686
Index
Bullishness:
bullish put trade, 477
fundamentals and, 349
market response analysis and, 404, 405
Bullish T exas option hedge, 517–519
Bull market:
flags, pennants and, 131–132
intramarket spreads and, 460
run days in, 118
spread trades and, 443
thrust days and, 116, 117
Bull put money spread:
case 1: long put with lower strike price/short put 
with higher strike price, 538–539
case 2: long put with lower strike price/short put 
with higher strike  
price, 540
“Bull trap”:
about, 205–211
confirmation conditions, 208, 209
Butterfly spread, 542
Buy and sell signals, trend-following systems and, 
252
Buy hedge, cotton mill, 12–13
Call options, 477
Calmar ratio, 331
Calmness, 585
Cancel if close order. See CIC (cancel if close) order.
Candlestick charts, 43–44
“real body,” 43, 44
“shadows,” 43
Carrying-charge markets, 282
Carrying charges, limited-risk spread and, 446, 
447–448
Carryover stocks, 355, 432–433
Case-Shiller Home Price Index, 423, 424
Cash settlement process, 4
Cash versus futures price seasonality, 389–390
Cattle:
cattle-on-feed numbers, 352–354
futures, 348, 385
inflation and, 385
production loss, 351
spread trades and, 444–445
Central limit theorem, 609–612
Change of market opinion, 204
Bearishness:
bearish put trade, 477
fundamentals and, 349
market response analysis and, 404, 406
Bearish T exas option hedge, 519–520
Bear market:
of 1980-1982, 366–367
flags, pennants and, 133–134
run days in, 118, 119
spread trades and, 443
thrust days and, 116
“Bear trap”:
about, 205–211
confirmation conditions, 208, 210
Beat the Dealer, 587
Bell-shaped curve, 601
Benchmark, 327
Bernanke, Ben, 431–432
Best fit, regression analysis and, 591–593
deviations, 591–592
least-squares approach, 592–593, 594
“Best linear unbiased estimators” (BLUE), 621
Bet size, variation in, 581
“Black box” system, 576
Blind simulation approach, system optimization, 311
BLASH approach, 27–28
BLUE. See “Best linear unbiased estimators” (BLUE)
Bottom formations. See T op and bottom formations
Bowe, James, 482–483
Box size, 42
Breakout(s), 86–89
confirmation of, 86
continuation patterns and, 180–181
counter-to-anticipated, flag or pennant, 219–222
definition of, 33
downside, 87, 88
false signals for, 151, 153
false trend-line, 211–213
flags, pennants and, 128
opposite direction breakout of flag or pennant 
following normal, 222–225
upside, 87, 89
winning signals for, 152, 153
Breakout systems, 243–244
British pound (BP), intercurrency spreads and, 
472–473
Bull call money spread, 534–535