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A Guide to Creating A Successful Algorithmic Trading Strategy by Perry J. Kaufman

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Index

  • Arbitrage
    • Also see Pairs trading
  • Average true range
    • Also see position size
    • Also see volatility
  • Back-adjusted data
  • Biases
  • Breakout system
    • comparison
    • defined
    • intraday
  • Building blocks
  • Bull markets
  • Calmar ratio
  • Commodity life cycle
  • Complexity
  • Cost of trading
  • Crisis alpha
  • Cycle, 3-day
  • Data
    • back-adjusted
    • how much to use?
    • split-adjusted
    • using dirty
  • Degrees of freedom
  • Defining the rules
  • Development process,
  • Divergence
  • Diversification
    • futures,
    • strategy
    • too much
  • Drawdown
    • Also see Risk
  • Efficiency ratio
    • Also see Noise
  • Entering on a pullback
  • Entries and exits, multiple
  • Eurodollar trend
  • Fat tail
  • Feedback in testing
  • Futures
    • conversion factors
    • diversification
    • Eurodollar trend example
    • FX conversion
    • leverage also see Target risk
    • risk
    • selection of markets
  • FX in futures
  • Genetic algorithms
  • Gold, as a hedge
  • Gold-silver ratio
  • Ideas, trading
    • and personality
  • Information ratio
    • calculation
    • interpreting
  • In-Sample Testing
  • Integrated solutions
  • Intraday
    • Also see Short-term
    • breakout system
    • stops
  • Leverage, portfolio
    • scaling down
    • scaling up
    • target risk
  • Linear regression (slope)
    • comparison,
    • defined
  • Longevity, system
  • Low-priced stocks
  • Margin
  • Moving average system,
    • Also see Trend and Trend Systems
    • comparison,
    • defined
    • optimization
  • Multiple
    • entries and exits
    • strategies
    • time frames
  • Neural networks
  • Noise
    • in market selection
    • in short-term trading
  • Optimization
    • Also see Testing
    • comparing
    • intraday breakout ...

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