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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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convergence/divergence indicator (MACD), 26-27,
55-56
and Bollinger bands, 62 with profit exit, 66-67 Moving average crossover:
Ichimoku three moving average crossover, 54-55 Ichimoku two moving average crossover, 52 three, 53-55 two, 50-52 Moving average envelope, 21-23 Myths, 1-3
N
“Natural” trading, 3 Nearest futures charts, 44, 45
212
INDEX
The New Market Wizards (Jack Schwager), 164 Nonattachment, 195, 197 Nondirectionally biased mean
reversion systems, 81-85, 94-96 day trading, 113 swing trading, 112 Non—exchange-traded instruments, 117
Number of days, 49 Number of trades, 49 Nymex, 6, 7
O
Oil futures market, 6-8 100-hour moving average filters, relative strength index with, 96-97 Optimization, 122-148 avoiding pitfalls in, 123-126 benefits of, 122-123 definition of, 122 limited utility of studies on, 123 mechanics of, 126-127, 148 two moving average crossover system study, 127-148 Oscillators, 31-39 Bollinger bands, 36-37 commodity channel index, 37-39 momentum, 34-36 percentage, 32-39 rate of change, 34-36 relative strength index, 33-34 statistical, 35, 36 stochastics, 32-33 Outliers, 125-126
Out-of-sample data analysis, 157-158 Out-of-sample studies, 148-150
P
Parabolic, 29-30 Paradigm shifts: in consciousness, 197
definition of, 185-186 and discretion, 185-186 in market dynamics, 149-150 Paradox, 189
Parameter curve fitting, 124-125 Parameter sets: choice of, 127, 148 diversification of, 177-180 profit spike, 148 testing of, 126-127 Pardo, Robert, 121-122, 125, 148 Pascal, Blaise, 187 Patience, 87
Peak-to-valley drawdowns, 48, 160, 165
Percentage changes in data history, point value vs., 47-48 Percentage oscillators, 32-39 Percentage penetrations (moving averages), 21-23 Percent winners, 50 Perfect trader syndrome, 85, 195 Performance forecasting, 116 Performance history, 159 Periods, 12
Per-position exposure: limiting, 167-168 and psychology of risk, 174 Personality types, 41. See also Trader psychology and changes in trading systems,
182
traits sabotaging success, 195-196 Philosophy statements, trading system, 159-160 P:MD, see Profit to maximum drawdown Point-based back-adjusted data series charts, 45, 47-48 Portfolios: backtested, 48, 118 composition of, 43-44 Portfolio results tables, 48-50
Index
213
Prices, 10-11
Price risk management, 163-175 mechanical trading systems in implementation of, 174-175 in philosophy statements, 160 psychology of, 173-174 schools of, 165-166 stop-loss, 165-168 stress testing, 173 value at risk, 169-172 volumetric, 168-169 Price shock events, 186 Price triggers: psychological significance of, 6-9 as trend following indicators, 30-31
Probability of loss, 170 Profits, cutting, 66-69 Profit spikes, 148 Profit to maximum drawdown (P:MD), 50, 62, 67, 161 Programming code, 121. See also CQG programming code Psychic trader syndrome, intuition vs., 194-195 Psychological significance:
of indicator-driven triggers, 9, 10 of price triggers, 6-9 Psychology. See also Trader psychology of diversification, 182-183 of price risk management, 173-174 Pullbacks, 8
Q
Quantification of risk/reward, 116 Quick-mindedness, 101
R
Random entry signals, 164 Random walk theory, 190 Rate of change (ROC), 34-36 Reality, nonlinear nature of, 189
Refco, 164
Relative strength index (RSI), 12-13, 33-34 crossover, 95-96 crossover with stops and profit exits set to 1 percent, 98 with 50-hour moving average filter, 99
with 400-hour moving average filter, 92 with 100-hour moving average filters, 96-97 with 16.67-hour moving average filter, 99-100 with 200-day moving average filter, 75-79
with 200-hour moving average filter, 93-94 Reprogramming process, 116 Resonance, 196 Retracements, 8 Reversals:
countertrend, 8-9 seven-period, 94-95 Reward, quantification of, 116 Risk:
liquidity, 159, 164, 172 price risk management, 163-175 quantification of, 116 Risk Management (Crouhy, Galai, and Mark), 164 ROC, see Rate of change Rothschild, Baron, 73 RSI, see Relative strength index Rule-following, 192-193
S
Sabotage of success, 195-196 Same-day profit target and stop loss, 73-74
SAR, see Stop and Reverse Scenario analysis, 173 Schwager, Jack, 123, 164
214
INDEX
Schwager on Futures: Technical Analysis (Jack Schwager), 123 Self-fulfilling prophecy, technical analysis as, 9 Self-knowledge, 192-193 Self-mastery, 196 Self-worth, 193-194 Serial independence assumption, 171 Seven-period reversal, 94-95 Shakespeare, William, 105 Shantideva, 197 Sharpe ratio, 160, 161 Short-term systems, 87-101 backtested results, 89-90 and fading of losing systems, 87 15-minute bar systems, 99 5-minute bar systems, 99, 100 labor-intensive nature of, 100-101 and liquidity/volatility, 87-89 mean reversion systems with 30-minute bars, 96-99 mean reversion systems with 60-minute bars, 93-94 nondirectionally biased mean reversion systems, 94-96 psychological profile of traders in, 100-101 swing trading with 2-hour bars, 90-93 Short-term traders, 6 Short- to intermediate-term
nondirectionally biased mean reversion, 110 Sideline regret/remorse syndrome, 68 Simple moving averages, 4, 5, 18 Single-mindedness, 193-194 16.67-hour moving average filter, relative strength index with, 99-100
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