699
Index
detrended, 394
link relative method, 394–396, 398
Seasonal patterns, forecasting model, 415
Securitizations, 423
SEE. See Standard error of the estimate (SEE)
Segmented trades, analysis of, 565–566
Sell hedge, cotton producer, 11–12
Sell signals, trend-following systems and, 252
SER. See Standard error of the regression (SER)
Series selection. See Futures price series selection
Settlement type, 9
Sharpe ratio, 323–325, 334, 343. See also Symmetric 
downside-risk (SDR) Sharpe ratio
Short call (at-the-money) trading strategy,  
498–499
Short call (in-the-money) trading strategy, 500–502
Short call (out-of-the-money) trading strategy, 
499–500
Short futures trading strategy, 490–491
Short put (at-the-money), 509–510
Short put (in-the-money), 512–513
Short put (out-of-the-money), 510–512
Short straddle, 516–517
Short-term response versus long-term implications, 
432–435
Sideways market, moving averages and, 79, 81
Signal price, limit days and, 296
Signals, failed, 205, 206
Simple moving average (SMA), 165–167
Simple regression, 625
Simulated results, 312–313
fabrication, 313
kitchen sink approach, 312
losing trades, overlooking, 313
optimization and, 317
risk, ignoring, 312–313
terminology and, 311
transaction costs, 313
well-chosen example, 312
Simulation, blind, 311
Single market system variation (SMSV), 256–257
Skill, hard work versus, 576–577
Sklarew , Arthur, 194
Slippage:
automatic trading systems and, 295
sampling distribution and, 608
transaction costs and, 291
trend-following systems and, 247
Rules, trading, 567–574
analysis and review of, 573–574
market patterns and, 572–573
miscellaneous, 571–572
risk control (money management), 569–570
trade entry, 568–569
trade exit, 569–570
winning trades, holding/exiting, 570–571
Run-day breakout system, 268–273
basic concept, 268
daily checklist, 269
illustrated example, 270–273
parameters, 269
parameter set list, 270
trading signals, 269
Run-day consecutive count system, 273–278
basic concept, 273
daily checklist, 274
definitions, 273
illustrated example, 275–278
parameters, 274
parameter set list, 274
trading signals, 273–274
Run days, 116, 118–119, 268
Russell 2000 Mini, intermarket stock index spreads, 
461–470
Samples, populations and, 598, 606
Sampling distribution, 608–609
Sands, Russell, 434
Saucers. See Rounding tops and bottoms
Saudi Arabia, 425
Scale order, 18
Schwager, Jack, 319
Schwartz, Marty, 22, 585
SDR Sharpe ratio, 327–328, 334
SE. See Standard error (SE)
Seasonal analysis, 389–401
cash versus futures price seasonality,  
389–390
expectations, role of, 390
real or probability, 390–391
seasonal index (see Seasonal index)
seasonal trading, 389
Seasonal considerations, ignoring, 356
Seasonal index, 391–401
alternative approach, 396–401
average percentage method, 391–394