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ee
AAbsolute point value, 91‘Acceleration, 126, 150-152, 154‘Acceleration factor, 98-99, 442Accumulated average, 68Accumulated Swing Index (ASI), 287‘Accumulation, 216, 217‘Accumulation/Distribution (A/D) Oscillator,140-143‘Action/reaction systems, 294-297Adaptive Relative Strength Index (ARS]), 440‘Adaptive techniques, 288, 289, 436-449Chande’s Variable Index Dynamic Average,438-439comparison of, 440-441Kaufman's Adaptive Moving Average,436-438Master Trading Formula, 444McGinley Dynamics, 441for momentum catculation, 444446Parabolic Time/Price System, 441-444as a process, 446-447Added-event probability, 28‘Advance-Decline Index, 242-243, 249Advance-decline system, 250Agricultural markets, 598‘and seasonality, 160-167, 172-174, 182,188and spreads, 305-306, 333trading limits in, 579, 582and volume patterns, 238Alexander's Filter Rule trading system, 546,584-585‘Amplitude, in cycles, 189, 193, 194Angas, L.L.B., 294Annual cycle, 189‘Annualized rate of return, 20, 522Annualizing, 20‘Anon, Louis J., 58‘Anti-Martingales, 568-569Appel, Gerald, 128Arbitrage, 49-50, 305, 307-316Class B, 310and computers, 419and risk/return, 482ARIMA method, 37, 55-60, 204
Index
Arithmetic mean, 11, 15
‘Arms, Richard, 240
Arnold, Curtis, 346, 350
Artificial intelligence, 417-418
and fuzzy logic, 488
Artificial neural networks (ANNs), 52, 418.492-498,
Art of Contrary Thinking, The (Neill), 347
Aspray, Thomas, 243
Astrology, 189, 350
financial, 334, 371-381
Asymmetry, 4, 630
‘Auction theory, 462
Autoregression, 55, 62~63
Autoregressive Integrated Moving Average.See ARIMA method
Average Directional Movement Index (ADX).153, 610-611
Average Directional Movement Index Rating(ADXR), 611
Average maximum retracement (AMR),392-593
Average-modified method, 68
Average-off method, 133-134
‘Average prices, in seasonality calculations, 162,164
Averages, in Dow theory, 216
Average velocity, 149
Averaging, 9-16. See also Moving average
Averaging in, 220
BBack-testing, 562Backwardation, 160, 321Band(s), 90-94, 102, 219. See also Channelbands; Confidence bands; Volatility bandin Master Trading Formula, 99and momentum as trend indicator, 130, 132in price distributions, 449-451Bar chart, 3, 5, 134, 214-215, 264application of, 234-236in combination system, 301formations in, 221-228price objectives for, 228-232 -Base price, 472 .Base year, in index, 22688"
INDEX
 
Bayes theorem, 28-29 :Bear market, 216, 221, 231Bear market setup, 137, 138Bear market years, 178-179, 188Bear spread, 328Beat the Dealer (Thorp), 5Behavior cycles, 189, 208. See also HumanbehaviorBell curve, 15. See also ProbabilityBenchmark, in testing, 522Bernoulli, Daniel, 587, 626Bernoulli process, 626Bernstein, Jacob, 166, 182Best fit:in ARIMA method, 55in linear regression, 39in phasing, 211Beyond Candlesticks—New Japanese TradingTechniques (Nison), 233Bias, in data, 10in testing, 519, 524, 537for volume, 254and weighted moving average, 68Bierovic, Thomas, 482Binomial distribution, 626-627Black box methods, 503, 573Blau, William, 80, 144Blau’s double smoothing, 80, 81Blind simulation, 521Bollinger, John, 91Bollinger bands, 91-93, 250, 449-450Bolton, A.H., 353Bolton-Tremblay volume indicator method, 244,248Bottom formations. See Top and bottom forma-tionsBox, G.E.P, 55, 56BoxJenkins method, 37, 55Breadth, of market, 237, 238, 242, 248Breakaway gap, 225-226Breakaway system, 290Breakout, 94, 95, 220, 221false, 92, 219, 264weekly, 289Breakout systems, 102risk with, 102, 595, 603and volatility, 482Bressert, Walt, 424Brower, William, 482Bullish Consensus, 347-348Buil market, 214, 216, 231, 328in Elliott Wave Theory, 353, 356retracement of, 294Bull market years, 178-179, 183Bull spread, 317, 322, 328 -Butterfly spread, 319-320Buying power (BP), in A/D Oscillator, 140Buying Pressure, in Demand Oscillator, 243
  
cCambridge Hook, 153Candlestick charts, 232-234Capital, 590-591conservation of, 102, 587, 595, 615Carrying charges, 160, 161, 320-322, 599and butterfly, 319and intercrop spread, 317-319and interest rates, 312and spreads, 305, 307Carrying charge spread, 322Cash-and-carry, 307Catastrophic risk, 21, 598, 606, 623Causal relationships, in models, 34CHADTR, 250Chaikan, Mark, 242, 249Chain relatives, in seasonality calculations,168-169Chande, Tushar, 438Channel:in charting, 217, 298-300in Elliott Wave Theory, 357and price objective, 229-231in testing, 540-542Channel bands, 90, 299; 300Channel breakout trading system, 545-546Chaos theory, 490Charteraft, 261Chart(s), 3, 213-236candlestick, 232-234and Dow Theory, 216-217equivolume, 240gaps in, 225-226in Gann system, 369-370interpretation of, 234-236and price objectives, 228-232reversals in, 226-227standard formations in, 214, 217-218, 232tops and bottoms in, 221-225and trading rules, 218-220Charting systems, 281-304, 357. See also Barchart; Elliott Wave Theory; Gann’s system;Point-and-figure chartingaction/reaction-based, 294-297and channels, 298-300combipations in, 300-302Congestion-Phase System, 292-293DeMark’s sequential, 302-304One-Way Formula, 292outside day with outside close, 293-294Square-Root Theory, 292Swing trading, 281-290Thrust Method, 291-292Chicago Board of Trade, 257and Steidimayer's Market Profile, 458Chicago Mercantile Exchange:International Monetary Market, 225, 310, 333,390
 
INDEX
point-and-figure charts used by, 257tick data from, 556time pattern in cattle market, 385-386Chi-square test, 627-630Church, Arthur H., 351, 352Class B arbitrage, 310Close, 89Closing price:in Dow Theory, 217in %R Oscillator, 143and stochastic oscillator, 135and trading signals, 89-90and volume, 241, 242Cobweb charts, 33-34Collins, Charles, 353Commission, 50, 419, 531, 551Commitment of Traders Index, 350Commitment of Traders Report, 336, 344-346,349-350Commodex system, 576-578Commodities:news-price relationship in, 335and seasonality, 161, 182storable, 308, 322and time patterns, 385trading volumes of, 216‘wholesale price index peaks, 352Commodities magazine, 95, 140Commodity Cycle Index (CCH), 209-210Commodity prices:distributions of, 14, 17and production costs, 18, 454and seasonality, 182Commodity Research Bureau, 213Commodity Selection Index (CS), 609, 611Commodity Trading Advisors (CTAs), 21Commodity Trading Manual, 5 _Common gap, 226Compounded rate of return, 16, 20-21Compounding a position, 617-621Compound wave, in price analysis, 195Computer(s), 2, 3, 9, 555-562. See also Pro-gramming code; Softwarefor cycle identification, 189, 197, 201and day trading, 419, 426for Elliott Wave Theory trading, 358-361for expert systems, 486 _for Fast Fourier Transform, 206 -in financial astrology, 371, 375, 397hardware for, 558 -for matrix elimination, 46and neural networks, 493and price shock identification, 564programming in, 290, 558-359for seasonality determirfation, 161system similarity with, 583-385and testing, 120, 503, 506, 508, 536, 548,551
689
Computer-based pattern recognition, 281, 382,416-418CompuTrac software, 556Conditional probability, 25Confidence bands, 45, 46, 59-61Congestion-Phase System, 292-293Conners-Hayward Advance-Decline TradingPatterns (CHADTP), 250Conservation of capital, 102, 587, 595. 615Consumer habits:seasonal effect of, 160, 181and spread relationships, 316Consumer Price Index (CPI), 168, 578and event trading, 340, 342and inflation, 456in muitivariate approximation, 53, 54Contango, 321ContiCommodiry, 178, 182Contingent probability, 24-25Continuous forecasting, 292Contract volume, 237, 422Contrary opinion, 334, 347-349, 367Copper:price analysis of, 197-200seasonality of, 161, 181, 182Correlated volatility factor (VF), 99, 444Correlation coefficient:in adaptive technique, 439-440in regression analysis, 42, 44, 56in trend system ranking, 609Correlogram, 56-58, 204Countertrend indicator, $9, 129Countertrend trading, 3, 126, 143, 483-484and DeMark’s sequential, 302and intramarket spreads, 323risk/reward in, 157, 575, 576, 595and timing, 388trading rules for, 132-133CQG data feed, 5, 506Crack spread, 314-315CRB index, 1, 312Crossover, 89, 116, 125projected, 152with stochastic oscillator, 136, 138in testing, 536-540, 542-543Crossrate matrix evaluation, 310Cups and caps, in charting, 218, 227Currency miarket, 23, 213, 263, 390, 598and contract volume, 2