Intermarket trading strategies:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chichester
Wiley
2008
|
| Series: | Wiley trading
|
| Subjects: | |
| Online Access: | Publisher description Inhaltsverzeichnis Klappentext |
| Item Description: | Includes bibliographical references and index Erscheint: Dezember 2008 |
| Physical Description: | XV, 412 S. |
| ISBN: | 9780470758106 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents
Acknowledgments lx
Introduction
χί
PART I
!
1
Intermarket Analysis
3
2
Correlation 17
3
Regression
4
International Indices and Commodities
41
5
TheS&P500 69
6
European Indices ^
7
Gold 93
8
Intraday Correlations
1 ! 1
9
Intermarket Indicators
121
PART II 145
10
Trading System Design 147
11
A Comparison of Fourteen Technical Systems for Trading Gold
175
viii Contents
12
Trading
the S&P
500
ETF
and the e-mini
189
13
Trading
DAX
Futures
201
14
A
Comparison of a Neural
Network
and a Conventional
System
for Trading FTSE Futures
215
15
The Use of
Intermarket Systems in Trading Stocks
235
16
A Relative
Strength Asset
Allocation Trading System
247
17
Forex Trading
Using
Intermarket
Analysis
261
18
Conclusion
293
Appendix
A
MetaStock Code
and Test Specifications
297
Appendix
В
Neural Network Systems
357
Appendix
С
Rectangles
367
Glossary
371
Bibliography
385
Index
391
About the author
Markos Kalsanos
is an expert in technical
analysis and trading systems and inventor of
two new technical indicators. In showing the
relationship of volume to price movement, his
Finite Volume Element (FVE) and Volume Flow
Indicators (VFI) have become popular tools used
by traders and the code was incorporated in
almost all Technical Analysis and trading
software. He has a Bachelors degree in Civil
Engineering and a Masters degree in Structural
Engineering, and is a member of the Technical
Securities Analysts Association of San Francisco
(TSAASF). He has traded stocks and
commodities since
1987,
starting with
fundamental analysis. With his engineering
training he quickly gravitated to technical
analysis of the market. With more than two
decades of experience in computerized analysis
of stocks and futures, he has spent years refining
his methods to come up with some of the most
profitable strategies for choosing trades.
He specializes in mechanical systems and has
constructed dozens of systems for his clients and
his own use.
Markos Katsanos
has contributed
several articles to Technical Analysis of Stocks
&
Commodities and other financial publications.
He is currently in the process of setting up his
own financial consulting company.
Intermarket
Trading
Strategies explains how markets interact and influence each other
and how intermarket analysis can be used to forecast future equity and index price
movements by introducing custom indicators and intermarket trading systems.
Single market technical analysis indicators were designed in the
80s
for national
markets, and are no longer sufficient for analyzing the global market dynamics.
This book reveals how you can combine intermarket with classic technical techniques
to develop profitable hybrid systems or improve on existing ones.
Divided into two parts, part one begins with a discussion of the basic principles of
intermarket analysis and the benefits of portfolio diversification by including
uncorrelated assets such as commodities and foreign currencies. It goes on to explain
the concept of correlation and the basic assumptions used before demonstrating the
linear regression method used for predicting one security based on its correlation
with related markets. A variety of custom intermarket indicators are presented and
explanations are given as to how each one can be used within the framework of a
trading system, including eight new custom intermarket indicators published for the
first time in this book.
Part two uses the concepts presented in part one to develop intermarket trading
systems to trade popular markets like US and European stock index futures, FOREX
and Commodities. Techniques for developing a trading system and evaluating the test
results are presented along with suggested methods for avoiding curve fitting and the
illusion of excellence created by optimization. Stop-loss and other money
management techniques are also discussed. Finally a brief introduction to neural
network systems explains the basic principles of this alternative approach for
designing trading systems.
A total of twenty nine conventional and five neural network trading systems,
appropriate for long and short term and even day trading, are provided to trade Gold,
the S&P ETF (SPY), S&P
е
-mini
futures,
DAX
and FTSE futures, Gold and Oil stocks,
Commodities, Sector and International ETF, the Yen and the Euro. Finally a dynamic
asset allocation timing strategy which would systematically keep the portfolio moving
into the strongest asset classes or sectors, enhancing the return characteristics while
decreasing the overall volatility, is also included. The metastock code for all systems is
provided in order to test and paper trade the system on more recent data before you
move from the computer to the trading desk.
|
| adam_txt |
Contents
Acknowledgments lx
Introduction
χί
PART I
!
1
Intermarket Analysis
3
2
Correlation 17
3
Regression
"
4
International Indices and Commodities
41
5
TheS&P500 69
6
European Indices "^
7
Gold 93
8
Intraday Correlations
1 ! 1
9
Intermarket Indicators
121
PART II 145
10
Trading System Design 147
11
A Comparison of Fourteen Technical Systems for Trading Gold
175
viii Contents
12
Trading
the S&P
500
ETF
and the e-mini
189
13
Trading
DAX
Futures
201
14
A
Comparison of a Neural
Network
and a Conventional
System
for Trading FTSE Futures
215
15
The Use of
Intermarket Systems in Trading Stocks
235
16
A Relative
Strength Asset
Allocation Trading System
247
17
Forex Trading
Using
Intermarket
Analysis
261
18
Conclusion
293
Appendix
A
MetaStock Code
and Test Specifications
297
Appendix
В
Neural Network Systems
357
Appendix
С
Rectangles
367
Glossary
371
Bibliography
385
Index
391
About the author
Markos Kalsanos
is an expert in technical
analysis and trading systems and inventor of
two new technical indicators. In showing the
relationship of volume to price movement, his
Finite Volume Element (FVE) and Volume Flow
Indicators (VFI) have become popular tools used
by traders and the code was incorporated in
almost all Technical Analysis and trading
software. He has a Bachelors degree in Civil
Engineering and a Masters degree in Structural
Engineering, and is a member of the Technical
Securities Analysts Association of San Francisco
(TSAASF). He has traded stocks and
commodities since
1987,
starting with
fundamental analysis. With his engineering
training he quickly gravitated to technical
analysis of the market. With more than two
decades of experience in computerized analysis
of stocks and futures, he has spent years refining
his methods to come up with some of the most
profitable strategies for choosing trades.
He specializes in mechanical systems and has
constructed dozens of systems for his clients and
his own use.
Markos Katsanos
has contributed
several articles to Technical Analysis of Stocks
&
Commodities and other financial publications.
He is currently in the process of setting up his
own financial consulting company.
Intermarket
Trading
Strategies explains how markets interact and influence each other
and how intermarket analysis can be used to forecast future equity and index price
movements by introducing custom indicators and intermarket trading systems.
Single market technical analysis indicators were designed in the
80s
for national
markets, and are no longer sufficient for analyzing the global market dynamics.
This book reveals how you can combine intermarket with classic technical techniques
to develop profitable hybrid systems or improve on existing ones.
Divided into two parts, part one begins with a discussion of the basic principles of
intermarket analysis and the benefits of portfolio diversification by including
uncorrelated assets such as commodities and foreign currencies. It goes on to explain
the concept of correlation and the basic assumptions used before demonstrating the
linear regression method used for predicting one security based on its correlation
with related markets. A variety of custom intermarket indicators are presented and
explanations are given as to how each one can be used within the framework of a
trading system, including eight new custom intermarket indicators published for the
first time in this book.
Part two uses the concepts presented in part one to develop intermarket trading
systems to trade popular markets like US and European stock index futures, FOREX
and Commodities. Techniques for developing a trading system and evaluating the test
results are presented along with suggested methods for avoiding curve fitting and the
illusion of excellence created by optimization. Stop-loss and other money
management techniques are also discussed. Finally a brief introduction to neural
network systems explains the basic principles of this alternative approach for
designing trading systems.
A total of twenty nine conventional and five neural network trading systems,
appropriate for long and short term and even day trading, are provided to trade Gold,
the S&P ETF (SPY), S&P
е
-mini
futures,
DAX
and FTSE futures, Gold and Oil stocks,
Commodities, Sector and International ETF, the Yen and the Euro. Finally a dynamic
asset allocation timing strategy which would systematically keep the portfolio moving
into the strongest asset classes or sectors, enhancing the return characteristics while
decreasing the overall volatility, is also included. The metastock code for all systems is
provided in order to test and paper trade the system on more recent data before you
move from the computer to the trading desk. |
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| spelling | Katsanos, Markos Verfasser aut Intermarket trading strategies Markos Katsanos Chichester Wiley 2008 XV, 412 S. txt rdacontent n rdamedia nc rdacarrier Wiley trading Includes bibliographical references and index Erscheint: Dezember 2008 Devisenmarkt stw Portfolio-Management stw Termingeschäft stw Welt stw Wertpapieranalyse stw Wertpapierhandel stw Investment analysis Portfolio management Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Finanzanalyse (DE-588)4133000-6 gnd rswk-swf Finanzanalyse (DE-588)4133000-6 s DE-604 Portfoliomanagement (DE-588)4115601-8 s http://www.loc.gov/catdir/enhancements/fy0901/2008040290-d.html Publisher description Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016982397&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016982397&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Katsanos, Markos Intermarket trading strategies Devisenmarkt stw Portfolio-Management stw Termingeschäft stw Welt stw Wertpapieranalyse stw Wertpapierhandel stw Investment analysis Portfolio management Portfoliomanagement (DE-588)4115601-8 gnd Finanzanalyse (DE-588)4133000-6 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4133000-6 |
| title | Intermarket trading strategies |
| title_auth | Intermarket trading strategies |
| title_exact_search | Intermarket trading strategies |
| title_exact_search_txtP | Intermarket trading strategies |
| title_full | Intermarket trading strategies Markos Katsanos |
| title_fullStr | Intermarket trading strategies Markos Katsanos |
| title_full_unstemmed | Intermarket trading strategies Markos Katsanos |
| title_short | Intermarket trading strategies |
| title_sort | intermarket trading strategies |
| topic | Devisenmarkt stw Portfolio-Management stw Termingeschäft stw Welt stw Wertpapieranalyse stw Wertpapierhandel stw Investment analysis Portfolio management Portfoliomanagement (DE-588)4115601-8 gnd Finanzanalyse (DE-588)4133000-6 gnd |
| topic_facet | Devisenmarkt Portfolio-Management Termingeschäft Welt Wertpapieranalyse Wertpapierhandel Investment analysis Portfolio management Portfoliomanagement Finanzanalyse |
| url | http://www.loc.gov/catdir/enhancements/fy0901/2008040290-d.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016982397&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016982397&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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