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Mechanical trading systems - Weissman R.L.

Weissman R.L. Mechanical trading systems - Wiley publishing , 2005 . - 240 p.
ISBN 0-471-65435-3
Download (direct link): mechanicaltradingsystems2005.pdf
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205
206
MECHANICAL TRADING SYSTEMS
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. “Developing Successful Mechanical Trading Systems.” Quantitative Finance (August 2003).
. “The Math behind the System.” Working Money (December 2003).
. “Boosting Rates of Return with Non-Correlated Systems.” Technical Analysis of Stocks & Commodities (January 2004).
Wilder, J. Welles. New Concepts in Technical Trading Systems. Greensboro, NC: Trend Research, 1978.
Index
A
Accuracy of data, 117 Adaptive moving averages, 19 ADX, see Average directional movement index Aesop, 1
Alcott, Louisa May, 163 Anti-Martingale strategy, 168, 169 Appel, Gerald, 27 Aristotle, 189 Asset classes:
data analysis by, 151-154 trending, 63-64 Average directional movement index (ADX), 28-29 Bollinger bands with, 81-82 DMI with, 57, 58 Averaging down, 168-169
B
Backtesting, 48, 89-90 for data integrity, 116-118 and same-day profit target/stop loss, 73-74 Bad data, 117 Behavioral finance, 1 Benchmarking, 123 Body-mind interaction, 191-192 Bollinger, John, 36 Bollinger bands: with ADX filter, 81-82
and Ichimoku three moving average crossover, 61 mean reversion systems, 36-37 and moving average convergence/divergence indicator, 62 trend-following systems, 60-61 with 200-day moving average filter, 79-80
Breakeven syndrome, 68 Breakouts:
Bollinger band, 60 channel, 30-31, 59-60, 90-91 false, 19 The Budda, 87
C
CCI, see Commodity channel index Channel breakout: nth period (Donchian’s), 30-31 for trend-following swing trading, 90-91
in trend-following systems, 59-60 Collins, Art, 59 “Comfortable” trading, 3 Commodity channel index (CCI), 37-39
slow stochastics extremes with, 82-83
slow stochastics extremes with time exit and, 83-85, 92-93
207
208
INDEX
Conflict, internal, 193 Confucius, 177
Consciousness, evolution of, 196-197 Consecutive losses, 161 Consistency, 195, 196 Contract size, 43-44 Contrarian investing, 16, 17 Corrections, 8-9 Correlation history, 172 Countertrend reversals, 8-9 CQG programming code: for Bollinger band breakout system, 60 for Bollinger bands with ADX filter, 81-82
for Bollinger bands with 200-day moving average, 79-80 for channel breakout, 59 for directional movement indicator, 56-57 for DMI with ADX, 58 for Ichimoku three moving average crossover, 54 for Ichimoku two moving average crossover, 2 for MACD stop and reverse, 55 for RSI crossover, 95-96 for RSI with 20-day moving average filter, 75, 76 for seven-period reversal, 94-95 for slow stochastics extremes with CCI, 82-83 for slow stochastics extremes with CCI and time exit, 83-85 for three moving average crossover, 53 for two moving average crossover system, 50-51 Cumulative losses, 171 Curve fitting, 123-125 Cutting losses, 65-66 Cutting profits, 66-69
D
Data analysis process, 151-158 by asset classes, 151-154 out-of-sample, 157-158 year-by-year in-sample, 152-157 Data curve fitting, 124, 125 Data integrity, 44-48, 116-120, 149 Day trading, 101. See also Short-term systems mean reversion with trend-following filter, 112-113 nondirectionally biased mean reversion, 113 Design, Testing and Optimization of Trading Systems (Robert Pardo), 125 Differential oscillators, 34 Directional movement indicator (DMI), 27-28, 56-58 Discipline, 85-86, 189-191, 195 Discretion, 185-188 mechanical, 187-188 and paradigm shirts, 185-186 and price shock events, 186 pros and cons of, 188 and volatility, 186-187 Diversification, 177-183 mechanics of, 180-182 of parameter sets, 177-180 psychology of, 182-183 types of, 177 DMI, see Directional movement indicator Donchain’s channel breakout, 30-31, 59
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