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Copyrighted Material 14Weissman_207_218 10/6/04 11:23 AM Page 207 Index A and Ichimoku three moving Accuracy of data, 117 average crossover, 61 Adaptive moving averages, 19 mean reversion systems, 36–37 ADX, see Average directional and moving average movement index convergence/divergence Aesop, 1 indicator, 62 Alcott, Louisa May, 163 trend-following systems, 60–61 Anti-Martingale strategy, 168, 169 with 200-day moving average filter, Appel, Gerald, 27 79–80 Aristotle, 189 Breakeven syndrome, 68 Asset classes: Breakouts: data analysis by, 151–154 Bollinger band, 60 trending, 63–64 channel, 30–31, 59–60, 90–91 Average directional movement index false, 19 (ADX), 28–29 The Budda, 87 Bollinger bands with, 81–82 DMI with, 57, 58 C Averaging down, 168–169 CCI, see Commodity channel index Channel breakout: B nth period (Donchian’s), 30–31 Backtesting, 48, 89–90 for trend-following swing trading, for data integrity, 116–118 90–91 and same-day profit target/stop in trend-following systems, 59–60 loss, 73–74COPYRIGHTEDCollins, MATERIAL Art, 59 Bad data, 117 “Comfortable” trading, 3 Behavioral finance, 1 Commodity channel index (CCI), Benchmarking, 123 37–39 Body-mind interaction, 191–192 slow stochastics extremes with, Bollinger, John, 36 82–83 Bollinger bands: slow stochastics extremes with with ADX filter, 81–82 time exit and, 83–85, 92–93 207 14Weissman_207_218 10/6/04 11:23 AM Page 208 208 INDEX Conflict, internal, 193 D Confucius, 177 Data analysis process, 151–158 Consciousness, evolution of, 196–197 by asset classes, 151–154 Consecutive losses, 161 out-of-sample, 157–158 Consistency, 195, 196 year-by-year in-sample, 152–157 Contract size, 43–44 Data curve fitting, 124, 125 Contrarian investing, 16, 17 Data integrity, 44–48, 116–120, 149 Corrections, 8–9 Day trading, 101. See also Short-term Correlation history, 172 systems Countertrend reversals, 8–9 mean reversion with trend- CQG programming code: following filter, 112–113 for Bollinger band breakout nondirectionally biased mean system, 60 reversion, 113 for Bollinger bands with ADX filter, Design, Testing and Optimization 81–82 of Trading Systems (Robert for Bollinger bands with 200-day Pardo), 125 moving average, 79–80 Differential oscillators, 34 for channel breakout, 59 Directional movement indicator for directional movement indicator, (DMI), 27–28, 56–58 56–57 Discipline, 85–86, 189–191, 195 for DMI with ADX, 58 Discretion, 185–188 for Ichimoku three moving average mechanical, 187–188 crossover, 54 and paradigm shirts, 185–186 for Ichimoku two moving average and price shock events, 186 crossover, 2 pros and cons of, 188 for MACD stop and reverse, 55 and volatility, 186–187 for RSI crossover, 95–96 Diversification, 177–183 for RSI with 20-day moving average mechanics of, 180–182 filter, 75, 76 of parameter sets, 177–180 for seven-period reversal, 94–95 psychology of, 182–183 for slow stochastics extremes with types of, 177 CCI, 82–83 DMI, see Directional movement for slow stochastics extremes with indicator CCI and time exit, 83–85 Donchain’s channel breakout, 30–31, for three moving average 59 crossover, 53 Donchian, Richard, 30 for two moving average crossover Dow Jones Industrial Average, 16–17 system, 50–51 Drawdowns, 175 Cumulative losses, 171 duration of, 160 Curve fitting, 123–125 maximum drawdown duration, 49 Cutting losses, 65–66 profit to maximum drawdown, 50, Cutting profits, 66–69 62, 67, 161 14Weissman_207_218 10/6/04 11:23 AM Page 209 Index 209 worst peak-to-valley, 48, 160–165 intermediate-term mean reversion Dualism, 197 with trend-following filter, Duration: 109–110 of drawdowns, 160 mean reversion day trading with of trades, 119, 159 trend-following filter, 112–113 mean reversion swing trading with E trend-following filter, 111 Emerson, Ralph Waldo, 41 RSI with 20-day moving average Emotionalism, 5, 17–18, 192, 193, filter, 75, 76 196 RSI with 50-hour moving average Enlightenment, 197 filter, 99 Entering trades: RSI with 400-hour moving average basic questions about, 42–43 filter, 92 control over point for, 163 RSI with 100-hour moving average data integrity and price level for, filters, 96–97 117–118 RSI with 16.67-hour moving psychology of, 2 average filter, 99–100 random entry signals, 164 RSI with 200-day moving average Equalized continuation price series filter, 75–79 charts, 45–47 RSI with 200-hour moving average Euphoria, 195 filter, 93–94 Evolution of consciousness, slow stochastics extremes with 196–197 CCI filter and time exit, 83–85, Exiting trades, 2–3 92–93 basic questions about, 42–43 5-minute bar systems, 99, 100 data integrity and price level for, Fixed fractional money management, 117–118 169 with losses, 86 Flat time, 159 Expected return, 160 Flexibility, 189–192 400-hour moving average filter, F relative strength index with, Fading, 22, 23, 87 92 False breakouts, 19 Futures contracts, 44–48 Fear, 195 15-minute bar systems, 99 G 50-hour moving average filter, Galileo, 115 relative strength index with, 99 Greed, 195 52-period moving average, 26 Guaranteed return of principal Filters, 63 investments, 164 Bollinger bands with ADX filter, 81–82 H Bollinger bands with 200-day Heteroskedasticity, 158 moving average filter, 79–80 Hilltops, performance, 148 14Weissman_207_218 10/6/04 11:23 AM Page 210 210 INDEX Historical data: L as basis for system development, Lambert, Donald, 37 115, 119 Lane, George, 32 percentage changes in, 47–48 Leptokurtic markets, 10 performance, 125 Liquidity: for value at risk, 170 risk, liquidity, 159, 164, 172 in short-term systems, 87–89 I Locked limit, 118, 172 Ichimoku Kinkou Hyou, 26 Long-term traders, 6 Ichimoku three moving average Long-term trader psychology, crossover, 54–55, 61 106–108 Ichimoku two moving average Long view of trading, 192 crossover, 52 Losses: Illiquidity, 87–88 cumulative, 171 Inconsistency, 195 cutting, 65–66 Indicators, see Technical indicators exiting trades with, 86 Indicator-driven triggers, 18–26 intermittent vs. consecutive, 161 definition of, 9 probability of, 170 moving averages, 18–26 Loss limits, 65 psychological significance of, 9, 10 M simple moving averages, 18 MACD, see Moving average volume-adjusted moving averages, convergence/divergence 18 indicator Inefficient market, myth of, 1–2 Markets: Integrity: for backtesting, 43 data, 44–48, 116–120, 149 higher truth of, 190–191 system, 119, 121–122 irrationality of, 1–2 Intermediate-term trader psychology, leptokurtic, 10 6, 182 paradigm shifts in dynamics of, for mean reversion with trend- 149–150, 185–186 following filter, 109–110 paradoxical nature of, 189–190 for trend following, 107–109 and transformational growth, Intermittent losses, 161 190 Internal conflict, 193 Market corrections, 8–9 Interpretive technical indicators, 4 Martingale strategy, 168–169 Intraday slippage, 88 Mathematical technical analysis, Intuition, psychic trader syndrome 15–39 vs., 194–195 Donchian’s channel breakout, 30–31 J mean reversion indicators, 17–18, Journaling, 192 31–39 14Weissman_207_218 10/6/04 11:23 AM Page 211 Index 211 price-triggered trend following swing trading with trend-following indicators, 30–31 filter, 111 trend-following indicators, 16–30 swing trading with 2-hour bars, 92 and types of technical indicators, trader psychology for, 109–113 16–17 trend-following, 74–81 Mathematical technical indicators, 4, Mechanical discretion, 187–188 6 Mechanical trading systems, 5–6 Maximum consecutive losses (MCL), benefits of, 116 49–50, 160 definition of, 5 Maximum drawdown duration pitfalls of, 116–122 (MDD), 49 in price risk management, 174–175 MCL, see Maximum consecutive Momentum oscillators, 34–36 losses Moving averages, 18–26 MDD (maximum drawdown convergence/divergence, 26–27 duration), 49 percentage penetrations of, 21–23 Mean reversion, 10 simple, 4, 5, 18 Mean reversion indicators, 17–18, theory behind, 4–5 31–39 time-driven confirmation patterns, Bollinger bands, 36–37 19–22 commodity channel index, 37–39 trade-offs with, 19 differential oscillators, 34 two and three moving average momentum oscillators, 34–36 crossovers, 23–26 oscillators, 31 volume-adjusted, 18 percentage oscillators, 32–39 Moving average rate of change, 34–36 convergence/divergence relative strength index, 33–34 indicator (MACD), 26–27, statistical oscillators, 35, 36 55–56 stochastics, 32–33 and Bollinger bands, 62 success of, 17 with profit exit, 66–67 Mean reversion systems, 73–87 Moving average crossover: day trading with trend-following Ichimoku three moving average filter, 112–113 crossover, 54–55 with 30-minute bars, 96–99 Ichimoku two moving average with 60-minute bars, 93–94 crossover, 52 nondirectionally biased, 81–85 three, 53–55 psychological profile of traders in, two, 50–52 85–87 Moving average envelope, 21–23 results of trend-following systems Myths, 1–3 vs., 73 same-day profit target and stop N loss, 73–74 “Natural” trading, 3 stop losses, 74 Nearest futures charts, 44, 45 14Weissman_207_218 10/6/04 11:23 AM Page 212 212 INDEX The New Market Wizards (Jack definition of, 185–186 Schwager), 164 and discretion, 185–186 Nonattachment, 195, 197 in market dynamics, 149–150 Nondirectionally biased mean Paradox, 189 reversion systems, 81–85, 94–96 Parameter curve fitting, 124–125 day trading, 113 Parameter sets: swing trading, 112 choice of, 127, 148 Non—exchange-traded instruments, diversification of, 177–180 117 profit spike, 148 Number of days, 49 testing of, 126–127 Number of trades, 49 Pardo, Robert, 121–122, 125, 148 Nymex, 6, 7 Pascal, Blaise, 187 Patience, 87 O Peak-to-valley drawdowns, 48, 160, Oil futures market, 6–8 165 100-hour moving average filters, Percentage changes in data history, relative strength index with, point value vs., 47–48 96–97 Percentage oscillators, 32–39 Optimization, 122–148 Percentage penetrations (moving avoiding pitfalls in, 123–126 averages), 21–23 benefits of, 122–123 Percent winners, 50 definition of, 122 Perfect trader syndrome, 85, 195 limited utility of studies on, 123 Performance forecasting, 116 mechanics of, 126–127, 148 Performance history, 159 two moving average crossover Periods, 12 system study, 127–148 Per-position exposure: Oscillators, 31–39 limiting, 167–168 Bollinger bands, 36–37 and psychology of risk, 174 commodity channel index, 37–39 Personality types, 41.
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