6–7, 137–9, 147–8,183, 190–9, 202–13, 218–33, 254–6,259, 274–7, 283–5see also exit . . .sensitivity analysis, artificial neuralnetworks 226Shapiro-Wilk’s normality testconcepts 38, 158–9, 377definition 377Sharpe’s ratioconcepts 164, 206, 219, 255–9, 275,283–5, 377definition 164, 377Shell 45short-term trading 192–9, 202–3, 205–13,238–9, 294–5Siemens 203Silver ETF (SLV) 48–50, 55, 59, 61–3,95–107, 125, 134–8, 175–87, 244–5,250, 291small positions, big price moves 357Smarter Trading (Kaufman) 173smoothing splinessee also regressionconcepts 39softwaresee also telecommunicationsdevelopmentsartificial neural networks 25, 154–5,168–71, 215, 221–33, 357–65,371back-testing 152–3trading systems 149–51, 152–3Sonntag, Susan 69Soros, George 278South Africa 285, 292soybeans 59–61, 249SPDR . . . 93, 253–9Spearman’s rank correlation coefficientsee also correlationassumptions 19–20concepts 19–20, 86–7examples 20, 22, 69–83, 86–7
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Excel examples 20, 22formula 20speculators, carry trade money 4, 268–77SPSS 181SPX see S&P 500Standard & Poor’s 61see also S&P . . .standard deviations 11–15, 17–31, 70–83,123–4, 130–1, 163–5, 205–13, 218,274–7, 279–85, 377–8, 381see also riskdefinition 377–8formula 378risk metrics 163–5risk-adjusted returns 163, 209–13, 218,259, 275–7, 283–5, 377Z-score divergence 130–1, 177, 184–7,312–14standardized regression coefficients136–8static asset allocations, concepts 3–15, 247,254–60, 294STDEV . . . 12, 161–2, 381Sterling ratioconcepts 164definition 164, 378STOCH . . . 381stochastic tunnelling approachsee also Monte Carlo Simulationconcepts 153–4stochastics oscillator 140, 179, 192, 196–9,203–13, 218–33, 242, 253–60, 378,381definition 378stock index futuresconcepts 111–19, 378definition 378US/European correlation analysis116–19stocks 7–8, 9–15, 77–83, 86–7, 111–19,201–13, 235–46, 295, 337–9, 378conclusions 295DAX correlations 86–7, 201–13diversification 10–15, 247–60economic cycles 7–8gold trading 235–46, 335, 339–41
409
intermarket systems 235–46, 295oil trading 235–46, 337–9S&P 500 correlations 82–3, 235–44stop-loss conditionsadvantages 166–7concepts 165–7, 180–1, 187, 192–9, 232,259, 273–7, 281–5disadvantages 166–7, 232time factors 165types 165–6STXX50 see Dow Jones Stoxx 50 indexsub prime mortgage crisis 27sugar 59–61, 249, 259Support Vector Machines (SVMs) 39SVMs see Support Vector MachinesSwedish krona 50–5Swiss franc (CHF) 50–5, 249, 262symbols, international indices 46–50system traderssee also technical analysis; tradingsystemsconcepts 147–73t-testsconcepts 158–62, 378definition 378trading system evaluations 158–62tails 27–30, 38Tankan quarterly survey, Japan 267target formula, rectangles 167–8,369–70TDIST function, Excel 159–62TecDAX 41–2, 86technical analysisclassic trendlines 122–3concepts 6–7, 121–7, 147–8, 294–5,367–70conclusions 294–5discretionary traders 147–8fourteen technical systems for tradinggold 78, 175–87rectangles 167–8, 367–70system traders 147–8Technical Analysis of STOCKS &COMMODITIES (Harris) 156, 167,241, 271
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Technical Trader’s Guide to ComputerAnalysis of the Futures Markets(Lebeau and Lucas) 173Telechart 190telecommunications developmentssee also softwareintegrated markets 3, 4, 10–11Templeton Dragon Fund (TDF) 251, 258temporary pullbacks 140–1, 218–33three-dimensional scatterplotssee also multiple regressionconcepts 36–8time factors 89–92, 106–9, 111–19, 166,194–9, 217–33, 247–60, 293–5see also intraday . . .conclusions 293–5DAX 89–92, 111–19, 210–13dynamic asset allocations 247–60, 294Efficient Market Theory 148forex 262gold 106–9stop-loss conditions 165time stop condition, concepts 166time zones 116–19titanium minerals 291TNX see CBOE 10 Year Treasury YieldIndexTokyo Stock Exchange (TSE) 45–6see also Japantops 65–7, 100–1, 122–3Total 57total daily drawdown, concepts 162total net profitartificial neural networks 225–33trading system evaluations 155, 176–87,191–9, 205–13, 225–33, 237–46,255–9, 274–7, 283–5trade balance factors, forex 265–6, 269,288–9‘tradeable proxy’ 175–6Tradecision 169TradersStudio 151, 154–5, 169TradeSim 203–13, 236–44, 331–2, 337–9,341–2, 368–70, 378see also MetaStockDAX 203–13, 331
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ETF system 344–5FUTURES system 341–2oil stocks 236–44, 337–9rectangles 368–70Tradestation 151, 153trading hours 42–50, 76–7, 262, 263,271–2Trading Solutions 169trading specifications, artificial neuralnetworks 229–30trading strategies, artificial neural networks168–71, 215, 221–33, 360–5trading systemsartificial neural networks 25, 154–5,168–71, 215, 221–33, 357–65, 371back-testing 148–55, 217–33benefits 147–8concepts 147–73, 179–81, 215–33,235–46, 262, 293–5, 360–5conclusions 293–5countertrend systems 179–87‘cut your losses and let your profits run’principle 167, 295design concepts 147–73, 179–81, 211–13discretionary traders 147–8drawdown 161–5, 176–87, 191–9,205–13, 219–33, 237–46, 274–7, 295,372emotions 147, 161, 166, 173, 295fourteen technical systems for tradinggold 78, 175–87fuzzy logic 171–2money management 168, 194, 295optimization factors 149–55, 172–3,204–13, 215–33profit targets 167–8, 295, 369–70profitability evaluations 155–62, 166–7,175–87, 191–9, 205–13, 217–33,236–46, 271–7, 283–5risk metrics 163–5, 176–87software considerations 149–51, 152–3stop-loss conditions 165–7, 180–1, 187,192–9, 232, 259, 273–7, 281–5t-test evaluations 158–62trend-following systems 179–81, 262,279–85
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trailing stop-loss condition, concepts 165–6,273–7trailing stops, definition 378training aspects, artificial neural networks168–71, 172, 223–33Treasury Bonds 8, 37, 55, 77–82, 88–92,95–9, 135, 269–77see also bonds‘the trend is your friend’ maxim 262trend-following systems, concepts 179–81,262, 279–85trending movements, market movements139–43, 179–81, 211–13True Range indicator 371–2TSE see Tokyo Stock ExchangeTwain, Mark 201–13UKeuro opt-out 277GBP 13–14, 53–5, 58, 216–33, 249, 262,268, 278–91GBP/USD 13–14, 262Ulcer Index, concepts 165uncertainty, benefits 85uncorrelated asset classessee also negative correlationconcepts 11–15, 294unemployment index 7‘uptick rule’, abolition 26–9, 47–8uranium 291US 4–6, 9, 20–6, 41, 47–51, 69–83, 95–9,116–19, 194–9, 249, 262–92, 302,348–55AUD/USD 55, 262, 289–91EUR/USD 262, 283–6, 355GBP/USD 13–14, 262intraday correlations 116–19, 189–99leading/lagging analysis 116–19Michigan sentiment figures 267USD/JPY 4–5, 95–9, 249, 262–92,348–55US Eastern time (EST) 47–50, 196–9US markets, times of the day 7USD, Euro (EURO-USD) dailyMA-intermarket system 355USD/CAD 262
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USD/CHF 262USD/JPY 4–5, 79–82, 95–9, 249, 262–92,348–55UTY 37–8Valero Energy 57variancesee also standard deviationscovariance 17–31, 372homoscedasticity 31VDAX 42VDAX-NEW 42venture 135–8vertical horizontal filter (VHF)concepts 140–3formula 141VFI see Volume Flow IndicatorVHF see vertical horizontal filterVince’s optimal f 168VIX see CBOE Volatility Indexvolatility 13–14, 15, 26–7, 37–8, 42, 46–51,59–60, 63–7, 72–6, 164–5, 241, 271–7,294, 374forex 263, 271–7international indices 46–50risk 13–14, 15VIX 37–8, 42, 63–7, 72–6, 77–83volatility stops, concepts 166, 198–9Volume Flow Indicator (VFI)concepts 127–8, 241–2, 254–60, 379definition 379VXD 64see also CBOE Volatility IndexVXN 64see also CBOE Volatility IndexW test see Shapiro-Wilk’s normality testwalk forward testing, concepts 150–1Wealth-Lab Developer software 154, 169wheat 51–61, 249Wilder, J Welles 281Wilder’s parabolic stop and reverseindicator, concepts 166, 281–5Wilder’s Relative Strength Index 122,140–1see also relative strength
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Williams Oscillator 66–7Winning on Wall Street (Zweig) 77wisdom, fear 41, 215World Gold Index 95–107, 302World Silver Index (XSLV) 104,175–87XAU see Philadelphia Exchange (PHLX)Gold and Silver Sector IndexXOI see Amex Oil IndexXSLV see World Silver IndexY-Intercept formula 128yen 4–5, 36–8, 50–1, 53–5, 58, 79–82,95–9, 134–8, 249, 262–92,348–55see also JapanAUD 287–8, 289–91carry trade 4, 268–77, 287–8correlations 269–77daily intermarket volatility system348–50euro 269–71, 278–85evaluation of test results 274–7Index compiled by Terry Halliday
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futures (GLOBEX:6J) daily intermarketvolatility system 350–2gold 95–9MetaStock code 348–55multiple regression 36–8S&P 500 79–82, 269–77testing procedures 271–4trading 268–77USD/JPY 4–5, 79–82, 95–9, 249,262–92, 348–55(USDYEN) daily intermarket regressionsystem 79–82, 352–5yieldssee also bondsS&P 500 77–82, 269–77Z-score divergenceconcepts 130–1, 177, 184–7, 312–14definition 130formula 130MetaStock code 312–14zinc 291zircon 291Zweig, Martin 77
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