seasonality calculations,168-169Chande, Tushar, 438 ©Channel: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, 490Chartcraft, 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, 298-300combinations 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, 333,390INDEX
689
 
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, 216wholesale price index peaks, 352Commodities magazine, 95, 140Commodity Cycle Index (CCI), 209-210Commodity prices:distributions of, 14, 17and production costs, 18, 454and seasonality, 182Commodity Research Bureau, 213Commodity Selection Index (CSI), 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, 486for Fast Fourier Transform, 206in financial astrology, 371, 375, 397hardware for, 558 -for matrix elimination, 46and neural networks, 493and price shock identification, 564programming in, 290, 538-559for seasonality determirfation, 161system similarity with, 583-385and testing, 120, 503, 506, 508, 536, 548,551
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 multivariate approximation, 53, 54Contango, 321ContiCommodity, 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, 59, 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 market, 23, 213, 263, 390, 598and contract volume, 237and day trading, 421and price distribution, 454and seasonality, 182, 188and volatilicy, 423, 471Curve fitting, 45-55Curvilinear model, 45-48Customer trade indicator (CT{), 458Cycle(s), 37. See also Cycle analysis; Seasonalitybehavioral, 189, 208690
INDEX
OO
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, 203-208trigonomenric 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 Detrending)error 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, 4220-421and slippage costs, 421~422support/resistance 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, 214temporary, 160
Demand curve, 30
Demand index, 243, 249
Demand Oscillator, 243
DeMark, Tom, 297, 302-303, 333-384
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, $46, 584-585, 610, 612Directional Movement, 99, 152, 443, 545-546,584-585 .in 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, 81of momentum, 144-147, 157-158Double thrust, 292Dow, Charles H., 2, 215, 256Dow Jones Industrial Averages (DJIA), 22, 54,154, 312 -and financial astrology, 372-374and the news, 335supercycle in, 357-358LDownswing, in Thrust Method, 291Dow Theory (Rhea), 215, 291Dow Theory, 216-217, 290, 291Drawdown, 22, 522maximum, 593Drop-off effect, 74-75INDEX
691
 
Dual Moving Average Crossover trading system,
546, 584, 585Dunnigan, William, 290, 294Dynamic capital allocation, 600Dynamic Momentum index (DMI), 446Dynamic time (DT), in financial astrology, 377
EEasy Language (Omega), 8for gap analysis, 398-399for intraday breakout system, 424for Kaufman’s Adaptive Moving Average, 438for key reversal, 226for Parabolic Time/Price System, 443-444and 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, 419Elliot, 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, 305Equity, 21-22, 619Equity analysis, 63Equity cycles, 619-623Equity drop ratio (EDR), 594Equity profile, 614Equivolume, 240
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, 3-41Event 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, 100-118triple, 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 prograin, 468-470(Fifty) 50-minute HiLo Activator, 470Filtering, 7, 102, 366, 573in Livermore system, 283reversai patterns as, 400and volatility, 477-482in voiume interpretation, 253-254
_ Financial Analysts Journal, The, 3,5
Financial astrology, 334, 371-381aspects in, 375692
INDE
—_—
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, 166.First-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, 454-458versus standard deviation, 18-19Front-loaded weighted moving average, 68-69Fundamental analysis, 1-2, 548, 599Futures Industry Commodity Trading Advisors(CTAs), 23Futures magazine, 5Futures market, 1, 22, 237, 259-261,.598carrying charges in, 321and gambling strategies, 569-571and leverage, 596and moon phases, 376
and the news, 336
and profits, 615
spreads in, 305, 308-309, 312
volume in, 237, 239, 240
and weekday patterns, 401Fuzzy logic, 488-490
GGambling Theory, 565-566, 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, $0, 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, 45 .Gould, Bruce, 451Gould, Edson, 363Government regulation, 215Grand rush, 214 —Granville, Joseph, 241Group charts, 301-7Group of 7 (G7), 307Grushcow and Smith seasonality scudy, 182
H
Hadady, R. Earl, 347, 349
Hamilton, William P, 215
Handbook of Futures Markets (Kaufman), 218tandmaker, David, 177
Harmonic mean, 13, 15INDEX
 
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 (HPI), 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),143How to Make Money in Commodities (Kelmer),97, 287Human 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
!If-then-else rules, 485Independent smoothing, 91Index, 1, 22-23, 237, 277Index of Seasonal Variation, 169Indicators, 4leading, 144, 413limitations of, 158-159in media, 337-338Inelastic demand, 29Inference engine, 417, 485Inflation:in Dow Theory, 217and price, 29, 456in zegression analysis, 49and seasonal price adjustment, 166-169and slow trends, 125laflation/disinflation index, 53Inflation funds, 582Inilators, 36, 521Instantaneous velocity, 149Interbank market, 50Intercrop spread, 317-319Interest rat 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 (IMF), 316International Monetary Market (IMM), 23, 225,310, 333, 390Internet, 5, 556Intraday breakout systems, 432-434, 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(Nison), 233
Jenkins, G.M., 55, 56
Jiler, William L., 213, 344
Joint probability, 24
Julian Ephemeris Days (JDE), in financialastrology, 377
Jupiter-Saturn 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
Xey, Frank, 445
Key reversai day, 226-227, 294
Knowledge base, 417, 485
Kondratieff, Nicolai, 190
Kondratieff wave, 190, 193, 352, 372
Krausz, Robert, 468
Kurtosis, 18L-Lag, 57, 62
in cycle identification, 194 _and exponential smoothing, 77, 81-83with moving averages, 70, 71, 73, 210, 450594
IND
LL ”™
Lag (Continued):and regression strategy, 60in trend systems, 89, 90, 98Lag window, in spectral analysis, 206Lambert, Donald R., 152, 209Lane, George, 135vaw of addition, 24aw of averages, 9-10aw of multiplications, 24.aw of Proportion, 294-296.ead, 70, 71, 90-eading indicator:January as, 413oscillator as, 144-east-squares method, 39-42, 46-48, 51, 63-65,634-650in cycle analysis,