Beyond Technical Analysis: How to Develop and Implement a Winning Trading System

Beyond Technical Analysis: How to Develop and Implement a Winning Trading System

Автор(ы): Tushar S.

Год изд.: 1997
Описание: Сотни раз об этом говорилось, но скажем об этом ЕЩЁ РАЗ: на бирже выигрывает тот, у кого есть СИСТЕМА. Хорошая система дает большую прибыль, плохая система дает мизерную прибыль. И лишь одно ведет к убыткам — это отсутствие какой-либо системы вообще. Данная книга научит вас проектировать, реализовывать, тестировать и внедрять собственные торговые системы. Язык английский, текст сверстан криво.
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1. Developing and Implementing Trading Systems [1]
Introduction [1]
The Usual Disclaimer [3]
What Is a Trading System? [3]
Comparison: Discretionary versus Mechanical System Trader [4]
Why Should You Use a Trading System? [5]
Robust Trading Systems: TOPS COLA [6]
How Do You Implement a Trading System? [7]
Who Wins? Who Loses? [8]
Beyond Technical Analysis [9]
2. Principles of Trading System Design [11]
Introduction [11]
What Are Your Trading Beliefs? [12]
Six Cardinal Rules [14]
Rule 1: Positive Expectation [15]
Rule 2: A Small Number of Rules [17]
Rule 3: Robust Trading Rules [22]
Rule 4: Trading Multiple Contracts [29]
Rule 5: Risk Control, Money Management, and Portfolio Design [32]
Rule 6: Fully Mechanical System [36]
Summary [37]
3. Foundations of System Design [39]
Introduction [39]
Diagnosing Market Trends [40]
To Follow the Trend or Not? [44]
To Optimize or Not to Optimize? [48]
Initial Stop: Solution or Problem? [52]
Does Your Design Control Risks? [60]
Data! Handle with Care! [64]
Choosing Orders for Entries and Exits [66]
Understanding Summary of Test Results [67]
What the Performance Summary Does Not Show [70]
A Reality Check [71]
4. Developing New Trading Systems [73]
Introduction [73]
The Assumptions behind Trend-Following Systems [74]
The 65sma-3cc Trend-Following System [75]
Effect of Initial Money Management Stop [88]
Adding Filter to the 65sma-3cc System [93]
Adding Exit Rules to the 65sma-3cc System [99]
Channel Breakout-Pull Back Pattern [101]
An ADX Burst Trend-Seeking System [111]
A Trend-Antitrend Trading System [116]
Gold-Bond Intermarket System [123]
A Pattern for Bottom-Fishing [132]
Identifying Extraordinary Opportunities [140]
Summary [144]
5. Developing Trading System Variations [147]
Introduction [147]
Channel Breakout on Close with Trailing Stops [149]
Channel Breakout on Close with Volatility Exit [152]
Channel Breakout with 20-Tick Barrier [155]
Channel Breakout System with Inside Volatility Barrier [159]
Statistical Significance of Channel Breakout Variations [161]
Two ADX Variations [165]
The Pullback System [168]
The Long Bomb — A Pattern-based System [173]
Summary [177]
6. Equity Curve Analysis [179]
Introduction [179]
Measuring the «Smoothness» of the Equity Curve [180]
Effect of Exits and Portfolio Strategies on Equity Curves [186]
Analysis of Monthly Equity Changes [194]
Effect of Filtering on the Equity Curve [200]
Summary [204]
7. Ideas for Money Management [207]
Introduction [207]
The Risk of Ruin [208]
Interaction: System Design and Money Management [212]
Projecting Drawdowns [218]
Changing Bet Size after Winning or Losing [221]
Summary [224]
8. Data Scrambling [227]
Introduction [227]
What You Really Want to Know about Your System [227]
Past Is Prolog: Sampling with Replacement [229]
Data Scrambling: All the Synthetic Data You’ll Ever Need [231]
Testing a Volatility System on Synthetic Data [236]
Summary [239]
9. A System for Trading [241]
Introduction [241]
The Problem with Testing [242]
Paper Trading: Pros and Cons [242]
Do You Believe in Your System? [243]
Time Is Your Ally [244]
No Exceptions [245]
Full Traceability [245]
«Guaranteed» Entry into Major Trends [246]
Starting Up [247]
Risk Control [248]
Do You Have a Plan? [248]
How Will You Monitor Compliance? [249]
Get It Off Your Chest! [249]
Focus on Your Trading [250]
Trading with Your Head and Heart [250]
Summary [252]
Selected Bibliography [253]
Index [255]
About the Disk [261]

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