 754, ratio, Recovery 188–189 Rectangle pattern, 423–428 Regression, 434–440 Regression analysis, Profit factor, 70, 747, 753 747, 70, factor, Profit 292–293 Proportionality, 588–589 Propositions, 351–357 theory, Prospect 742 George, Pruitt, 607–608 Pseudoscience, 199 180–181, Pullbacks, 384–385 Put/Call Ratios, index volume See Positive PVI. 586 Pythagoras, Theorem, Pythagorean 586 476–480 664–666 movements, change over time, 54 time, change over 65 distribution of, 327–328 priceestimating movement, 114–118 extremes, 632n32 historical data, 87 history of, 649–651 of, predictability 675 efficiency, market for promoting 139 for, proxy of feedback pricerole in systematic 183 tick-to-tick, 15–16 and charting, volatility 649 of EMH, volatility point-and-figure 12–14 charts, 14–16 range bars, 573–574 log returns, 574–575 normality cures, saliency, 358–359 saliency, 364–365 bias, sunk-cost 563 construction and implementation, 472 US markets, from away diversification using intermarketdiversification analysis, Positive volume index (PVI), 159–160 index (PVI), volume Positive price See Producer index PPI. Price Price-based 12–16 intervals, 573 Price data, 34–35 determining, Price extremes, 187 Price targets, 651 Price-to-book-value effect, 651 647, 563, Price-to-earnings 551, (P/E), ratio 147–148 Price trends, 451 Martin, Pring, 516 priceProducer (PPI), index 67 distribution, Profit Perfect fit correlation, 750 fit correlation, Perfect 381 Period, 743–744 contracts, Perpetual 247 Piercing line, 265–266 Piercing pattern, 225 Pipe formation, 216 Pivot, 60–61 weighting, Pivot-point 12–14 chart, Point-and-figure 185 patterns, Point-and-figure 666 Charles, Ponzi, 666–667 schemes, Ponzi 604–609 594, Karl, Popper, Portfolio bindex.indd 771 bindex.indd 772 772 INDEX Rounding tops, 202–203 Rounding bottoms, 202–203 “Rollo Tape.” Rolling trend calculations, 63 Rolling calculation period, 54 oninvested SeeReturn capital ROIC. SeeRate ofchange ROC. Rising window, 277–278 Rising wedge, 200 D.Richard Wyckoff method, 466–467 Reversions tothemean, 741 Reverse triangle, 196 retracement ratio,Return 755 oninvestedReturn capital(ROIC), 563 onaccount,Return 748 Resistance lines Reset accumulative average, 63 Relative vigorindex(RVI), 138–139 (RSI), 122–127, 741 Relative strength. SeealsoMomentum Relative return, 537 studies,Regression 751 line,Regression 750 determining, 34 and, 281–282 charts candlestick volume-weighted, 144–145 version ofMACD, 127 ups anddowns, 124 2-day, 124–126 standard 2-period, 126–127 net momentumoscillator, 124 modifying, 123–124 creating indicator from, thestochastic trading,countertrend 124 forinvesting,strategies 481 solutions todrawbacks of, 357–361 sell rule, 354–356 sector returns, 482–484 real world implementation, 361–362 ranking, 354 overview, 481 momentum, 481–482 measuring, 461–463 objective statement,learning 481 data sources, 362–363 data, 482 buy rule, 354 bottom upanalysis and, 459–463 academic studiesof, 459–460 131–132 See Wyckoff, Richard D. RWH. SeeRandomwalk hypothesis RVX. SeeRussell2000volatility index RVI. SeeRelative vigorindex Russell 2000volatility index(RVX), 346–347 Runs, of, distribution 66 Run bars, 230 Runaway gap, 219 Rule oftrends, 150–151 Rule data miningfortheS&P500, 685–731. See RSI. SeeRelative strength index Rouwenhorst, K. G., 460 Science Schultz, 166 Scatterplot, 10–11, 414–416 Scallops, 202–203 Scaling, 144 Saucer, 202–203 Salk, Jonas, 611–612 Saliency, 358–359 S trend rules, 710–711 intomarket data series transforming operators,time-series 691–698 analysistechnical themes, 687 used,statistical terms 688–689 statistical significancelevel, 689 raw andindicators, timeseries 698–708 parameter setsandtotalnumberofE-type overview, 685 naming convention forextreme value and objective statement,learning 685 extreme values andtransitions, 711–719 evaluation ofcomplexrules, 687–688 divergence rules, 719–728 usedincasestudy,data inputseries 708–709 bias andevaluation, 685–686 avoidance ofdata snoopingbias, 686 average return, 687 analyzed data series, 686–687 philosophy of, 598–615 in,logic 587–598 laws vs. theories, 587 knowledge and, 585–587 functional relationships, 587 positions, 689–691 rules, 719 transition rules, 719 analysisalso Technical 1/20/21 9:26 PM INDEX 773 1/20/21 9:26 PM 214–215 435–438 model, Multi-candle Candlestick patterns; patterns 253–257 learning objective statements, 211 learning statements, objective 211–212 overview, pattern construction and determination, 215–239 traditional, 71–72 the trend, anticipating 68–74 and sell, buy 70–71 comparingsignals, basic trading 35–37 giving specific, 101–104 progression of, trading signals using a linear regression 69–70 and, trendlines 257–260 Doji line, 253 learning statements, objective 260–263 bodies, long real candles, spinning tops and high wave 363 description of, 685–731 rule mining for, data Shark-32, 234 Shark-32, 234–235 pattern, Shark 680n21 F., William Sharpe, 755 748, 677–678, Sharpe ratio, 664 663, 636, Robert, Shiller, Andre, 647 Shleifer, 256 245, 244, Shooting star, 131 sale, Short-term 7–8 intervals, Short-term 211–252 185, patterns, 165 James, Sibbett, Fund See Student Investment SIF. 284–285 Signals, 575 Signal testing, 57 24–26, (SMA), average Simple moving See also 253–263. Single candle lines, 551 Size effect, 447 Slippage, 708 Slope of the yield curve, average Simple moving See SMA. Vernon, 370 Smith, 755 Smoothness, 449 Soft assets, 56 user-friendly, Software, 755 Sortino ratio, 260 Southern doji, 347 index (VXO), S&P 100 volatility 470–471 S&P 500 Index, 581–633 609–612 584–585 548–549 375 10b5-1, critical analysis of observed results, 617–618 of observedcritical results, analysis 582 description of, 582–583 and, science Greek 615–617 method, hypothetico-deductive hypotheses, information content of scientific 618–619 aspects of, key 581 learning statements, objective 622–630 TA, of subjective objectification observations, and objective reality objective 632n14 observations, 581 overview, 598–615 of science, philosophy 583–584 observation, vs. prediction 587–598 of logicrole in science, 615 attitude and, scientific 585–587 and, scientific knowledge 583–584 and, revolution scientific 630–631 TA, subsets of 619–621 and, 359 AAA, 551 effect in, or reversal mean reversion in an efficient market, price behavior 547 prices market, in an efficient 551 returns, 354–356 and, strength relative 68–74 signals, predictions, 607 predictions, 607–608 vs., pseudoscience 606–607 restriction of, 600 and, skepticism 587 purpose of science, 586 quantitative, Scientific Revolution, 583–584 Scientific Revolution, 446 trading, Screen 352–353 S-curve, 538–539 underweights, vs. overweights Sector, 449–451 Secular analysis, Securities Securities Exchange Commission (SEC) rule Sell 557 Paul, Sengmueller, 101–104 Sequences, 212 Setup, Scientific knowledge, 585–587 knowledge, Scientific and, technical analysis method, Scientific bindex.indd 773 bindex.indd 774 774 INDEX Strong supply phase, ofvolume analysis, Strong demandphase, ofvolume analysis, Stretch, 238 Strauss, Charles, 603–604 Stop-loss order, 116–117 Stocks market.Stock SeealsoFab Five indicator,Stochastic 127–132, 499, 741. Seealso Sterling ratio, 755 Step-weighted moving average, 85–86 Steidlmayer, J. Peter, 19 Star patterns, 271–272 STARC band, 43 Standard &Poor’s Indicesvs. Active Funds moving average, 61, 62, 748 Spinning top, 243, 254–255 S&P index, 336 Spikes, 172–173, 222 Spectrogram, 307 Spearman’s coefficient, 411–412 Spearman, Charles, 411 returns, 478 ranking, 681n42 of,performance 539–543 volatilityhistorical of, 324 cyclical, 537–538 betweenchoosing futures markets and, from bonds, 454 U.S. dollarand, 455 data,survey 380–382 interest,short 378–380 screening forfavorable stocks, 463–467 relative strength of, 459 model, 494–528 objective statements,learning 375, 494 insider activity, 375–378 of, sectors industry 457–458 in,experience 446 diversification in, 444–445 bottom upanalysis, 459–463 trading, 130–131 double-smoothed, 141 creating from theRSI, 131–132 tomomentumandRSI,comparing 128–130 calculating the10-day indicator, 128 149–150 148–149 445–447 operator Channel-normalization (SPIVA), 544 System Writer, 529.System Writer, System MAR, 748 System designandtesting, 732–759. Seealso Synchronicity, 291–292 triangle,Symmetrical 192, 194–195 Syllogisms Suspension gaps, 219 Support, determining, 34 Supply anddemand, 330–333 Sunk-cost bias, 364–365 Summation, 289 Student Investment Fund(SIF), 564, 565 Technical analysis (TA). SeealsoNonrandom analysis SeeTechnical TA. T types of technical systems,types oftechnical 738–742 test parameterranges, 744–749 testing withcleandata, 742–743 testing methodsandtools, 744 successful, 736 special data problems forfutures systems, requirements fordesigningasystem, pitfalls tonondiscretionary system, 735–736 overview, 732–733 optimization of, 749–758 necessity of, 733–736 objective statements,learning 732 initial decisionsfor, 737–738 discretionary vs. nondiscretionary systems, case study of “HAL,” 745–749, 757–758 best system, 742 benefits ofnondiscretionary system, 735 ofconditional,valid forms 592–594 invalid ofconditional, form 594–596 conditional, 591–592 categorical, 589–591 theconsequent,affirming 594 objectification ofsubjective TA, 622–630 elimination ofsubjective TA, 619 elimination ofmeaninglessforecasts, adoption ofscientificmethod, 619–621 743–744 736–737 733–736 Trading 619–621 for theS&P500 motiontheories;price Ruledata mining See alsoTradeStation 1/20/21 9:26 PM INDEX 775 1/20/21 9:26 PM 19 testing 445–447 435–438 “dollar down, stocks up,” 553 stocks up,” down, “dollar 754 trade, winning of average length 748 losing trades, consecutive maximum 747 number of, 553 risk-off,” “risk-on, 459–463 bottom up, 70–71 comparing basic trading signals, 445 362, costs, 444–446 traders, day 197–199 diamond top pattern, 188 formations, double 208 flags, 279–287 pattern, candle forecasting 362 frequency of, and stock markets markets, futures between 286–287 guidelines, 203–206 head-and-shoulders pattern, 118 high-momentum, 455–456 intermarket analysis, 443 learning statements, objective 447 liquidity, 120 the MACD, 443 overview, 724 pairs, 208 pennants, 190 patterns, rectangle 445 risks, 124 RSI countertrend, 47 rules for gaps, 446 screen, 444–447 selection, model, signals using a linear regression 130–131 the stochastic indicator, 433–434 ARIMA, strategies using 44–45 strategiesbands and envelopes, using 446 suitability, 444–446 swing, 279–287 techniques, 446 time horizon, 448–458 of, analysis top-down 195–196 triangles, 446–447 volatility, 447 volume, 202 wedges, Trade MAR, 749 MAR, Trade 729n 697, 529, 176, 79, 58–59, TradeStation, and System design See also 443–488. Trading, paradigm shift, 621 shift, paradigm 636–637 theorypopular of, 581–633 method and, scientific 630–631 subsets of, 634–684 pricenonrandom motion theories, 635 scientific, 613 theory of general relativity, 62 average, accumulative 63 effect, drop-off 50–54 and following, forecasting 61–62 average, geometric moving 49 learning statements, objective 54–61 and, average moving 49–50 overview, 54 time, price change over 63 average, accumulative reset 573 heteroscedasticity, non-normality 572 of returns, 572 dependence and serialpath correlation, 573 self-correcting, 451–457 cyclical emphasis, 449–451 secular emphasis, 747 trade net profit, average 10-day moving average rule, 87 rule, average moving 10-day 363 bonds, 10-year Theories 96 model, 3-crossover 274–275 247–249, black crows, Three 248–250 pattern, down inside Three 248–250 up pattern, inside Three 250 pattern, down outside Three 250 up pattern, outside Three 275–276 247–248, soldiers, white Three 118 level, Threshold 180–181 Throwbacks, 168–169 Thrust (TO), oscillator 17–18 Tick bars, Tick-to-tick 183 prices, 161 (TVI), indicator Tick volume 49–63 calculations, Time-based trend 67–68 Time intervals, 731n51 691–698, Time series operators, 572 Time-series price data, 164 price (TWAP), average Time-weighted 113–115 momentum and, Timing, 460 Sheridan, Titman, average moving Triangular See TMA. TO. See Thrust oscillator 538–543 448–458, analysis, Top-down Trade bindex.indd 775 bindex.indd 776 776 INDEX Triple bottoms, 190–191 TRIN, 509–510 Triangular weighting, 59–60 Triangular moving average (TMA), 32 Triangular filtering, 59 Triangles Trend systems, 64–105 Trend slopemethod, 462 Trends,trend 67–68. SeealsoTime-based Trendlines, forsignals, 69–70 Trend-following systems, 739–741 Trading SystemComplexityandtheBias- Trading range, 188–189 trading, 195–196 standard, 191–192 volatility system, 87 trend period, 101 timing theorder, 82–83 three trends, 95–96 usingtwotechniques trendlines, 88–94 success of, 65–68 single trend applications, 84–87 signal progression, 101–104 trend methodandspeed,selection ofright reliability anddelay compromise, 83 profit andlossdistribution, 67 overview, 64 multiple trends, 94–97 moving average sequences, 101–104 moving average projected crossover, 104–105 objective statements,learning 64, 88 of,frequency 65 early exitsfrom atrend, 104 computer testingof, 98 comprehensive studies, 97 buy andsellsignals, 68–74 bands andchannels, 75–84 systematic process and, 682n71 rules, 150–151, 710–711 andvolume,price 147–151, 159–160 momentum astrend indicator, 112–113 macrotrends, 104 vs.long-term 65 short-term, for,indicators 495–496 followers of, 94, 433–434, 739 determining, 33–34 anticipating trend signals, 71–72 97–101 calculations Variance 577–578 Tradeoff, Utility theory, 357 Uptrends, 147 Upside/downside ratio (UDR), 167 InvestorUPIA. Prudent SeeUniform Act Investor Prudent Uniform Act (UPIA), 565 Underwater curve, 755–756 problem, oftheories Underdetermination Umbrella lines, 257 , 137–138 UDR. SeeUpside/downside ratio U Two-candle pattern, 265–268 Two-bar reversal patterns, 225–226 Two-bar breakout, 226 2-day relative strength index, 124–126 Tweezer pattern, 273–274 TWAP. See Time-weighted average price TVI. See volumeTick indicator TSM pivot pointaverage, 60–61 TSI. See True strength index Truncated moving average, 57 True strength index(TSI), 139–141 TRIX, 142, 143 Triple tops, 190–191 Volatility Index(VIX), 84, 237, 335–348, 388, Volatility bands, 76–78 Volatility VIX.Index SeeVolatility Visual analysis, 306 Vertical rules, symmetry 625–626 Vertical 466 charts, VCI. See Volume countindicator Variably weighted moving average (eVWMA), Variable accumulation distribution, 701 Vaneck Market Vectors OilServices, 300–306 Value LineRankingSystem, 465 V of trading, 446–447 reduction in, 477 and,price 15–16, 649 in,patterns 552 implied, 323–334 alpha vs. betareturns, 537 632n14 512–513 162–163 1/20/21 9:26 PM INDEX 777 1/20/21 9:26 PM 150, 151 150, characteristics of, 201 characteristics of, 201 performance rank of, 202 trading, 136 with prior day, linking current day 137 %R method, Z 686 530, Marty, Zweig, 530–535 Bond Model, Zweig X 308 Spectrogram, XLV Y 708 curve, Yield W 752 742, optimization, forward Walk 321 Warrants, 132 Jim, Waters, 149 analysis, of volume demand phase, Weak analysis, of volume phase, supply Weak 697 Wealth-Lab, 199–201 192, Wedges, chart, 5–7 Weekly 57–58 31, average, moving Weighted 336 Robert, Dr. Whaley, William, 602–604 Whewell, short-term, 28 Whipsaws, 688–689 686, Reality Check, White’s 750–751 Whole sample optimizing, 557 Trade?,” Do People “Why 235–236 bar, Wide-range 122 37, 32, Welles, Wilder, 37 32, method, Wilder 463–464 O’Neil CANSLIM method, William 739 701, 233, 132, Larry, Williams, 132–138 oscillators, Williams’s 553 O., E. Wilson, 276–277 242, Windows, 556–557 Game,” Winner’s “The 93 long-term indicator, Woodshedder’s 466–467 D., Richard Wyckoff, Wave, 467 Wyckoff 701–702 704 index, cumulative on-balance, 700–701 on-balance, cumulative 152–164 indicators, 173–175 interpreting, 152 learning statements, objective 153–154 momentum and percentage change, volume of negative averages moving 153 normalizing, 155–158 on-balance, 154–155 oscillator, 704–705 index, volume and negative positive 172–173 spikes, 447 of trading, 146 use of, 147 learning statements, objective 147 overview, 148–151 phases of, 147–148 price and, trend 150–151 rule and, of trends Amex QQQ, 348 QQQ, Amex 337–338 calculating, 343–347 equity market, 337–338 formula and calculations, 336 history of, 334 and, implied volatility 335 learning statements, objective 340–342 and, movement market 337 approachto, nonmathematical 335 overview, 338–341 put-call parity and, 165 declining, vs. advancing 170 and, indicator breadth accumulation-distribution, cumulative Volume accumulator, 158 accumulator, Volume 147–151 analysis, Volume 17 bars, Volume 158 (VCI), count indicator Volume charts, 17 Volume-scaled 164 price (VWAP), average Volume-weighted 162 (VWMACD), MACD Volume-weighted 144–145 RSI, Volume-weighted price average Volume-weighted See VWAP. MACD See Volume-weighted VWMACD. index See S&P 100 volatility VXO. Volatility patterns, 235–237 patterns, Volatility 87 system, Volatility Volume bindex.indd 777 bindex.indd 778 1/20/21 9:26 PM bindex.indd 779 1/20/21 9:26 PM bindex.indd 780 1/20/21 9:26 PM bindex.indd 781 1/20/21 9:26 PM bindex.indd 782 1/20/21 9:26 PM bindex.indd 783 1/20/21 9:26 PM bindex.indd 784 1/20/21 9:26 PM bindex.indd 785 1/20/21 9:26 PM bindex.indd 786 1/20/21 9:26 PM