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