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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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Index
217
relative strength index with, 75-79 200-hour moving average filter, relative strength index with,
93-94
Two moving average crossovers, 23-26, 50-51 Ichimoku, 52
optimization study of, 127-148
V
Value at risk (VaR), 166, 169-172 Volatility: analyzing increases in, 158 and discretion, 186-187 in short-term systems, 87-89 Volume-adjusted moving averages, 18 Volumetric price risk management, 168-169
W
Walk-forward studies, see Out-ofsample studies Weighted moving averages, 18, 19 Whipsaws, 19 Wilder, Welles, 12, 27, 57 Wilder’s parabolic, 29-30 Worst peak-to-valley drawdowns, 48, 160, 165
Y
Year-by-year in-sample data analysis, 152-157
Z
Zen Buddhism, 189
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