Add training workflow, datasets, and runbook
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Index
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Option trading strategies, 487–555
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comparing, 487–489
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hedging applications and, 554–555
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multiunit strategies, 543–544
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optimal, choosing, 544–554
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profit/loss profiles (see Profit/loss profile)
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spread strategies, other, 542–543
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Orders, types of, 16–19
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Ordinary least squares (OLS), 654
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Organization of the Petroleum Exporting Countries
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(OPEC), 356, 425
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Original trading systems, 261–278
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run-day breakout system, 268–273
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run-day consecutive count system, 273–278
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wide-ranging-day system (see Wide-ranging-day
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system)
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Oscillators, 167–170, 255
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Out-of-the-money call, buying, 555
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Out-of-the-money options:
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definition of, 480
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delta values and, 485
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Outright positions, spread tables and, 440, 441
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Overbought/oversold indicators, 198–199
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Parabolic price moves, 585
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Parameter(s):
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definition of, 291, 606
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types of, 292–293
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Parameter set:
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average performance, 311
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definition of, 291
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Parameter shift, trend-following systems
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and, 247
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Parameter stability, optimizing systems
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and, 297
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Past performance, evaluation, 319–341
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investment insights, 343
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return alone, 319–322
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risk-adjusted return measures, 323–335
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visual (see Visual performance evaluation)
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Patience, virtue of, 580–581
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Pattern(s). See also Chart patterns; Continuation
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patterns; One-day patterns
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market, 572–573
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seasonal, 415
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Pattern recognition systems, definition of, 237
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Penetration of top and bottom formations, 225–229
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Observations, market. See Rules, trading
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OCO (one-cancels-other) order, 18
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Oil. See Crude oil market; Heating oil; WTI
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crude oil
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“Old hand” approach, 373
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OLS (Ordinary least squares), 654
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One-cancels-other (OCO) order, 18
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One-day patterns:
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about, 109–123
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spikes, 109–113
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One-tailed test, 614, 617
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One-year comparisons, 350
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OPEC. See Organization of the Petroleum Exporting
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Countries’ (OPEC)
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Open interest, volume and, 9–10
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Open-mindedness, 585
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Optimization:
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definition of, 297
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past performance and, 313
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Optimization myth, 298–310
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Optimizing systems, 297–298
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Option(s):
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fair value of, theoretical, 483
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qualities of, 489
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Option premium curve, theoretical, 481
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Option premiums, 480–483
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components of, 480
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interest rates and, 482–483
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intrinsic value and, 480
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strike price and current futures price, 480–481
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theoretical versus actual, 483–484
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time remaining until expiration,
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481–482
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time value and, 480–483
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volatility and, 482
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Option-protected long futures:
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long futures + long at-the-money put, 520–521
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long futures + long out-of-the-money put,
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522–523
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Option-protected short futures:
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short futures + long at-the-money call, 523–524
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short futures + long out-of-the-money call,
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524–525
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Options on futures, 477–485
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about, 477–479
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delta and (neutral hedge ratio), 484–485
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option premiums and (see Option premiums)
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