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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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60-minute bars, mean reversion systems with, 93-94 Slippage, 88, 117, 172 Slow stochastics extremes:
with CCI filter and time exit, 83-85,
92-93
with commodity channel index,
82-83 Software, xiv Somatic practices, 191 Spot-checking process, 121 Standard deviation, 35, 160-161 Statistical oscillators, 35, 36 Stochastics, 32-33 Stock market crash of 1987, 9 Stop and reverse (SAR), 24, 29-30 Stop losses, 74, 159-160 Stop-loss price risk management, 165-168 Stress testing, 166, 173 Stridsman, Thomas, 47-48 Success, personality traits sabotaging, 195-196 Sun Tzu, vii, 15 Swing trading: with 2-hour bars, 90-93 mean reversion with trend-following filter, 111 nondirectionally biased mean reversion, 112 System development and analysis, 115-161 benefits of mechanical trading systems, 116 data analysis process, 151-158 data integrity, 116-120 limitations of process, 150-151 and measurement of system performance, 160-161 optimization process, 122-148 out-of-sample studies, 148-150 pitfalls of mechanical trading systems, 116-122 system integrity, 119, 121-122 and trading system philosophy statements, 159-160 System integrity, 119, 121-122
Index
215
System performance, measurement of, 160-161
T
Technical analysis: basic precept in, 4 definition of, 3-5 goal of, 3-4
and irrationality of markets, 1-2 mathematical, see Mathematical technical analysis reasons for success of, 6-10 as self-fulfilling prophecy, 9 Technical indicators: interpretive, 4 mathematical, 4, 6 mean reversion, 17-18, 31-39 trend-following, 16-30 types of, 10-13 Tharp, Van, 163-164 Theory checking, 122 30-minute bars, mean reversion systems with, 96-99 Three moving average crossovers, 23-26, 53-55 Time-driven confirmation patterns, 19-22
Time frames, 6, 119. See also specific time frames Time percentage, 50 Total net profit, 49 Traders, short-, long-, and intermediate-term, 6 Trader psychology, 105-113. See also Transformational psychology for entering trades, 2 for exiting trades, 2-3 for intermediate-term mean reversion with trend-following filter, 109-110 for intermediate-term trend following, 108-109
for intermediate to long-term trend-following systems, 107-108 for long-term trend-following systems, 106-107 for market corrections, 9 for mean reversion day trading with trend-following filter, 112-113
for mean reversion swing trading with trend-following filter, 111 for mean reversion traders, 85-87 for nondirectionally biased mean reversion day trading, 113 for nondirectionally biased mean reversion swing trading, 112 for short-term traders, 100-101 for short- to intermediate-term nondirectionally biased mean reversion, 110 and success in trading, 2 transformational, see Transformational psychology for trend-following swing trading, 110-111 for trend-following traders, 16, 69-71
and use of trend following indicators, 17 Trader school of price risk management, 166 Trade Your Way to Financial
Freedom (Van Tharp), 163-164 Trading philosophy, 159 Trading systems, 42-50. See also System development and analysis; specific types backtested portfolio results, 48 composition of portfolios, 43-44 data integrity, 44-48 entry and exit level questions, 42-43
equalized continuation price series charts, 45-47
216
INDEX
Trading systems (continued) expected performance results for, 123
integrity of, 119, 121-122 nearest futures charts, 44, 45 personality and changes in, 182 point value vs. percentage changes in data history, 47-48 portfolio results tables, 48-50 Trading system philosophy statements, 159-160 Transformational psychology, 189-197 discipline, 189-191 flexibility, 189-192 intuition vs. psychic trader syndrome, 194-195 personality traits sabotaging success, 195-196 and process of transformation, 196-197 self-knowledge, 192-193 single-mindedness, 193-194 Transparency, 117 Trends, 10-11
Trend-following indicators, 16-30 average directional movement index, 28-29 directional movement indicator, 27-28
Donchain’s channel breakout, 30-31 moving average
convergence/divergence, 26-27 moving averages, 18-26 price-triggered, 30-31 200-day simple moving average as,
11-13
Wilder’s parabolic (stop and reverse), 29-30
Trend-following mean reversion systems, 74-81 Trend-following swing trading,
110-111
Trend-following systems, 41-42, 50-71
Bollinger bands, 60-61 channel breakout, 59-60 comparisons of indicators, 61-62 cutting losses, 65-66 cutting profits, 66-69 DMI, 56-57 DMI with ADX, 57, 58 filters, 63
Ichimoku three moving average crossover, 54-55 Ichimoku two moving average crossover, 52 MACD, 55-56
psychological profile of traders in, 69-71
results of mean reversion systems vs., 73
swing trading with 2-hour bars, 90-91
three moving average crossover,
53-54
trader psychology for, 106-109 trending asset classes, 63-64 two moving average crossover,
50-51
Trending asset classes, 63-64 Triggers: indicator-driven, 9, 10, 18-26 price, 6-9, 30-31 2-hour bars, swing trading with, 90-93
200-day simple moving average, 4-5 200-day moving average filter: Bollinger bands with, 79-80
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