Trading systems and methods:
"For more than two decades, futures traders have turned to the classic Trading Systems and Methods for complete information about the latest, most successful indicators, programs, algorithms, and systems. Now, this newly revised and expanded Third Edition continues that tradition, including man...
Gespeichert in:
| Vorheriger Titel: | Kaufman, Perry J. The new commodity trading systems and methods |
|---|---|
| 1. Verfasser: | |
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York [u.a.]
Wiley
1998
|
| Ausgabe: | 3. ed. |
| Schriftenreihe: | Wiley trading advantage
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Zusammenfassung: | "For more than two decades, futures traders have turned to the classic Trading Systems and Methods for complete information about the latest, most successful indicators, programs, algorithms, and systems. Now, this newly revised and expanded Third Edition continues that tradition, including many new approaches and covering the latest developments in the continuously evolving equipment and techniques for trading futures markets." "Perry J. Kaufman, a leading futures expert highly respected for his years of experience in research and trading, has thoroughly rewritten and updated his bestselling guide, which remains the most comprehensive and instructional book on trading systems today. This detailed, hands-on manual offers a thorough analysis, using a systematic approach and including explanations of each method of calculation or operation. Kaufman explores both the good and bad features of each trading technique, explaining why a trading system or method works or doesn't work, how to select features that fit the trader's needs best, and how to test a system to achieve a sound trading program." "Since the early '70s, Kaufman has been devoted to futures research, with a particular emphasis on computer applications. He includes computer programs and spreadsheet code to implement each system and method, in addition to the mathematics involved. Where other books fall short, Kaufman's reference makes it possible for traders and analysts to program the systems themselves, changing the programs as they see fit and applying the techniques to their own styles and trading tools." "Trading Systems and Methods continues to be the single best resource for the trader or market analyst who wants to create or choose a successful trading system. Book jacket."--BOOK JACKET. |
| Beschreibung: | Frühere Ausg. u.d.T.: The new commodity trading systems and methods |
| Beschreibung: | XV, 703 S. graph. Darst. |
| ISBN: | 0471148792 |
Internformat
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| 520 | 1 | |a "For more than two decades, futures traders have turned to the classic Trading Systems and Methods for complete information about the latest, most successful indicators, programs, algorithms, and systems. Now, this newly revised and expanded Third Edition continues that tradition, including many new approaches and covering the latest developments in the continuously evolving equipment and techniques for trading futures markets." "Perry J. Kaufman, a leading futures expert highly respected for his years of experience in research and trading, has thoroughly rewritten and updated his bestselling guide, which remains the most comprehensive and instructional book on trading systems today. This detailed, hands-on manual offers a thorough analysis, using a systematic approach and including explanations of each method of calculation or operation. Kaufman explores both the good and bad features of each trading technique, explaining why a trading system or method works or doesn't work, how to select features that fit the trader's needs best, and how to test a system to achieve a sound trading program." "Since the early '70s, Kaufman has been devoted to futures research, with a particular emphasis on computer applications. He includes computer programs and spreadsheet code to implement each system and method, in addition to the mathematics involved. Where other books fall short, Kaufman's reference makes it possible for traders and analysts to program the systems themselves, changing the programs as they see fit and applying the techniques to their own styles and trading tools." "Trading Systems and Methods continues to be the single best resource for the trader or market analyst who wants to create or choose a successful trading system. Book jacket."--BOOK JACKET. | |
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Datensatz im Suchindex
| _version_ | 1804127133093593088 |
|---|---|
| adam_text | Contents
PREFACE: CLOSING THE GAP BETWEEN EXPECTATIONS AND REALITY xiii
1 INTRODUCTION 1
Technical versus Fundamental 2
Professional and Amateur 2
Random Walk 3
Background Material 4
Research Skills 5
Objectives of This Book 6
Profile of a Trading System 6
A Word on Notation Used in This Book 8
2 BASIC CONCEPTS 9
About Data and Averaging 9
On the Average jj
Distribution 13
Dispersion and Skewness 26
Standardizing Returns and Risk 20
The Index 22
Probability 23
Supply and Demand 29
3 REGRESSION ANALYSIS 37
Characteristics of the Price Data 3 7
Linear Regression 38
Method of Least Squares 39
Linear Correlation 42
Nonlinear Approximations for Two Variables 45
Second Order Least Squares 46
Evaluation of 2 Variable Techniques 48
Multivariate Approximations 5/
ARIMA 55
Linear Regression Model 60
4 TREND CALCULATIONS 62
Forecasting and Following 62
Least Squares Model 63
The Moving Average 65
Geometric Moving Averages 74
Drop Off Effect 74
viii CONTENTS
Exponential Smoothing 75
Relating Exponential Smoothing and Standard Moving Averages 81
5 TREND SYSTEMS 89
Basic Buy and Sell Signals 89
Bands and Channels i /s 90
Applications of Single Trends 95
Comparison of Major Trend Systems 100
Techniques Using Two Trendlines 116
Comprehensive Studies 120
, Selecting the Right Moving Average 120
Moving Average Sequences: Signal Progression 122
Living with a Trend Following Philosophy 123
6 MOMENTUM AND OSCILLATORS 126
Momentum 126
Oscillators 133
Double Smoothed Momentum 144
Adding Volume to Momentum 147
Velocity and Acceleration 149
Other Rate of Change Indicators 152
Momentum Divergence 154
Momentum Smoothing 157
Some Final Comments on Momentum 158
7 SEASONALITY 160
A Consistent Factor 160
The Seasonal Pattern 161
Popular Methods for Calculating Seasonality 161
Weather Sensitivity 174
Seasonal Filters 176
Common Sense and Seasonality 188
8 CYCLE ANALYSIS 189
Cycle Basics 189
Uncovering the Cycle 193
Maximum Entropy 208
Cycle Channel Index 209
Phasing 210
9 CHARTING 213
Finding Consistent Patterns 214
Interpreting the Bar Chart 215
Chart Formations 217
Basic Trading Rules 218
Tops and Bottoms 221
Gaps 225
Key Reversal Days 226
Episodic Patterns 227
Price Objectives for Bar Charting 228
CONTENTS ix
Candlestick Charts 232
Using the Bar Chart 234
10 VOLUME, OPEN INTEREST, AND BREADTH 237
Contract Volume versus Total Volume 23 7
Variations from the Normal Patterns 238
Standard Interpretation 239
Volume Indicators 240
Interpreting Volume Systematically 249
An Integrated Probability Model 250
Intraday Volume Patterns 251
Filtering low Volume 253
Market Facilitation Index 254
Sources of Information 255
11 POINT AND FIGURE CHARTING 256
Plotting Prices Using the Point and Figure Method 25 7
Chart Formations 259
Point and Figure Box Size 261
The Problem of Risk 263
Trading Techniques 264
Price Objectives 268
A Study in Point and Figure Optimization 272
12 CHARTING SYSTEMS 281
Swing Trading 281
William Dunnigan and the Thrust Method 290
Nofri s Congestion Phase System 292
Outside Days with an Outside Close 293
Action and Reaction 294
Channel Breakout 298
Moving Channels 300
Combining Techniques 300
Complex Patterns 302
13 SPREADS AND ARBITRAGE 305
Spread and Arbitrage Relationships 307
Arbitrage 307
Changing Spread Relationships 316
Carrying Charges 320
Technical Analysis of Spreads 322
Volatility and Spread Ratios 329
Leverage in Spreads 332
14 BEHAVIORAL TECHNIQUES 334
Measuring the News 334
Event Trading 338
Commitment of Traders Report 344
Opinion and Contrary Opinion 346
Fibonacci and Human Behavior 350
Elliott s Wave Principle 353
x CONTENTS
Constructions Using the Fibonacci Ratio 361
Fischer s Golden Section Compass System 363
W.D. Gann—Time and Space 366
Financial Astrology 371
15 PATTERN RECOGNITION 382
Projecting Daily Highs and Lows 383
Time of Day 384
Opening Gaps and Intraday Patterns 394
Three Studies in Market Movement—Weekday, Weekend, and Reversal Patterns 400
Computer Based Pattern Recognition 416
Artificial Intelligence Methods 417
16 DAY TRADING 419
Impact of Transaction Costs 419
Applicability of Trading Techniques 423
Market Patterns 428
17 ADAPTIVE TECHNIQUES 436
Adaptive Trend Calculations 436
Adaptive Momentum Calculations 444
An Adaptive Process 446
Considering Adaptive Methods 447
18 PRICE DISTRIBUTION SYSTEMS 449
Using the Standard Deviation 449
Use of Price Distributions and Patterns to Anticipate Moves 451
Distribution of Prices 453
Steidlmayer s Market Profile 458
19 MULTIPLE TIME FRAMES 465
Tuning Two Time Frames to Work Together 465
Elder s Triple Screen Trading System 466
Robert Krausz s Multiple Time Frames 468
A Comment on Multiple Time Frames 470
20 ADVANCED TECHNIQUES 471
Measuring Volatility 471
Trade Selection 482
Price Volume Distribution 483
. Trends and Noise 484
Expert Systems 485
Fuzzy Logic 488
Fractals and Chaos 490
Neural Networks 492
Genetic Algorithms 498
Considering Genetic Algorithms, Neural Networks, and Feedback 502
21 TESTING 503
Expectations 504
Identifying the Parameters 505
CONTENTS xi
Selecting the Test Data 506
Searching for the Optimal Result 508
Visualizing and Interpreting the Results 510
Step Forward Testing and Out of Sample Data 517
Changing Rules 579
Arriving at Valid Test Results 520
Point and Figure Testing 525
Comparing the Results of Two Systems 52 7
Profiting from the Worst Results 530
Retesting Procedure 531
Comprehensive Studies 533
Price Shocks 546
Anatomy of an Optimization 547
Data Mining and Overoptimization 548
Summary 554
22 PRACTICAL CONSIDERATIONS 555
Use and Abuse of the Computer 555
Price Shocks , 562
Gambling Technique—The Theory of Runs 565
Selective Trading 572
System Trade Offs 574
Trading Limits—A Dampening Effect 5 79
Going to Extremes 582
Similarity of Systems 583
23 RISK CONTROL 587
Risk Aversion 587
Liquidity 589
Capital 590
Measuring Risk 591
Leverage 596
Diversification 598
Individual Trade Risk 603
Ranking of Markets for Selection 609
Probability of Success and Ruin 614
Compounding a Position 617
Equity Cycles 619
Investing and Reinvesting: Optimal f 623
Comparing Expected and Actual Results 626
APPENDIX 1 STATISTICAL TABLES 631
Probability Distribution Tables 631
Table of Uniform Random Numbers 633
APPENDIX 2 METHOD OF LEAST SQUARES 634
Operating Instructions 634
Computer Programs 634
Least Squares Solution for Corn Soybeans 640
Least Squares Solution for Soybeans Only 645
xii CONTENTS
APPENDIX 3 MATRIX SOLUTIONS TO LINEAR EQUATIONS
AND MARKOV CHAINS 651
Direct Solution and Convergence Method 651
General Matrix Form 651
Direct Solution 651
Convergence Method 657
APPENDIX 4 TRIGONOMETRIC REGRESSION FOR FINDING CYCLES 659
Single Frequency Trigonometric Regression 659
Two Frequency Trigonometric Regression 663
APPENDIX 5 FOURIER TRANSFORMATION 669
Fast Fourier Transform Program 669
APPENDEX 6 CONSTRUCTION OF A PENTAGON 673
Construction of a Pentagon from One Fixed Diagonal 673
Construction of a Pentagon from One Side 674
BIBLIOGRAPHY 676
INDEX 687
|
| any_adam_object | 1 |
| author | Kaufman, Perry J. |
| author_facet | Kaufman, Perry J. |
| author_role | aut |
| author_sort | Kaufman, Perry J. |
| author_variant | p j k pj pjk |
| building | Verbundindex |
| bvnumber | BV012489700 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6046 |
| callnumber-raw | HG6046 |
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| callnumber-subject | HG - Finance |
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| dewey-full | 332.64/4 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/4 |
| dewey-search | 332.64/4 |
| dewey-sort | 3332.64 14 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 3. ed. |
| format | Book |
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| id | DE-604.BV012489700 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:28:30Z |
| institution | BVB |
| isbn | 0471148792 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008478016 |
| oclc_num | 39195391 |
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| owner_facet | DE-12 DE-188 |
| physical | XV, 703 S. graph. Darst. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley trading advantage |
| spelling | Kaufman, Perry J. Verfasser aut Trading systems and methods Perry J. Kaufman 3. ed. New York [u.a.] Wiley 1998 XV, 703 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley trading advantage Frühere Ausg. u.d.T.: The new commodity trading systems and methods "For more than two decades, futures traders have turned to the classic Trading Systems and Methods for complete information about the latest, most successful indicators, programs, algorithms, and systems. Now, this newly revised and expanded Third Edition continues that tradition, including many new approaches and covering the latest developments in the continuously evolving equipment and techniques for trading futures markets." "Perry J. Kaufman, a leading futures expert highly respected for his years of experience in research and trading, has thoroughly rewritten and updated his bestselling guide, which remains the most comprehensive and instructional book on trading systems today. This detailed, hands-on manual offers a thorough analysis, using a systematic approach and including explanations of each method of calculation or operation. Kaufman explores both the good and bad features of each trading technique, explaining why a trading system or method works or doesn't work, how to select features that fit the trader's needs best, and how to test a system to achieve a sound trading program." "Since the early '70s, Kaufman has been devoted to futures research, with a particular emphasis on computer applications. He includes computer programs and spreadsheet code to implement each system and method, in addition to the mathematics involved. Where other books fall short, Kaufman's reference makes it possible for traders and analysts to program the systems themselves, changing the programs as they see fit and applying the techniques to their own styles and trading tools." "Trading Systems and Methods continues to be the single best resource for the trader or market analyst who wants to create or choose a successful trading system. Book jacket."--BOOK JACKET. Commodity exchanges Statistical methods Warenbörse (DE-588)4136537-9 gnd rswk-swf Markttechnische Analyse (DE-588)4261792-3 gnd rswk-swf Rohstoffhandel (DE-588)4136421-1 gnd rswk-swf Statistik (DE-588)4056995-0 gnd rswk-swf Warentermingeschäft (DE-588)4064603-8 gnd rswk-swf Methode (DE-588)4038971-6 gnd rswk-swf Rohstoffhandel (DE-588)4136421-1 s Statistik (DE-588)4056995-0 s Methode (DE-588)4038971-6 s DE-604 Warenbörse (DE-588)4136537-9 s Markttechnische Analyse (DE-588)4261792-3 s DE-188 Warentermingeschäft (DE-588)4064603-8 s 1\p DE-604 Früher u.d.T. Kaufman, Perry J. The new commodity trading systems and methods HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008478016&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Kaufman, Perry J. Trading systems and methods Commodity exchanges Statistical methods Warenbörse (DE-588)4136537-9 gnd Markttechnische Analyse (DE-588)4261792-3 gnd Rohstoffhandel (DE-588)4136421-1 gnd Statistik (DE-588)4056995-0 gnd Warentermingeschäft (DE-588)4064603-8 gnd Methode (DE-588)4038971-6 gnd |
| subject_GND | (DE-588)4136537-9 (DE-588)4261792-3 (DE-588)4136421-1 (DE-588)4056995-0 (DE-588)4064603-8 (DE-588)4038971-6 |
| title | Trading systems and methods |
| title_auth | Trading systems and methods |
| title_exact_search | Trading systems and methods |
| title_full | Trading systems and methods Perry J. Kaufman |
| title_fullStr | Trading systems and methods Perry J. Kaufman |
| title_full_unstemmed | Trading systems and methods Perry J. Kaufman |
| title_old | Kaufman, Perry J. The new commodity trading systems and methods |
| title_short | Trading systems and methods |
| title_sort | trading systems and methods |
| topic | Commodity exchanges Statistical methods Warenbörse (DE-588)4136537-9 gnd Markttechnische Analyse (DE-588)4261792-3 gnd Rohstoffhandel (DE-588)4136421-1 gnd Statistik (DE-588)4056995-0 gnd Warentermingeschäft (DE-588)4064603-8 gnd Methode (DE-588)4038971-6 gnd |
| topic_facet | Commodity exchanges Statistical methods Warenbörse Markttechnische Analyse Rohstoffhandel Statistik Warentermingeschäft Methode |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008478016&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT kaufmanperryj tradingsystemsandmethods |