Book description
Get the bestselling guide to trading systems, now updated for the 21st century.
For more than two decades, futures traders have turned to the classic Trading Systems and Methods for complete information about the latest, most successful indicators, programs, algorithms, and systems. Perry Kaufman, a leading futures expert highly respected for his years of experience in research and trading, has thoroughly updated this bestselling guide, adding more systems, more methods, and extensive risk analysis to keep this the most comprehensive and instructional book on trading systems today. His detailed, hands-on manual offers a complete analysis, using a systematic approach with in-depth explanations of each technique. This edition also includes a CD-ROM that contains the TradeStation EasyLanguage program, Excel spreadsheets, and Fortran programs that appear in the book.
Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
Table of contents
- Cover Page
- Frontmatter
- Title Page
- Copyright
- Dedication
- Frontmatter
- Contents
- Preface
- Acknowledgments
-
CHAPTER 1: Introduction
- THE EXPANDING ROLE OF TECHNICAL ANALYSIS
- CONVERGENCE OF TRADING STYLES IN STOCKS AND FUTURES
- A LINE IN THE SAND BETWEEN FUNDAMENTALS AND TECHNICALS
- PROFESSIONAL AND AMATEUR
- RANDOM WALK
- BACKGROUND MATERIAL
- RESEARCH SKILLS
- OBJECTIVES OF THIS BOOK
- PROFILE OF A TRADING SYSTEM
- A WORD ABOUT THE NOTATION USED IN THIS BOOK
- CHAPTER 2: Basic Concepts
-
CHAPTER 3: Charting
- FINDING CONSISTENT PATTERNS
- WHAT CREATES THE MAJOR PRICE MOVES AND TRENDS?
- THE BAR CHART AND ITS INTERPRETATION BY CHARLES DOW
- CHART FORMATIONS
- TRENDLINES
- ONE-DAY PATTERNS
- CONTINUATION PATTERNS
- BASIC CONCEPTS IN CHART TRADING
- ACCUMULATION AND DISTRIBUTION—BOTTOMS AND TOPS
- EPISODIC PATTERNS
- PRICE OBJECTIVES FOR BAR-CHARTING
- IMPLIED STRATEGIES IN CANDLESTICK CHARTS
- PRACTICAL USE OF THE BAR CHART
- EVOLUTION IN PRICE PATTERNS
- CHAPTER 4: Charting Systems and Techniques
- CHAPTER 5: Event-Driven Trends
-
CHAPTER 6: Regression Analysis
- COMPONENTS OF A TIME SERIES
- CHARACTERISTICS OF THE PRICE DATA
- LINEAR REGRESSION
- LINEAR CORRELATION
- NONLINEAR APPROXIMATIONS FOR TWO VARIABLES
- SECOND-ORDER LEAST SQUARES
- TRANSFORMING NONLINEAR TO LINEAR
- EVALUATION OF TWO-VARIABLE TECHNIQUES
- MULTIVARIATE APPROXIMATIONS
- ARIMA
- BASIC TRADING SIGNALS USING A LINEAR REGRESSION MODEL
- MEASURING MARKET STRENGTH
- CHAPTER 7: Time-Based Trend Calculations
-
CHAPTER 8: Time-Based Trend Systems
- WHY TREND SYSTEMS WORK
- BASIC BUY AND SELL SIGNALS
- BANDS AND CHANNELS
- APPLICATIONS OF SINGLE TRENDS
- COMPARISON OF MAJOR TREND SYSTEMS
- TECHNIQUES USING TWO TRENDLINES
- MORE THAN TWO TRENDS
- COMPREHENSIVE STUDIES
- SELECTING THE RIGHT MOVING AVERAGE 8
- MOVING AVERAGE SEQUENCES: SIGNAL PROGRESSION
- LIVING WITH A TREND-FOLLOWING PHILOSOPHY
- CHAPTER 9: Momentum and Oscillators
- CHAPTER 10: Seasonality
- CHAPTER 11: Cycle Analysis
- CHAPTER 12: Volume, Open Interest, and Breadth
- CHAPTER 13: Spreads and Arbitrage
- CHAPTER 14: Behavioral Techniques
- CHAPTER 15: Pattern Recognition
- CHAPTER 16: Day Trading
- CHAPTER 17: Adaptive Techniques
- CHAPTER 18: Price Distribution Systems
- CHAPTER 19: Multiple Time Frames
- CHAPTER 20: Advanced Techniques
-
CHAPTER 21: System Testing
- EXPECTATIONS
- IDENTIFYING THE PARAMETERS
- SELECTING THE TEST DATA
- SEARCHING FOR THE OPTIMAL RESULT
- VISUALIZING AND INTERPRETING TEST RESULTS
- STEP-FORWARD TESTING AND OUT-OF-SAMPLE DATA
- MASSIVE TESTING
- CHANGING THE STRATEGY RULES
- ARRIVING AT VALID TEST RESULTS
- POINT-AND-FIGURE TESTING
- COMPARING THE RESULTS OF TWO SYSTEMS
- PROFITING FROM THE WORST RESULTS
- RETESTING PROCEDURE
- COMPREHENSIVE STUDIES
- PRICE SHOCKS
- ANATOMY OF AN OPTIMIZATION 17
- A PLAN FOR ROBUSTNESS
- CHAPTER 22: Practical Considerations
- CHAPTER 23: Risk Control
- CHAPTER 24: Diversification and Portfolio Allocation
- APPENDIX 1: Statistical Tables
- APPENDIX 2: Method of Least Squares
- APPENDIX 3: Matrix Solution to Linear Equations and Markov Chains
- APPENDIX 4: Trigonometric Regression for Finding Cycles
- APPENDIX 5: Fourier Transformation
- APPENDIX 6: Construction of a Pentagon
- Bibliography
- About the CD-ROM
- Index
Product information
- Title: New Trading Systems and Methods, Fourth Edition
- Author(s):
- Release date: February 2005
- Publisher(s): Wiley
- ISBN: 9780471268475
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