688
Index
Countertrend systems, 254–256
contrary opinion, 256
definition of, 236
fading minimum move, 255
fading minimum move with confirmation delay, 255
general considerations, 254–255
oscillators, 255
types of, 255–256
Countertrend trade entry signals, 182
Covered call write, 526–527
Covered put write, 527–528
CPI. See Consumer price index (CPI)
CR
2 (corrected R2), 642–643
CRB Commodity Yearbook, 414
Credit spread, 535
Crop reports, 434
Crop years, intercrop spread and, 441
Crossover points, moving averages and, 182
Crude oil market. See also WTI crude oil
money stop and, 185
poor timing and, 425
seasonal index and, 399
CTAs. See Commodity trading advisors (CTAs)
Currency futures, 471–476
intercurrency spreads, 471–473
intracurrency spreads, 473–476
Curvature, breaking of, 229, 230
Daily price limit, 8–9
Data errors, 679
Data insufficiency, conclusions and, 357
Data vendors, futures price series selection and, 287
Day versus good-till-canceled (GTC) order, 16
Degrees of freedom (df), 615, 640, 644
Deliverable grade, 9
Delivery, 4
Delta (neutral hedge ratio), 484–485
Demand:
consumption and, 357, 363–366
definition of, 359–362, 363
elasticity of, 361–362
highly inelastic, 370–371
incorporation of (see Incorporation of demand)
increase in, 364
inflation and, 355
price and, 362–363
quantifying, 362–363
stable, 368
Continuation patterns, 123–134
flags and pennants (see Flags and pennants)
trading range breakouts and, 180–181
triangles (see Triangles)
Continuous (spread-adjusted) price series,  
282–285
Continuous distribution, 600–601
Continuous futures. See also Nearest vs. continuous 
futures
price gaps and, 282
rule of seven and, 194–196
Continuous futures charts:
creation of, 47
measured moves and, 190–193
nearest futures vs., 39–40
Continuous parameter, 292–293
Contract months, 5, 8
Contract rollovers. See Rollover dates
Contract size, 5
Contract specifications:
about, 5–9
sample, 6–7
Contrary opinion, 203–204, 256
Conversion, 530
Copper:
inflation and, 385
price-forecasting model, 366–367
price moves and, 428, 429
Corn:
ethanol production and, 680
intercommodity spreads and, 457–459
major resistance area and, 427
price movements and, 430
production, 348
seasonal index and, 401
unexpected developments and, 419,  
420, 421
Corrected R
2 (CR2), 642–643
Correlation coefficient (r), independent variables 
and, 665–666
Correlation matrix, 666
Costs. See also Carrying charges
production, price declines and, 351–352
transaction, 295–296, 313
Cotton:
carryover and, 432–433
unexpected developments and, 418
yields, 355