Professionаl Stock Trading. System Design and Automation

Professionаl Stock Trading. System Design and Automation

Автор(ы): Conway Mark R., Benle N. Aaron

06.10.2007
Год изд.: 2002
Описание: От автора (лит. пер. с англ.): «Сначала мы разработаем торговую систему, построенную на очень простой концепции и реализуем её в коде. Потом усовершенствуем. Потом снова усовершенствуем. И ещё раз усовершенствуем. Потом будем сидеть под пальмой и ждать когда на нас посыпятся бананы». Язык английский.
Оглавление:
Professionаl Stock Trading. System Design and Automation скачать без регистрации https://book-com.ru

1. INTRODUCTION [1]
1.1. Acme Trading Systems [2]
1.2. System Summary [4]
1.3. Chart Indicators [5]
1.4. A Trading Model [6]
1.4.1. Portfolio [7]
1.4.2. Trade Manager [12]
1.4.3. The Trading System [19]
1.4.4. Trade Filters [22]
1.5. Performance [32]
1.5.1. ATale ofTwo Stocks [34]
2. PAIR TRADING [39]
2.1. The Spread [40]
2.2. Spread Bands [41]
2.3. Short Selling [44]
2.3.1. NYSE Rules [44]
2.3.2. Nasdaq Rules [45]
2.4. Hedging [45]
2.5. Pair Trading System (Acme P) [46]
2.5.1. Long A Short В Rules [47]
2.5.2. Short A Long H Rules [47]
2.6. Examples [51]
2.6.1. Activision — THQ Incorporated [51]
2.6.2. THQ — Activision [52]
2.6.3. Apache-Anadarko [54]
2.6.4. Allstate-Progressive [55]
2.6.5. Emulex-QLogic [56]
2.6.6. RF Micro Devices-TriQuint Semiconductor [57]
2.7. Pair Trading Strategies [58]
2.7.1. Tips and Techniques [59]
3. PATTERNTRADING [61]
3.1. Market Patterns [62]
3.1.1. Cobra (C) [62]
3.1.2. Hook (H) [63]
3.1.3. Inside Day 2 (I) [64]
3.1.4. Tail (L) [64]
3.1.5. Harami (M) [66]
3.1.6. Fullback (P) [67]
3.1.7. Test (T) [68]
3.1.8 V Zone (V) [69]
3.2. Pattern Qualifiers [70]
3.2.1. Narrow Range (N) [70]
3.2.2. Average (A) [71]
3.3. Pattern Trading System (Acme M) [72]
3.3.1. Long Signal [72]
3.3.2. Short Signal [73]
3.4. Examples [79]
3.4.1. Abgenix [79]
3.4.2. PMC-Sierra [80]
3.4.3. Checkpoint Software [81]
3.4.4. New York Futures Exchange [82]
3.4.5. Comverse Technology [83]
3.4.6. Nasdaq Composite Index [83]
3.4.7. Computer Associates [84]
4. FLOATTRADING [85]
4.1. Float Box [87]
4.2. Float Channel [88]
4.3. Float Percentage [89]
4.4. Float Trading System (Acme F) [90]
4.4.1. Breakout System (Acme FB) [91]
4.4.2. Fullback System (Acme FP) [92]
4.5. Examples [97]
4.5.1. THQ Incorporated [97]
4.5.2. Juniper Networks [98]
4.5.3. Ariba [99]
4.5.4. Ciena [100]
4.5.5. Checkpoint Software [101]
4.5.6. FLIR Systems [102]
4.6. Float Trading Strategies… [102]
5. GEOMETRIC TRADING [105]
5.1. Rectangle [106]
5.2. Rectangle Trading System (Acme R). [109]
5.2.1. Long Signal [109]
5.2.2. Short Signal [110]
5.3. Examples [112]
5.3.1. AirGatePCS [112]
5.3.2. Rambus [113]
5.3.3. Electro-Optical Engineering [114]
5.3.4. Stericycle [114]
5.4. Double Bottom [115]
5.5. DoubleTop [116]
5.6. Triple Bottom [118]
5.7. Triple Top [119]
5.8. Triangle [119]
6 . VOLATILITY TRADING [123]
6.1. Linear Regression [124]
6.2. Volatility Trading System (Acme V) [126]
6.2.1. Long Signal [127]
6.2.2. Short Signal [127]
6.3. Examples [129]
6.3.1. Microsemi Corporation [129]
6.3.2. Veritas Software [131]
6.3.3. webMethods [131]
6.3.4. SeaChange [132]
6.3.5. Biotechnology Index [133]
6.3.6. Computer Associates [133]
7. RANGE TRADING [135]
7.1. Range Ratio [136]
7.2. Range Patterns [137]
7.2.1. Inside Day 2 (ID2) [137]
7.2.2. Inside Day-Narrow Range 4 (IDNR4) [138]
7.2.3. Narrow Range 2 (NR2) [138]
7.2.4. Narrow Range 10 (NR10) [139]
7.2.5. Narrow Range % (NR%) [139]
7.3. Range Trading System (Acme N) [140]
7.3.1. Long Signal [141]
7.3.2. Short Signal [142]
7.4. Examples [145]
7.4.1. Nasdaq Composite Index [145]
7.4.2. Securities Broker/Dealer Index [147]
7.4.3. Analog Devices [149]
7.4.4. Taro Pharmaceutical [150]
7.4.5. Multimedia Games [151]
8. MARKET MODELS [153]
8.1. Systems Model [154]
8.2. Sentiment Model [158]
8.2.1. Volatility Index (VIX) [158]
8.2.2. Put/Call Ratio [161]
8.2.3. New Highs [162]
8.2.4. New Lows [163]
8.2.5. Arms Index (TRIN) [164]
8.2.6. Bullish Consensus [165]
8.2.7. Short Sales Ratio [165]
8.3. Market Trading System [167]
8.3.1. Long Signal [168]
8.3.2. Short Signal [168]
8.4. Examples [172]
8.5. Data Sources [176]
9. TOOLS OF THE TRADE [177]
9.1. Tyco Case Study [178]
9.2. Preparation [179]
9.2.1. Software [180]
9.3. A Trading Day [181]
9.3.1. Chart Review [186]
10. DAY TRADING [193]
10.1. Finding a Day Trading Firm [194]
10.2. Trading the Nasdaq [196]
10.2.1. Nasdaq Market Participants [196]
10.2.2. Level II Quotations [198]
10.2.3. Level II Tutorial [199]
10.2.4. Case Study: ImClone Systems [201]
10.2.5. Case Study: Comverse Technology [203]
10.2.6. Case Study: OSCA Inc [205]
10.3. Day Trading Techniques [206]
10.3.1. Gap Trading [207]
10.3.2. Continuation Trading [209]
10.3.3. Block Trading [213]
10.3.4. Spread Trading [215]
10.4. The Trading Day [216]
10.4.1. Before the Bell [216]
10.4.2. The Open [220]
10.4.3. Lunch Hour [221]
10.4.4. The Close [221]
10.4.5. After the Bell [223]
11. SOURCE CODE [225]
11.1. Inventory [226]
11.1.1. Web Site [226]
11.1.2. Money Management [226]
11.1.3. Geometric Trading [227]
11.1.4. Market Models [227]
11.1.5. Pair Trading [228]
11.1.6. Range Trading [228]
11.1.7. Pattern Trading [229]
11.1.8. Volatility Trading [229]
11.1.9. Float Trading [230]
11.2. Compilation [230]
11.2.1. Creating an Archive [230]
11.2.2. Importing the Code into TradeStation 6 [233]
11.3. Using the Software [234]
11.3.1. Acme All Strategies [234]
11.3.2. Acme Spread Indicator [234]
11.3.3. AcmeGetFloat Function [234]
11.4. Source Code.
REFERENCES [301]
INDEX [303]

Table of Figures
Figure 1.1. Trading Model [6]
Figure 1.2. Visual Cues [12]
Figure 1.3. Trade Entry [15]
Figure 1.4. Trade Exit [18]
Figure 1.5. Trade Distribution [20]
Figure 1.6. Average True Range [23]
Figure 1.7. Long Entry at 50-day Moving Average [25]
Figure 1.8. Short Entry at 50-day Moving Average [25]
Figure 1.9. Ariba Low-Priced Stock Example [26]
Figure 1.10. Historical Volatility [28]
Figure 1.11. Narrow Range Bars [29]
Figure 1.12. Average Directional Index [30]
Figure 1.13. Directional Movement Index [31]
Figure 1.14. Equity Curve [34]
Figure 1.15. Low Volatility: Cigna [36]
Figure 1.16. High Volatility: Ciena [37]
Figure 2.1. The Spread [41]
Figure 2.2. Correlation Coefficient [42]
Figure 2.3. Spread Bands [43]
Figure 2.4. Activision-THQIncorporated Pair [51]
Figure 2.5. THQIncorporated-Activision Pair [52]
Figure 2.6. Apache-Anadarko Pair [54]
Figure 2.7. Allstate-Progressive Pair [55]
Figure 2.8. Emulex-QLogic Pair [56]
Figure 2.9. RF Micro Devices-TriQuint Semiconductor Pair [57]
Figure 3.1. Cobra [63]
Figure 3.2. Hook [63]
Figure 3.3. Inside Day 2 [64]
Figure 3.4. Tail [65]
Figure 3.5. Harami [66]
Figure 3.6. Fullback [68]
Figure3.7. Test [69]
Figure 3.8. V Zone [69]
Figure 3.9. Narrow Range Qualifier [71]
Figure 3.10. Average Qualifier [71]
Figures 3.11. Abgenix Pattern [79]
Figure 3.12. PMC-Sierra Pattern [80]
Figures 3.13. Check Point Software Pattern [81]
Figure 3.14. NYFE Index Pattern [82]
Figure 3.15. ComverseTechnology Pattern [83]
Figure 3.16. Nasdaq Composite Index Pattern [83]
Figure 3.17. Computer Associates Pattern [84]
Figure 4.1. Float Box [87]
Figure 4.2. Float Channel [88]
Figure 4.3. Float Percentage [89]
Figure 4.4. THQ Incorporated [97]
Figure 4.5. Juniper Networks [98]
Figure 4.6. Ariba [99]
Figure 4.7. Ciena [100]
Figure 4.8. Check Point Software [101]
Figure 4.9. FUR Systems [102]
Figure 5.1. Rectangle [106]
Figure 5.2. AirGate PCS Rectangle [112]
Figure 5.3. Rambus Rectangle [113]
Figure 5.4. Electro-Optical Engineering Rectangle [114]
Figure 5.5. Multiplicity [114]
Figure 5.6. Double Bottom [115]
Figure 5.7. Double Top [116]
Figure 5.8. Triple Bottom [118]
Figure 5.9. Triple Top [119]
Figure 5.10. Stealth Triangle [120]
Figure 5.11. PECS Stealth Triangle [121]
Figure 5.12. SEAC Stealth Triangle [121]
Figure 6.1. Linear Regression Line, Point 1 [124]
Figure 6.2. Linear Regression Line, Point 2 [125]
Figure 6.3. Linear Regression Curve [126]
Figure 6.4. Microsemi Corporation Volatility [129]
Figure 6.5. Veritas Software Volatility [131]
Figure 6.6. web Methods Volatility [132]
Figure 6.7. SeaChange Volatility [132]
Figure 6.8. Biotechnology Index Volatility [133]
Figure 6.9. Computer Associates Volatility [134]
Figure 7.1. Range Ratio [136]
Figure 7.2. ID2 Example [137]
Figure 7.3. IDNR Example [138]
Figure 7.4. NR25 Example [138]
Figure 7.5. NR10 Example [139]
Figure 7.6. NR%50 Example [139]
Figure 7.7. Nasdaq Composite Index [145]
Figure 7.8. Securities Broker/Dealer Index [148]
Figure 7.9. Analog Devices [149]
Figure 7.10. Taro Pharmaceutical [150]
Figure 7.11. Multimedia Games [151]
Figure 8.1. Systems Model for QQQ [155]
Figure 8.2. Volatility Index (VIX) [158]
Figure 8.3. VIX Mirror Image [159]
Figure 8.4. Put/Call Ratio Peak [161]
Figure 8.5. Put/Call Ratio Trough [162]
Figure 8.6. New Highs [163]
Figure 8.7. New Lows [163]
Figure 8.8. Arms Index, or TRIN [164]
Figure 8.9. Bullish Consensus [165]
Figure 8.10. Public to Specialist Short Sales Ratio [166]
Figure 8.11. Short Sales Ratio [166]
Figure 8.12. S&P 500 Index (09/01 — 02/02) [172]
Figure 8.13. S&P 500 Index (12/01 — 03/02) [173]
Figure 8.14. S&P 500 Index June 1998 [175]
Figure 9.1. Tyco Daily Chart [178]
Figure 9.2. Tyco Intraday Chart [179]
Figure 9.3. Nasdaq Composite Index Reversal [182]
Figure 9.4. Boise Cascade Position Open Orders [184]
Figure 9.5. Handspring Position Open Orders [184]
Figure 9.6. Engineered Support Systems Entry Order [187]
Figure 9.7. Business Objects Entry Order [187]
Figure 9.8. Overture Services Entry Order [188]
Figure 9.9. CACI Entry Order [189]
Figure 9.10. Engineered Support Systems Update [189]
Figure 9.11. Business Objects Position [190]
Figure 9.12 Overture Services Update [190]
Figure 9.13. CACI Open Position [191]
Figure 9.14. Rent-a-Center [192]
Figure 9.15. Corporate Executive Board [192]
Figure 10.1. Level II Window [198]
Figure 10.2. Level II Snapshot 1 [199]
Figure 10.3. Level II Snapshot 2 [200]
Figure 10.4. Level II Snapshot 3 [201]
Figure 10.5. ImClone Intraday [202]
Figure 10.6. ImClone Daily [203]
Figure 10.7. Com verse Technology [204]
Figure 10.8. OSCA Inc [205]
Figure 10.9. Daily Money Flow [206]
Figure 10.10. Intraday Money Flow [207]
Figure 10.11. Ciena Opening Range Breakout [208]
Figure 10.12. Panera Bread Gap Confirmation [210]
Figure 10.13. Acambis News Continuation [212]
Figure 10.14. Rambus Breakout Continuation [213]
Figure 10.15. Ciena: November 12, 2001 [219]
Figure 10.16. Ciena: February 5, 2002 [219]
Figure 10.17. M Tops with Bollinger Bands [222]
Figure 10.18. W Bottom with Bollinger Bands [222]
Figure 10.19. Cepheid [224]

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