Trading Systems and Methods

Klappentext The systems material in this book can be applied with sidebars that pull out the computer programme and code material. It combines a technical reading book, or reference, with a hands-on workbook. Zusammenfassung The systems material in this book can be applied with sidebars that pull out the computer programme and code material. It combines a technical reading book, or reference, with a hands-on workbook.

Auteur

PERRY J. KAUFMAN is a financial engineer, well-known for developing algorithmic strategies for the global equity and futures markets. Mr. Kaufman's Trading Systems and Methods has been called "the most authoritative and comprehensive work" in the field. He is also author of A Guide to Creating a Successful Algorithmic Trading Strategy (Wiley). Mr. Kaufman also co-founded the Journal of Futures Markets.

Texte du rabat

"If I could only have one book on the markets in my library, this would be it. Perry Kaufman is at the top of my pedestal for his innovative research and market expertise. This new edition is one of the most relevant works out there." -- Linda Raschke, President of LBRGroup, Author of Trading Sardines: Lessons in the Markets by a Lifelong Trader "It has been more than 30 years since we first discovered the 1st edition. Since then, our readers have enjoying and benefited from each new edition and are always impressed with easy-to-understand explanation of the important and universal contents about trading systems. We strongly recommend this book for our members and Japanese investors." --Kakuya Kojoh, Chairman & Akihiro Niimi, Vice Chairman, The Nippon Technical Analysts Association "Perry has done it again! This Sixth Edition has been thoroughly updated to make it the most comprehensive resource covering technical analysis available anywhere. It should be on the bookshelf of every trader, from beginner to professional." --John F. Ehlers, President, MESA Software "Perry's book is key in helping to answer the age old question of when to buy and when to sell. A must read for anyone who invests." --Michael Pallitto, Financial Advisor THE BESTSELLNG GUIDE TO TRADING As markets inevitably evolve, so must the strategies and tools used to trade them. No one understands this more than Perry Kaufman--one of today's most respected market experts. For more than 30 years, traders have turned to Kaufman's classic Trading Systems and Methods for complete information about the latest, most successful indicators, programs, algorithms, and systems. Now, in this revised Sixth Edition, Kaufman thoroughly updates his bestselling guide--adding new systems, new techniques, and many international examples--and shows you the best ways to trade today's futures and equities markets. The companion website, which contains TradeStation programs, Metastock programs, and Excel spreadsheets, allow you to test both the systems presented in the book and your own variation of these trading strategies. With everything from basic information on statistical analysis to advanced guidance on implementing algorithms and other tech trading solutions, this is an excellent, comprehensive resource for current and aspiring market professionals.

Contenu

Preface xv

Chapter 1 Introduction 1

The Expanding Role of Technical Analysis 1

Convergence of Trading Styles in Stocks and Futures 3

Professional and Amateur 5

Random Walk 6

Deciding on a Trading Style 7

Measuring Noise 9

Maturing Markets and Globalization 12

Background Material 14

System Development Guidelines 15

Objectives of This Book 16

Profile of a Trading System 17

A Word about the Notation Used in This Book 20

A Final Comment 20

Chapter 2 Basic Concepts and Calculations 21

A Brief Word About Data 22

Simple Measures of Error 23

On Average 24

Price Distribution 28

Moments of the Distribution: Mean, Variance, Skewness, and Kurtosis 32

Choosing Between Frequency Distribution and Standard Deviation 37

Measuring Similarity 38

Standardizing Risk and Return 40

The Index 45

An Overview of Probability 50

Supply and Demand 56

Chapter 3 Charting 67

Finding Consistent Patterns 68

What Causes the Major Price Moves and Trends? 70

The Bar Chart and Its Interpretation by Charles Dow 71

Chart Formations 80

Trendlines 81

One-Day Patterns 89

Continuation Patterns 101

Basic Concepts in Chart Trading 105

Accumulation and Distribution: Bottoms and Tops 106

Episodic Patterns 118

Price Objectives for Bar Charting 119

Implied Strategies in Candlestick Charts 126

Practical Use of the Bar Chart 131

Evolution in Price Patterns 134

Chapter 4 Charting Systems 137

Dunnigan and the Thrust Method 138

Nofri's Congestion-Phase System 141

Outside Days and Inside Days 143

Pivot Points 145

Action and Reaction 146

Programming the Channel Breakout 153

Moving Channels 155

Commodity Channel Index 156

Wyckoff's Combined Techniques 157

Complex Patterns 158

Computer Recognition of Chart Patterns 160

Chapter 5 Event-Driven Trends 167

Swing Trading 167

Point-and-Figure Charting 176

The N-Day Breakout 195

Chapter 6 Regression Analysis 207

Components of a Time Series 207

Characteristics of the Price Data 208

Linear Regression 210

Linear Correlation 218

Nonlinear Approximations for Two Variables 222

Transforming Nonlinear to Linear 225

Multivariate Approximations 228

ARIMA 233

Basic Trading Signals Using a Linear Regression Model 238

Measuring Market Strength 241

Chapter 7 Time-Based Trend Calculations 243

Forecasting and Following 244

Price Change over Time 247

The Moving Average 248

The Moving Median 255

Geometric Moving Average 255

Accumulative Average 256

Drop-off Effect 256

Exponential Smoothing 257

Plotting Lags and Leads 267

Chapter 8 Trend Systems 269

Why Trend Systems Work 269

Basic Buy and Sell Signals 274

Bands and Channels 280

Choosing the Calculation Period for the Trend 290

A Few Classic Single-Trend Systems 291

Comparison of Single-Trend Systems 295

Techniques Using Two Trendlines 307

Three Trends 314

Comprehensive Studies 318

Selecting the Trend Speed to Fit the Problem 318

Moving Average Sequences: Signal Progression 319

Early Exits from a Trend 322

Projecting Moving Average Crossovers 323

Early Identification of a Trend Change 323

Chapter 9 Momentum and Oscillators 325

Momentum 326

Adding Volume to Momentum 339

Divergence Index 342

Visualizing Momentum 343

Oscillators 345

Double-Smoothed Momentum 364

Velocity and Acceleration 369

Hybrid Momentum Techniques 375

Momentum Divergence 377

Some Final Comments on Momentum 385

Chapter 10 Seasonality and Calendar Patterns 387

Seasonality Never Disappears 388

The Seasonal Pattern 389

Popular Methods for Calculating Seasonality 390

Classic Methods for Finding Seasonality 408

Weather Sensitivity 420

Identifying Seasonal Trades 422

Seasonality and the Stock Market 439

Common Sense and Seasonality 449

Chapter 11 Cycle Analysis 451

Cycle Basics 451

Uncovering the Cycle 465

Maximum Entropy 481

Short Cycle Indicator 489

Phasing 491

Chapter 12 Volume, Open Interest, and Breadth 495

Futures Volume and Open Interest 496

Extended Hours and 24-Hour Trading 497

Variations from the Normal Patterns 498

Standard Interpretation 502

Volume Indicators 506

Breadth Indicators 518

Is One Volume or Breadth Indicator Better than Another? 524

More Trading Methods Using Volume and Breadth 525

An Integrated Probability Model 533

Intraday Volume Patterns 534

Filtering Low Volume 537

Market Facilitation Index 538

Chapter 13 Spreads and Arbitrage 541

Dynamics of Futures Intramarket Spreads 542 …