197, 201-east-squares sinusoidal, 54-55-egging-inflegging out, 328veverage, 1, 8, 21, 596-597and spreads, 312, 332~333ber Abaci (Fibonacci), 351mited-risk spread, 322incoln, Thomas H., 53near correlation, 42-45inear regression, 38-42, 44, 71near regression model, 60-61inear regression slope, 42, 155risk in, 102in trend system comparison, 100-118ine chart, 215ink relatives, in seasonality calculation,168-169iquidation:and bands, 92on Fridays, 408timing of, 126iquidiry, 1, 237, 384, 424, 589-590and day trading 420-421iquidity Data Bank, 458ivermore, Jesse, 283ivermore swing trading, 283-284ocation spread, 307, 312ocked-limit moves, 579-582ogarithmic curves, 48, 49ogical Informatica Machines, 343ong-term trend, 116, 122-123, 125, 575-376and accumulated average, 68and doubie sinoothing, 80in event trading, 342and seasonaliry, 165osing streaks, 587osses, 102, 125. See also Siop-lossesower partial moments, 22-S-O Price Channel trading system, 545-546,583-585ucas numbers, in Elliott Wave Theory, 356
MMACD, 128-130, 155, 466Macroeconomic theory, 36Major Price Trend Directional Indicator. SeeMPTDIMarginal probability, 24, 25Market(s), 4, 6, 22backwardation, 160breadth of, 237elasticity in, 31human element in, 294, 295, 334, 400nontrending motions in, 292and opinion, 346-350overbought/oversold, 131, 133, 158, 159personality of, 613selecting, 609-614tides in, 388trending versus sideways, 146, 209, 461Market Direction Indicator (MDD, 152Market Facilitation Index, 254-255Market Profile, 458-464Market risk, 587, 598Market Sentiment Index, 347Market waves, 467Market Wizards (Schwager), 5Markov chain, 25-28, 651-658Mart, Donald S., 99, 443Martingales, 567-568, 571-572Master Calculator, in Gann’s system, 369-370Master Chart of 360°, in Gann’s system, 370Master Trading Formula, The, 99, 444MathCad, for testing, 512Mathematical modeling, 3Matrix elimination, 46, 64Maximum adverse excursion, 593, 603Maximum drawdown, 593Maximum Entropy Spectral Analysis. See MESAMcClellan Oscillator, 244McGinley Dynamics, 441Mean, 4, 14-15, 17, 64Mean deviation, 16Media indicators, 337-338. See also NewsMedian, 14-17, 456Median price, 162Merrill, Arthur, 243MESA, 208-299MESA and Trading Market Cycles (Ehlers),208Message model, 59-60™ .MetaStock software, 3, 5,555, 558Midway gap, 226MU Price Caannel trading system, 545-546,583-585Minimum swing value (MSV), 285, 298Minor Trend Rule, 287-288Mode, 14-15, 17Models, 3, 34-36
 INDEX -
 
Modified Three-Crossover system, in testing,542-543,Momentum, 126-133, 154-158in adaptive techniques, 440, 444-446and lost motion, 214smoothing of, 144-147, 157-158of volume, 240-241Momentum index, 131, 133Momenmum indicator, 129, 130, 133by Blau, 144, 145and volume, 147~149Money flow index, 147Monte Carlo technique, 623-624Monthly average, 161, 162Moon phases, effect of, 376-378Moving average, 55-60, 65-73, 97, 102, 122-123in day trading, 426-427and momentum, 128in phasing, 210in price distribution zones, 452-453,for seasonal patterns, 169in spectral analysis, 207speed of, $73in trend systems, 116-123for volume analysis, 249-250Moving Average Convergence/Divergence. SeeMACDMoving Average with % Price Band, 546, 584-585MPTDI, 95-96Multivariate approximation, 51-55
NNational Association of Purchasing Managers(NAPM), 342N-bar breakout, 433N-day breakout:for intraday data, 433risk in, 102in trend system comparison, 100-118,540-542N-Day Rule, 289-290Negative-carry, 321Negative Volume Index (NVI), 242Net momentum oscillator, 135Neural networks. See Artificial neuraf networksNews; 2, 3, 334-338and buying behavior, 214and gaps, 225trading based on, 337unexpected, 338, 454, 562, 579New York Futures Exchange, 23New York Stock Exchange Composite Index, 23,312 -Nofri, Eugene, 293Noise, 33, 59, 62, 220, 357, 562in day trading, 423and fractal efficiency, 491
and price-value relationship, 146
profiting from, 575
in spectral analysis, 204, 208
and trading system, 613
and trend direction, 484-485
and triangular weighting, 71
and use of stop-loss, 605Nonlinear approximation, 45~48Nonseasonal markets, 188Nonseasonal years, 178-179, 181Normal carry, 321
°Observation model, 59-60On-Balance True Range, 482On-Balance Volume (OBV), 241-242, 248,254One-Way Formula, 292Opening calls, 337Opening range breakout, 433, 435Open interest, 2, 217, 237-239Optimal f 623-626Optimization, 503-504, 527, 531, 533continuous test series for, 506, 510of crossover test, 538of Directional Movement system, 611-612hardware for, 558mathematical, 508~5091-dimensional, 505and price shocks, 565results of, 520sample, 547-548sequential, 509by steepest descent, 510and test range, 5232-dimensional, 505, 509worst results, profiting from, 530-531Oscillator(s), 133-147, 157in First Cross system, 99to identify cycle, 193trend-adjusted, 445and volume, 249, 250Outliers, in data, 557Outside days, 267, 268 -with outside close, 29-4Outside paper, 458Cverbought market, 131, 133, 323and Bullish Consensus, 348indicators of, 140, 158, 159Overnight gaps, 424Oversold market, 131, 133, 323and Builish Consensus, 348indicators of, 140, 158, 159
PPaper trading, 559Parabolic curve, 45<|end|>