1. Although numerous authors have addressed the concepts collectively known throughout this book as the casino paradigm, one of the most comprehensive and lucid expositions of this paradigm is Trading in the Zone, by Mark Douglas (Prentice Hall, 2001), pages 101–106.
CHAPTER 1 DEVELOPING POSITIVE EXPECTANCY MODELS
1. See Devil Take the Hindmost by Edward Chancellor (Plume, 2000) pages 14–20.
2. See the Forbes.com article “Inside the Semgroup Bust” by Christopher Helman (July 28, 2008).
3. See “Prospect Theory: An Analysis of Decision under Risk” by Daniel Kahneman and Amos Tversky, in Econometrica 47(2) (March 1979): pages 263–291.
4. See the Oil Marketer article “Crude Prices Rise Despite Oil Inventory Gains in US,” by Elaine Frei (April 29, 2009).
CHAPTER 2 PRICE RISK MANAGEMENT METHODOLOGIES
1. See A Tract on Monetary Reform, by John Maynard Keynes (Prometheus Books, 2000).
2. Slippage, or liquidity risk, is the difference between assumed and actual entry or exit prices.
3. Parameters and programming code for all mechanical trading systems presented throughout the book are detailed in Chapter .
4. Worst peak-to-valley drawdowns in equity are the most robust risk metric since they measure a portfolio's mark-to-market from its ultimate high water mark to its most severe nadir in assets under management (as opposed to merely calculating closed-out losses).
5. See page 181 of Market Wizards by Jack Schwager (Marketplace Books, 2006).
6. On page 260 of Trading for ...