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· 분류 : 외국도서 > 경제경영 > 투자/증권 > 분석/전략
· ISBN : 9781119605355
· 쪽수 : 1168쪽
· 출판일 : 2019-10-22
목차
Preface to the Sixth Edition
About the Companion Website
Chapter 1: Introduction
The Expanding Role of Technical Analysis
Convergence of Trading Styles in Stocks and Futures
Professional and Amateur
Random Walk
Deciding on a Trading Style
Measuring Noise
Maturing Markets and Globalization
Background Material
System Development Guidelines
Objectives of This Book
Profile of a Trading System
A Word about the Notation Used in This Book
A Final Comment
Chapter 2: Basic Concepts and Calculations
A Brief Word about Data
Simple Measures of Error
On Average
Price Distribution
Moments of the Distribution: Mean, Variance, Skewness, and Kurtosis
Choosing Between Frequency Distribution and Standard Deviation
Measuring Similarity
Standardizing Risk and Return
The Index
An Overview of Probability
Supply and Demand
Chapter 3: Charting
Finding Consistent Patterns
What Causes the Major Price Moves and Trends?
The Bar Chart and Its Interpretation by Charles Dow
Chart Formations
Trendlines
One-Day Patterns
Continuation Patterns
Basic Concepts in Chart Trading
Accumulation and Distribution – Bottoms and Tops
Episodic Patterns
Price Objectives for Bar Charting
Implied Strategies in Candlestick Charts
Practical Use of the Bar Chart
Evolution in Price Patterns
Chapter 4: Charting Systems
Dunnigan and the Thrust Method
Nofri’s Congestion-Phase System
Outside Days and Inside Days
Pivot Points
Action and Reaction
Programming the Channel Breakout
Moving Channels
Commodity Channel Index
Wyckoff’s Combined Techniques
Complex Patterns
Automating Basic Chart Patterns
Chapter 5: Event-Driven Trends
Swing Trading
Point-And-Figure Charting
The N-Day Breakout
Chapter 6: Regression Analysis
Components of a Time Series
Characteristics of the Price Data
Linear Regression
Linear Correlation
Nonlinear Approximations for Two Variables
Transforming Nonlinear to Linear
Multivariate Approximations
Arima
Basic Trading Signals Using a Linear Regression Model
Measuring Market Strength
Chapter 7: Time-Based Trend Calculations
Forecasting and Following
Price Change over Time
The Moving Average
The Moving Median
Geometric Moving Average
Accumulative Average
Drop-off Effect
Exponential Smoothing
Plotting Lags and Leads
Chapter 8: Trend Systems
Why Trend Systems Work
Basic Buy and Sell Signals
Bands and Channels
Choosing the Calculation Period for the Trend
A Few Classic Single-Trend Systems
Comparison of Single Trend Systems
Techniques Using Two Trendlines
Three Trends
Comprehensive Studies
Selecting the Trend Speed to Fit the Problem
Moving Average Sequences: Signal Progression
Early Exit From a Trend
Projecting Moving Average Crossovers
Early Identification of a Trend Change
Chapter 9: Momentum and Oscillators
Momentum
Adding Volume to Momentum
Divergence Index
Visualizing Momentum
Oscillators
Double-Smoothed Momentum
Velocity and Acceleration
Hybrid Momentum Techniques
Momentum Divergence
Some Final Comments on Momentum
Chapter 10: Seasonality and Calendar Patterns
Seasonality Never Disappears
The Seasonal Pattern
Popular Methods for Calculating Seasonality
Classic Methods for Finding Seasonality
Weather Sensitivity
Identifying Seasonal Trades
Seasonality and the Stock Market
Common Sense and Seasonality
Chapter 11: Cycle Analysis
Cycle Basics
Uncovering the Cycle
Maximum Entropy
Short Cycle Indicator
Phasing
Chapter 12: Volume, Open Interest, and Breadth
Futures Volume and Open Interest
Extended Hours and 24-Hour Trading
Variations from the Normal Patterns
Standard Interpretation
Volume Indicators
Breadth Indicators
Is One Volume or Breadth Indicator Better than Another?
More Trading Methods Using Volume and Breadth
An Integrated Probability Model
Intraday Volume Patterns
Filtering Low Volume
Market Facilitation Index
Chapter 13: Spreads and Arbitrage
Dynamics of Futures Intramarket Spreads
Carrying Charges
Spreads in Stocks
Spread and Arbitrage Relationships
Risk Reduction in Spreads
Arbitrage
The Carry Trade
Implied Versus Historic Volatility
Changing Spread Relationships
Intermarket Spreads
Chapter 14: Behavioral Techniques
Measuring the News
Event Trading
Commitment of Traders Report
Opinion and Contrary Opinion
Fibonacci and Human Behavior
Elliott’s Wave Principle
Price Target Constructions Using the Fibonacci Ratio
Fischer’s Golden Section Compass System
W. D. Gann – Time and Space
Financial Astrology
Chapter 15: Short-Term Patterns
Projecting Daily Highs and Lows
Time of Day
Opening Gaps
Weekday, Weekend, and Reversal Patterns
Computer-Based Pattern Recognition
Artificial Intelligence Methods
Chapter 16: Day Trading
Impact of Transaction Costs
Slippage and Liquidity
Key Elements of Day Trading
Trading Using Price Patterns
Intraday Breakout Systems
High-Frequency Trading
Intraday Volume Patterns
Intraday Price Shocks
Chapter 17: Adaptive Techniques
Adaptive Trend Calculations
Adaptive Variations
Other Adaptive Momentum Calculations
Adaptive Intraday Breakout System
An Adaptive Process
Chapter 18: Price Distribution Systems
Accuracy is in the Data
Use of Price Distributions and Patterns to Anticipate Moves
The Importance of the Shape of the Distribution
A Purchaser’s Inventory Model
A Producer’s Selling Model
Steidlmayer’s Market Profile
A Fast Version of Market Profile
Chapter 19: Multiple Time Frames
Tuning Two Time Frames to Work Together
Displaying Two or Three Time Frames
Elder’s Triple-Screen Trading System
Robert Krausz’s Multiple Time Frames
Martin Pring’s KST System
Chapter 20: Advanced Techniques
Measuring Volatility
The Price-Volatility Relationship
Using Volatility for Trading
Liquidity
Trends and Price Noise
Trends and Interest Rate Carry
Fuzzy Logic
Expert Systems
Game Theory
Fractals, Chaos, and Entropy
Genetic Algorithms
Neural Networks
Machine Learning and Artificial Intelligence (A Summary)
Replication of Hedge Funds
Chapter 21: System Testing
Expectations
Selecting the Test Data
Testing Integrity
Identifying the Parameters
Searching for the Best Result
Chapter 22: Adding Reality
Some Computer Basics
The Abuse of Power
Final Steps before Launch
Extreme Events
Gambling Techniques—The Theory of Runs
Selective Trading
System Trade-Offs
Silver and Amazon—Too Good to Be True
Similarity of Systematic Trading Signals
Chapter 23: Risk Control
Mistaking Luck for Skill
Risk Aversion
Liquidity
Measuring Return and Risk
Position Sizing
Individual Trade Risk
Kaufman on Stops and Profit-Taking
Entering a Position
Leverage
Compounding a Position
Selecting the Best Markets
Probability of Success and Ruin
Managing Equity Risk
Ideal Leverage Using Optimal f
Comparing Expected and Actual Results
Chapter 24: Diversification and Portfolio Allocation
Diversification
Types of Portfolio Models
Classic Portfolio Allocation Calculations
Finding Optimal Portfolio Allocation Using Excel’s Solver
Kaufman’s Genetic Algorithm Solution to Portfolio Allocation (GASP)
Volatility Stabilization
Index
