695
Index
Option trading strategies, 487–555
comparing, 487–489
hedging applications and, 554–555
multiunit strategies, 543–544
optimal, choosing, 544–554
profit/loss profiles (see Profit/loss profile)
spread strategies, other, 542–543
Orders, types of, 16–19
Ordinary least squares (OLS), 654
Organization of the Petroleum Exporting Countries 
(OPEC), 356, 425
Original trading systems, 261–278
run-day breakout system, 268–273
run-day consecutive count system, 273–278
wide-ranging-day system (see Wide-ranging-day 
system)
Oscillators, 167–170, 255
Out-of-the-money call, buying, 555
Out-of-the-money options:
definition of, 480
delta values and, 485
Outright positions, spread tables and, 440, 441
Overbought/oversold indicators, 198–199
Parabolic price moves, 585
Parameter(s):
definition of, 291, 606
types of, 292–293
Parameter set:
average performance, 311
definition of, 291
Parameter shift, trend-following systems  
and, 247
Parameter stability, optimizing systems  
and, 297
Past performance, evaluation, 319–341
investment insights, 343
return alone, 319–322
risk-adjusted return measures, 323–335
visual (see Visual performance evaluation)
Patience, virtue of, 580–581
Pattern(s). See also Chart patterns; Continuation 
patterns; One-day patterns
market, 572–573
seasonal, 415
Pattern recognition systems, definition of, 237
Penetration of top and bottom formations, 225–229
Observations, market. See Rules, trading
OCO (one-cancels-other) order, 18
Oil. See Crude oil market; Heating oil; WTI  
crude oil
“Old hand” approach, 373
OLS (Ordinary least squares), 654
One-cancels-other (OCO) order, 18
One-day patterns:
about, 109–123
spikes, 109–113
One-tailed test, 614, 617
One-year comparisons, 350
OPEC. See Organization of the Petroleum Exporting 
Countries’ (OPEC)
Open interest, volume and, 9–10
Open-mindedness, 585
Optimization:
definition of, 297
past performance and, 313
Optimization myth, 298–310
Optimizing systems, 297–298
Option(s):
fair value of, theoretical, 483
qualities of, 489
Option premium curve, theoretical, 481
Option premiums, 480–483
components of, 480
interest rates and, 482–483
intrinsic value and, 480
strike price and current futures price, 480–481
theoretical versus actual, 483–484
time remaining until expiration,  
481–482
time value and, 480–483
volatility and, 482
Option-protected long futures:
long futures + long at-the-money put, 520–521
long futures + long out-of-the-money put, 
522–523
Option-protected short futures:
short futures + long at-the-money call, 523–524
short futures + long out-of-the-money call, 
524–525
Options on futures, 477–485
about, 477–479
delta and (neutral hedge ratio), 484–485
option premiums and (see Option premiums)