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Trading Systems and Methods, + Website, 5th Edition by Perry J. Kaufman

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Index

A

Acceleration

Accumulation—bottoms and tops

Accumulation distribution

Accumulative average

Reset

Adaptive techniques

Chande's Variable Index Dynamic Average

comparisons

correlation coefficient, r2

dynamic momentum index

efficiency ratio

FAMA

Fractal Adaptive Moving Average

fractal dimension

fractal efficiency

intraday breakout system

KAMA

Kaufman's Adaptive Moving Average

MAMA

Master Trading Formula

McGinley Dynamics

MESA Adaptive Moving Average

momentum calculations,788

Parabolic Time/Price System

process development example

RSI

stochastic, variable-length

trend-adjusted oscillator

VIDYA

A/D oscillator

Advance-Decline System

Advanced techniques

ADX

filter

Agricultural patterns,

Also see Intraday patterns, Seasonality

Allocation.

See Optimal f, Portfolio allocation

Alpha

Amazon seasonality

AMR seasonality

Annualized volatility

Annualizing

Anti-Martingales

Anticipating

a trend change

moves using price distributions

Apple, Gerald

VIX system

Arbitrage

Also see Spreads

butterfly spreads

carrying charge

carry trade

convenience yield

crack spread

crossrates

Eurodollar strip

forward rate parity

implied interest rates

gold

intercrop spreads

interest rate parity

intermarket index spreads

merger arb

market neutral

pairs trading

position sizing

stock and futures

product spreads

program trading

fair value

representative subset

rating services

relative value trade

reverse crack

single stock futures and underlying stock

soybean crush

Stress Indicator

TED spread

yield curve

ARIMA ...

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