37and day trading, 421and price distribution, 454and seasonality, 182, 188and volatilicy, 423, 471Curve fitting, 45-55Curvilinear model, 45-48Customer trade indicator (CTI), 4Cycle(s), 37. See also Cycle analysis,behavioral, 189, 208
 
 
 
 
 
  
690
Cycle(s) (Continued): :and computer use, 281and moving averages, 67
Cycle analysis, 2, 54, 189-212Fourier analysis, 202-203MESA, 208-209and phasing, 210-212spectral analysis, 203-208trigonometric single-frequency, 194-201trigonometric two-frequency, 201-203turning points in, 209-210
D
Daily HiLo Activator, 469
Daily range, 421, 424
Daily raw figure (DRF), 140
Data:archiving, 557bias in, 10, 68, 254, 519, 524, 537choice of, 7, 10, 18, 37-38, 52, 53, 204, 559detrending of (see Detrendingyerror in, 10-11, 39, 45, 557historic, 62, 520-521, 547-550, 554, 556intraday, 556out-of-sample, 517-519, 521, 554patterns in, 190for standard deviation, 449for testing, 506-508, 517, 521time frame of, 7, 188in trend calculation, 62updates of, 557
Data feeds, 5, 419, 556
Data reduction, 556
Davis, Robert E., 259, 275, 534
Day trading, 419-435computer use in, 419intraday breakout systems for, 432-435and liquidity, 420-421and slippage costs, 421-422supportresistance levels in, 428-429Taylor method of, 430-432techniques for, 423-428and testing, 551 _~and trading range, 482transaction costs in, 419-420and volatility, 422-423
Deceleration, 126, 154
Deflators, 36, 521
Deleveraging, 8
Delivery monzh spread, 317
Demand, 29-31. See also Supply and demandand mass psychology, 214temporacy, 160
Demand. curve, 30
Demand index, 243, 249
Demand Oscillator, 243
DeMark, Tom, 297, 302-303, 383-384
INDEX
DeMark’s sequential, 302-304Derivative, 149Deseasonalizing, 172, 190, 210Detrending:in ARIMA method, 56, 58for cycle identification, 190, 193~194, 197,210in seasonality calculation, 162, 166in spectral analysis, 204, 206-207Deutschemark (Germany), 23, 253, 394de Villiers, Victor, 256Dev-stop, 604Differentiation:in trigonometric price analysis, 196in velocity calculation, 149, 150Diminishing marginal utility, 587Directional Index, 153Directional indicator, 546, 584-585, 610, 612Directional Movement, 99, 152, 443, 545-546,584-585in market selection process, 609-613optimizing, 611-612,Directional Parabolic stop (DPS), 153Directional Parabolic System, 152-153, 443,545-546Disinflation, 190Dispersion, 16Distribution, 13-18in charting, 216, 217Divergence, 126, 154-157Diversification, 7, 586, 590, 598-603advantage of, 123-125and market type, 598-599and portfolio management, 600-603and profitability, 600and system type, 599Dollar (U.S.), value of, 317, 578, 599and prices, effect on, 35in regression analysis, 49Donchian’s 5- and 20-Day Moving Average, 119Double-smoothed stochastic, 145Double-smoothing, 67, 77-80Blau’s, 80, 81‘of momentum, 144-147, 157-158Double thrust, 292Dow, Charles H., 2, 215, 256Dow Jones Industrial Averages (DJIA), 22, $4,154, 312 -and financial astrology, 372-374and the news, 335supercycle in, 357-358Downswing, in Thrust Method, 291Dow Theory (Rhea), 215, 291Dow Theory, 216-217, 290, 291Drawdown, 22, 522maximum, 593Drop-off effect, 74-75
 
INDEX
Dual Moving Average Crossover trading system,
546, 584, 585Dunnigan, William, 290, 294Dynamic capital allocation, 600Dynamic Momentum Index (DMD, 446Dynamic time (DT), in financial astrology, 377
EEasy Language (Omega), 8for gap analysis, 398-399for intraday breakout system, 424for Kaufman's Adaptive Maving Average, 438for key reversal, 226for Parabolic Time/Price System, 443444and probability model, 250-251for swing high/low, 285-286for trend system, 107-116for volatility filter, 479-482for volume indicators, 244, 246-248for weekend pattern study, 409-412for weighted average, 70Econometrics, 3, 29, 281, 417Economic reports, effect of, 7, 335, 336, 340,394Efficiency ratio (ER), 437, 445, 491, 613-614Efficient Market Hypothesis, 339Ehlers, John, 208-209Ehrlich Cycle Finder, 190, 200-201Elasticity, 30-31Elastic Theory, 224Elder, Dr. Alexander, 466, 625Elder-ray, in Triple-Screen system, 467Electronic trading, 419Elliott, R.N., 294-296, 334, 353, 356Elliott wave oscillator (EWO), 359Elliott Wave Theory, 294-296, 353-361 —Encyclopedia of Technical Market Indicators,The (Colby and Meyers), 4, 534Enterex Commodities, 95Entropy, 208Entry delay, 90Entry points, 90, 94-96, 220and classic swing method, 283in intraday breakout system, 433and momentum, 130, 159and pivot points, 227in point-and-figure charting, 264-266and risk, 603in Trident system, 296-297Episodic patterns, 227-228Equilibrium, 31-33, 239, 249, 305Bquity, 21-22, 619Equity analysis, 63Equity cycles, 619-623Equity drop ratio (EDR), 594Equity profile, 614Equivolume, 240
691
Error, 10, 39in ARIMA solution, 57-58in regression analysis, 45Error analysis, 63-66Eurodollar:and day trading, 421trading volume of, 216, 251in trend system comparison, 102-107volatility of, 613European Union, 6Event day, 338, 341Event Trading (Warwick), 341Event trading, 334, 338-344and presidential elections, 343-344Excel software (Microsoft), 5, 8Exhaustion gap, 226Exit points, 90, 94-95, 125, 531in DeMark’s sequential, 302-304in intraday breakout system, 433in point-and-figure charting, 264in Trident system, 296-297Expert system, 485-488Exponential smoothing, 56, 71, 75-88, 209in adaptive techniques, 436-438double, 67, 77-81risk with, 102in trend system comparison, 100-118.triple, 97-98Extraordinary Popular Delusions and the Mad-ness of Crowds (Mackay), 214, 224-Extreme reversal, 414
FFalse breakout, 7, 92, 219, 264False signal, 90, 220Fast Fourier Transform, 206, 669-672 -Feedback, 502in testing, 518Fibonacci, Leonardo, 351Fibonacci-Lucas (FL) series, 356-357, 361Fibonacci ratio, 294, 295, 297, 334, 351-352in DeMark’s system, 363in Elliott Wave Theory, 361in Golden Section Compass system, 363in Krausz’s system, 468Fibonacci summation series, 295, 334, 351-353in Elliott Wave Theory, 356-358Fibonacci Trader program, 468-470(Fifty) 50-miute HiLo Activator, 470Filtering, 7, 102, 366, 573in Livermore system, 283reversal patterns as, 460and volatility, 477-482in volume interpretation, 253-254
 
_ Financial Analysts Journal, The, 3,5
Financial astrology, 334, 371-381aspects in, 375
Fn LS CS, RE a a SS TT TT — - 
692
Financial astrology (Continued):Jupiter-Saturn cycle, 372-374moon in, 376-378, 380-381solar eclipse in, 379-380Financial markets, 22, 213, 263carrying charges in, 321and seasonality, 182, 188and spreads, 305, 317trading limits in, 579Financials, 598Fine-tuning:of forecasting models, 34of trading systems, 503, 554, 559First Cross system, 99-100First differences, 151-152, 157, 166First-order equation, 39, 45Fischer, Robert, 363Flag price objective, 231, 232Force Index, in Triple-Screen system, 467Forecast error, 56, 95Forecast Index, 251+Forecasting, 1, 2, 62, 292ARIMA method, 55, 58-59charts in, 213and models, 34-36, 53of price, 383, 453probability in, 24and regression analysis, 44-45, 48-49Forecasting Commodity Prices with VerticalLine Charts (Jiler), 216, 239Forecast oscillator, 145-146Foreign exchange rates:and arbitrage, 305, 307, 309-310and the news, 454volatility of, 423Forward chaining, in expert system, 486Fourier, John Baptiste Joseph, 202Fourier analysis, 54, 189, 202-208Fourier power spectrum, 206, 207Four-Week Rule, 288Fractal dimension, 491Fractal efficiency, 437,491 -Fractal geometry, 490-491Frequency, in cycles, 193, 194Frequency distribution, 14in price distribution, 449, 454458 ~versus standard deviation, 18-19Front-loaded weighted moving average, 68-69Fundamental analysis, 1-2, 548, 599Futures Industry Commodity Trading Advisors(CTAs), 21Futures magazine, $Futures market, 1, 22, 237, 259-261,598carrying charges in, 321and gambling strategies, 569-571and leverage, 596and moon phases, 376
 
INDEX
and the news, 336
and profits, 615
spreads in, 305, 308-309, 312volume in, 237, 239, 240
and weekday patterns, 401
Fuzzy logic, 488-490
GGambling Theory, 365-566, 595Game in Wall Street and How to Play ItSuccessfully, The (Hoyle), 256Gann, WD., 214, 292, 294-296, 334Gann's system, 468and geometric angles, 367and lost motion, 366, 369squaring of price and time, 367, 369time charts, 369-370time and price for, 367, 372Gaps, in charting, 218, 225-226Gap analysis, 387, 394-399, 424Genetic algorithm, 498-502, 554Geocentric system, in financial astrology, 375Geometric mean, 12, 15, 20, 74Geometric moving average, 74Getting Started in Futures (Lofton), 5Globalization:and cycles, 160, 188and interest rates, 307and markets, 6and portfolio management, 600and prices, 34, 390GLOBEX/S&P Fair Value Program, 320Gold, 50, 332, 454, 472, 474Golden Ratio, 295Golden rectangle, 361Golden Section Compass (GSC) system,363-366Golden sections, 351Golden spiral, 352, 361Golden triangle, 361Gold/silver ratio, 316-317, 330Goodness of fit, 45Gould, Bruce, 451Gould, Edson, 363Government regulation, 215Grand rush, 214. —Granville, Joseph, 241Group charts, 301 -~Group of 7 (G7), 307Grushcow and’ Smith seasonality scedy, 182
 
 
H
Hadady, R. Earl, 347, 349
Hamilton, William P, 215
Handbook of Futures Markets (Kaufman), 218Handmaker, David, 177
Harmonic mean, 13, 15
INDEX
693
 
Harmonics, 189, 372Head-and-shoulders formation, 134, 213, 218,221-223and price objective, 229, 270trading rules for, 222-223Heating oil:and gap analysis, 398and seasonality, 161, 164, 172, 176-177Hedging, 120, 346, 582Henderson's weighted moving average, 171Herrick Payoff Index (HP}), 148Heuristic programming, 417-418Hexagon Chart, in Gann's system, 370Histogram, 129Holding period rate of return, 20Holiday patterns, 412Horizontal count, in point-and-figure charting,268-270, 301How I Made One Million Dollars... LastYear... Trading Commodities (Williams),143
How to Make Money in Commodities (Keltner),
97, 287
Human behavior:and astrology, 371in Elliott Wave Theory, 353 ~and Fibonacci series, 351, 353, 363in Gann’s system, 367market effect of, 294, 295, 334, 400reflected in charts, 213, 214, 334
1Ifthen-else rules, 485Independent smoothing, 91Index, 1, 22-23, 237, 277 -Index of Seasonal Variation, 169Indicators, 4leading, 144, 413limitations of, 158-159in media, 337-338Inelastic demand, 29Inference engine, 417, 485Inflation:in Dow Theory, 217and price, 29, 456 .in regression analysis, 49and seasonal price adjustraent, 168-169and slow trends, 125Inftation/disinfiation index, 53Inflation funds, 582Inilators, 36, $21Instantaneous velocity, 149Interbank market, 50Intercrop spread, 317-319Interest care parity theorem, 309Interest rates, 213, 263, 598, 599and compounded growth, 20
and day trading, 421and event trading, 341-342implied, 321, 322and price distribution, 454in regression analysis, 49and uptrends, 125and volatility, 471Intermarket financial spread, 317Intermarket Technical Analysis (Murphey), 4,312International Monetary Fund (IME), 316International Monetary Market (IMM), 23, 225,310, 333, 390Internet, 5, 556Intraday breakout systems, 432434, 467Intraday intervals, 428Intraday trading platform, 556Intraday trend, 414, 426Intramarket spread, 317Inventories, 36Inverted market, 321Investment amount, 623-626Island reversal, 226, 227, 304
J
Jackson, J.T., 451
January effect on market, 413, 414
Japanese Candlestick Charting Techniques(ison), 233
Jenkins, G.M., 55, 56
Filer, William L., 213, 344
Joint probability, 24
Julian Ephemeris Days (JDE), in financialastrology, 377
Jupiter-Sacurn cycle, 372-374
K
Kalman filters, 59-60
Kase, Cynthia, 604
Kaufman, Perry J., 261
Kaufman's Adaptive Moving Average (KAMA),436-438, 604
Kelly Betting System, 624
Keltner, Chester W, 97, 287
Key, Frank, 445
Key reversal day, 226-227, 294 -
Knowledge base, 417, 485 \
Kondratieff, Nicolai, 190
Kondratieff wave, 190, 193, 352, 372
Krausz, Robert, 468
Kurtosis, 18
L
Lag, 57, 62 -in cycle identification, 194 _and exponential smoothing, 77, 81-83with moving averages, 70, 71, 73, 210, 450
                              
ree-Crossover system, in testing,3, 126-133, 154-158re techniques, 440, 444-446jotion, 214ig of, 144-147, 157-158, 240-241index, 131, 133indicator, 129, 130, 133144, 145,e, 147-149index, 147p technique, 623-624rage, 161, 162s, effect of, 376-378Be, 55-60, 65-73, 97, 102, 122-123ding, 426-427hentum, 128lg, 210histribution zones, 452-453lnal patterns, 169pl analysis, 207573bystems, 116-123e analysis, 249-250age Convergence/Divergence. See
rage with % Price Band, 546, 584-58596approximation, 51-55,
sociation of Purchasing Managers
Hay data, 433lozlsystem comparison, 100-118,
, 289-290y 321blume Index (NVI), 242tum oscillator, 135bvorks. See Artificial neural networks334-338g behavior, 214, 225based on, 337ted, 338, 454, 562, 579‘utures Exchange, 23Brock Exchange Composite Index, 23,
ne, 29359, 62, 220, 357, 562hhding, 423
| efficiency, 491
695
and price-value relationship, 146
profiting from, 575
in spectral analysis, 204, 208,
and trading system, 613
and trend direction, 484485
and triangular weighting, 71
and use of stop-loss, 605Nonlinear approximation, 45—48Nonseasonal markets, 188Nonseasonal years, 178-179, 182Normal 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, 565resuits 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, 99 ito identify cycle, 193trend-adjusted, 445and volume, 249, 250Outliers, in data, 557 [Outside days, 267, 268 -with outside close, 294Outside paper, 458 ~Overbought market, 131, 133, 323
 
 
 
and Bullish Consensus, 348 Edicators of, 140, 158, 159 hOvernight gaps, 424 ifOversold market, 131, 133, 323 iand Bullish Consensus, 348 | HSindicators of, 140, 158, 159 if
| Be
PpPaper trading, 559Parabolic curve, 45
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