Index

account equity, 294, 295, 361

adjusted gross profit, 94

ADX (average directional index), 31, 66, 156, 191

18-day, 160

burst, 155, 157

compared to RAVI, 6769

filtered system, 170, 191

rising, 218221

ADX>30 system, 218221

antitrend bottom-fishing, 176

antitrend trading strategy, 7073, 160165

Apple Inc. (AAPL), 337, 338

Ariba, Inc., (ARBA), 32

attention to detail (A2D), 364, 365, 366

attribution theory, 363365

average, 24

average trade:

data, 91, 92, 93

defined, 4243

Babcock, Bruce, 198, 298

Balsara, Nauzer J., 286

bar chart, 15, 16

Barclay index, 326

barrier, 208, 227

benchmark, return efficiency, 326

benchmark, trading program, 11

bet size, 43, 287

changing of, 287, 288, 299

betting strategies, 298301

bootstrapping, 346

bottom-picking pattern, 175183

profitability of, 177, 181

rules, 176

breakout system, 44, 51

Brent Crude, 18, 19, 194, 195

brute-force trend-following, 6, 7

buy-and-hold strategy, 190

Caterpillar Tractor, 182

CB-PB (channel-breakout pullback), 145155

difficulties with, 146

central limit theorem (CLT), 280

Chande trend index, 3132

Chande, Tushar S., 33, 94, 198

channel breakout system, 145, 203, 204, 208, 212, 256

strengths of, 213

with filtering, 252

channel width, 212

CHBOC (channel breakout on the close), 7879, 203, 204

Chicago Tribune, 324325

choppy market, 1718

coffee market, 79, 80, 81, 82, 83, 98

combining variance, 241244

command button, 372373

comparing CTAs, 260

composite equity curve, 241

computer testing, 356

Connors, Larry, 223

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