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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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Donchian, Richard, 30 Dow Jones Industrial Average, 16-17 Drawdowns, 175 duration of, 160
maximum drawdown duration, 49 profit to maximum drawdown, 50, 62, 67, 161
Index
209
worst peak-to-valley, 48, 160-165 Dualism, 197 Duration: of drawdowns, 160 of trades, 119, 159
E
Emerson, Ralph Waldo, 41 Emotionalism, 5, 17-18, 192, 193, 196
Enlightenment, 197 Entering trades: basic questions about, 42-43 control over point for, 163 data integrity and price level for, 117-118 psychology of, 2 random entry signals, 164 Equalized continuation price series charts, 45-47 Euphoria, 195
Evolution of consciousness, 196-197 Exiting trades, 2-3 basic questions about, 42-43 data integrity and price level for, 117-118 with losses, 86 Expected return, 160
F
Fading, 22, 23, 87 False breakouts, 19 Fear, 195
15-minute bar systems, 99 50-hour moving average filter,
relative strength index with, 99
52-period moving average, 26 Filters, 63 Bollinger bands with ADX filter,
81-82
Bollinger bands with 200-day moving average filter, 79-80
intermediate-term mean reversion with trend-following filter,
109-110
mean reversion day trading with trend-following filter, 112-113 mean reversion swing trading with trend-following filter, 111 RSI with 20-day moving average filter, 75, 76 RSI with 50-hour moving average filter, 99
RSI with 400-hour moving average filter, 92
RSI with 100-hour moving average filters, 96-97 RSI with 16.67-hour moving average filter, 99-100 RSI with 200-day moving average filter, 75-79 RSI with 200-hour moving average filter, 93-94 slow stochastics extremes with CCI filter and time exit, 83-85, 92-93
5-minute bar systems, 99, 100
Fixed fractional money management, 169
Flat time, 159
Flexibility, 189-192
400-hour moving average filter, relative strength index with,
92
Futures contracts, 44-48
G
Galileo, 115
Greed, 195
Guaranteed return of principal investments, 164
H
Heteroskedasticity, 158
Hilltops, performance, 148
210
INDEX
Historical data:
as basis for system development, 115, 119 percentage changes in, 47-48 performance, 125 for value at risk, 170
I
Ichimoku Kinkou Hyou, 26 Ichimoku three moving average crossover, 54-55, 61 Ichimoku two moving average crossover, 52 Illiquidity, 87-88 Inconsistency, 195 Indicators, see Technical indicators Indicator-driven triggers, 18-26 definition of, 9 moving averages, 18-26 psychological significance of, 9,
10
simple moving averages, 18 volume-adjusted moving averages, 18
Inefficient market, myth of, 1-2 Integrity: data, 44-48, 116-120, 149 system, 119, 121-122 Intermediate-term trader psychology, 6, 182
for mean reversion with trend-following filter, 109-110 for trend following, 107-109 Intermittent losses, 161 Internal conflict, 193 Interpretive technical indicators, 4 Intraday slippage, 88 Intuition, psychic trader syndrome vs., 194-195
J
Journaling, 192
L
Lambert, Donald, 37 Lane, George, 32 Leptokurtic markets, 10 Liquidity: risk, liquidity, 159, 164, 172 in short-term systems, 87-89 Locked limit, 118, 172 Long-term traders, 6 Long-term trader psychology, 106-108 Long view of trading, 192 Losses:
cumulative, 171 cutting, 65-66 exiting trades with, 86 intermittent vs. consecutive, 161 probability of, 170 Loss limits, 65
M
MACD, see Moving average convergence/divergence indicator Markets:
for backtesting, 43 higher truth of, 190-191 irrationality of, 1-2 leptokurtic, 10
paradigm shifts in dynamics of, 149-150, 185-186 paradoxical nature of, 189-190 and transformational growth,
190
Market corrections, 8-9 Martingale strategy, 168-169 Mathematical technical analysis,
15-39
Donchian’s channel breakout,
30-31
mean reversion indicators, 17-18,
31-39
Index
211
price-triggered trend following indicators, 30-31 trend-following indicators, 16-30 and types of technical indicators,
16-17
Mathematical technical indicators, 4,
6
Maximum consecutive losses (MCL),
49-50, 160 Maximum drawdown duration (MDD), 49 MCL, see Maximum consecutive losses
MDD (maximum drawdown duration), 49 Mean reversion, 10 Mean reversion indicators, 17-18,
31-39 Bollinger bands, 36-37 commodity channel index, 37-39 differential oscillators, 34 momentum oscillators, 34-36 oscillators, 31
percentage oscillators, 32-39 rate of change, 34-36 relative strength index, 33-34 statistical oscillators, 35, 36 stochastics, 32-33 success of, 17 Mean reversion systems, 73-87 day trading with trend-following filter, 112-113 with 30-minute bars, 96-99 with 60-minute bars, 93-94 nondirectionally biased, 81-85 psychological profile of traders in, 85-87
results of trend-following systems vs., 73
same-day profit target and stop loss, 73-74 stop losses, 74
swing trading with trend-following filter, 111 swing trading with 2-hour bars, 92 trader psychology for, 109-113 trend-following, 74-81 Mechanical discretion, 187-188 Mechanical trading systems, 5-6 benefits of, 116 definition of, 5 pitfalls of, 116-122 in price risk management, 174-175 Momentum oscillators, 34-36 Moving averages, 18-26 convergence/divergence, 26-27 percentage penetrations of, 21-23 simple, 4, 5, 18 theory behind, 4-5 time-driven confirmation patterns, 19-22 trade-offs with, 19 two and three moving average crossovers, 23-26 volume-adjusted, 18 Moving average
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