Trading Systems & Methods

Автор(ы):Kaufman
06.10.2007
Описание: Замечательно проницательная книга о входах и выходах в рынок фьючерса. В неподражаемом стиле автор грузит как начинающих, так и продвинутых трейдеров на предмет как и из каких ингридиентов создать собственную торговую систему. Многие находят ее превосходным источником для анализа, оценки и прогноза ценовых движений.
Оглавление:
Trading Systems & Methods — обложка книги. Обложка книги.
1. INTRODUCTION [1]
  Technical versus Fundamental [1]
  Professional and Amateur [2]
  Random Walk [3]
  Background Material [4]
  Research Skills [5]
  Objectives of This Book [6]
  Profile of a Trading System [6]
  A Word on Notation Used in This Book [8]
2. BASIC CONCEPTS [9]
  About Data and Averaging [9]
  On the Average [11]
  Distribution [13]
  Dispersion andSkewness [16]
  Standardizing Returns and Risk [20]
  The Index [22]
  Probability [23]
  Supply and Demand [29]
3. REGRESSION ANALYSIS [30]
  Characteristics of the Price Data [30]
  Linear Regression [38]
  Method of Least Squares [39]
  Linear Correlstion [42]
  Nonlinear Approximstions for Two Variables [45]
  Second-Order Least Squares [46]
  Evalustion of 2-Variable Techniques [48]
  Multivariate Approximations [51]
  ARIMA [55]
  Linear Regression Model [60]
4. TREND CALCULATIONS [62]
  Forecasting and Following [62]
  Least-Squares Model [63]
  The Moving Average [65]
  Geometric Moving Averages [68]
  Drop-Off Effect [71]
  Exponential Smoothing [75]
  Relating Exponential Smoothing and Standard Moving Averages [81]
5. TREND SYSTEMS [89]
  Basic Buy and Sell Signals [89]
  Bands and Channels [90]
  Applicstions of Single Trends [95]
  Comparison of Major Trend Systems [100]
  Techniques Using Two Trendlines [116]
  Comprehensive Studies [120]
  Selecting the Right Moving Average [120]
  Moving Average Sequences: Signal Progression [122]
  Living with a Trend-Following Philosophy [123]
6. MOMENTUM AND OSCILLATORS [126]
  Momentum [126]
  Oscillators [133]
  Double-Smoothed Momentum [144]
  Adding Volume to Momentum [144]
  Velocity and Acceleration [149]
  Other Rate-of-Change Indicators [152]
  Momentum Divergence [154]
  Momentum Smoothing [155]
  Some Final Comments on Momentum [158]
7. SEASONALITY [160]
  A Consistent Factor [160]
  The Seasonal Pattern [161]
  Popular Methods for Calculating Seasonally [161]
  Weather Sensitivity [164]
  Seasonal Filters [166]
  Common Sense and Seasonally [188]
8. CYCLE ANALYSIS [189]
  Cycle Basics [189]
  Uncovering the Cycle [193]
  Maximum Entropy [208]
  Cycle Channel Index [209]
  Phasing [210]
9. CHARTING [213]
  Finding Consistent Patterns [214]
  Interpreting the Bar Chart [215]
  Chart Formstions [217]
  Basic Trading Rules [218]
  Tops and Bottoms [221]
  Gaps [225]
  Key Reversal Days [226]
  Episodic Patterns [227]
  Price Objectives for Bar Charting [228]
  Candlestick Charts [232]
  Using the Bar Chart [234]
10. VOLUME, OPEN INTEREST, AND BREADTH [237]
  Contract Volume versus Total Volume [237]
  Varistions from the Normal Patterns [238]
  Standard Interpretation [239]
  Volume Indicators [240]
  Interpreting Volume Systemstically [249]
  An Integrated Probability Model [250]
  Intraday Volume Patterns [251]
  Filtering Low Volume [253]
  Market Facilitation Index [254]
  Sources of Informstion [255]
11. POINT-AND-FIGURE CHARTING [256]
  Plotting Prices Using the Point-and-Figure Method [257]
  Chart Formstions [259]
  Point-and-Figure Box Size [261]
  The Problem of Risk [263]
  Trading Techniques [264]
  Price Objectives [268]
  A Study in Point-and-Figure Optimization [272]
12. CHARTING SYSTEMS [281]
  Swing Trading [281]
  William Dunnigan and the Thrust Method [290]
  Nofri's Congestion-Pbase System [292]
  Outside Days with an Outside Close [293]
  Action and Reaction [294]
  Channel Breakout [298]
  Moving Channels [300]
  Combining Techniques [300]
  Complex Patterns [302]
13. SPREADS AND ARBITRAGE [305]
  Spread and Arbitrage Relationships [307]
  Arbitrage [307]
  Changing Spread Relationships [316]
  Carrying Charges [320]
  Technical Analysis of Spreads [322]
  Volatility and Spread Ratios [329]
  Leverage in Spreads [332]
14. BEHAVIORAL TECHNIQUES [334]
  Measuring the News [334]
  Event Trading [338]
  Commitment of Traders Report [344]
  Opinion and Contrary Opinion [346]
  Fibonacci and Human Bebavior [350]
  Elliott's Wave Principle [353]
  Constructions Using the Fibonacci Ratio [361]
  Fischer's Golden Section Compass System [363]
  W. D. Gann-Time and Space [366]
  Financial Astrology [371]
15. PATTERN RECOGNITION [382]
  Projecting Daily Highs and Lows [383]
  Time of Day [384]
  Opening Gaps and Intraday Patterns [394]
  Three Studies in Market Movement-Weekday, Weekend, and Reversal Patterns [400]
  Computer-Based Pattern Recognition [416]
  Artificial Intelligence Methods [417]
16. DAY TRADING [419]
  Impact of Transaction Costs [419]
  Applicability of Trading Techniques [423]
  Market Patterns [428]
17. ADAPTIVE TECHNIQUES [436]
  Adaptive Trend Calculations [436]
  Adaptive Momentum Calculations [444]
  An Adaptive Process [446]
  Considering Adaptive Methods [447]
18. PRICE DISTRIBUTION SYSTEMS [449]
  Using the Standard Deviation [449]
  Use of Price Distributions and Patterns to Anticipate Moves [451]
  Distribution of Prices [453]
  Steidimayer-s Market Profile [458]
19. MULTIPLE TIME FRAMES [465]
  Tuning Two Time Frames to Work Together [465]
  Elder's Triple-Screen Trading System [466]
  Robert Krauszs Multiple Time Frames [468]
  A Comment on Multiple Time Frames [470]
20. ADVANCED TECHNIQUES [471]
  Measuring Volatility [471]
  Trade Selection [482]
  Price-Volume Distribution [483]
  Trends and Noise [484]
  Expert Systems [485]
  Fuzzy Logic [488]
  Fractals and Chaos [490]
  Neural Networks [492]
  Genetic Algorithms [498]
  Considering Genetic Algorithms, Neural Networks, and Feedback [502]
21. TESTING [503]
  Expectations [504]
  Identifying the Parameters [505]
  Selecting the Test Data [506]
  Searching for the Optimal Result [508]
  Visualizing and Interpreting the Results [510]
  Step-Forward Testing and Out-of-Sample Data [517]
  Changing Rules [519]
  Arriving at Valid Test Results [520]
  Point-and-Figure Testing [525]
  Comparing the Results of Two Systems [527]
  Profiting from the Worst Results [530]
  Retesting Procedure [531]
  Comprehensive Studies [533]
  Price Shocks [546]
  Anatomy of an Optimization [547]
  Data Mining and Overoptimization [548]
  Summary [554]
22. PRACTICAL CONSIDERATIONS [555]
  Use and Abuse of the Computer [555]
  Price Shocks [562]
  Gambling Technique-The Theory of Runs [565]
  Selective Trading [572]
  System Trade-Offs [574]
  Trading Limits-A Dampening Effect [579]
  Going to Extremes [582]
  Similarity of Systems [583]
23. RISK CONTROL [587]
  Risk Aversion [587]
  Liquidity [589]
  Cspital [590]
  MeasuringRisk [591]
  Leverage [596]
  Diversification [598]
  Individual Trade Risk [603]
  Ranking of Markets for Selection [609]
  Probability of Success and Ruin [614]
  Compounding a Position [617]
  Equity Cycles [619]
  Investing and Reinvesting Optimal f [623]
  Comparing Expected and Actual Results [626]
APPENDIX 1. STATISTICAL TABLES [631]
  Probability Distribution Tables [631]
  Table of Uniform Random Numbers [633]
APPENDIX 2. METHOD OF LEAST SQUARES [634]
  Operating Instructions [634]
  Computer Programs [634]
  Least-Squares Solution for Corn-Soybeans [640]
  Least-Squares Solution for Soybeans Only [645]
APPENDIX 3. MATRIX SOLUTIONS TO LINEAR EQUATIONS AND MARKOV CHAINS [651]
  Direct Solution and Convergence Method [651]
  General Matrix Form [651]
  Direct Solution [651]
  Convergence Method [657]
APPENDIX 4. TRIGONOMETRIC REGRESSION FOR FINDING CYCLES [659]
  Single-Frequency Trigonometric Regression [659]
  Two-Frequency Trigonometric Regression [663]
APPENDIX 5. FOURIER TRANSFORMATION [669]
  Fast Fourier Transform Program [669]
APPENDIX 6. CONSTRUCTION OF A PENTAGON [673]
  Construction of a Pentagon from One Fixed Diagonal [673]
  Construction of a Pentagon from One Side [674]
BIBLIOGRAPHY [676]
INDEX [687]
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