97 lines
2.9 KiB
Plaintext
97 lines
2.9 KiB
Plaintext
697
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Index
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Prudence, 583
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PTR. See Price trigger range (PTR)
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Pure arbitrage, 530
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PWPLR. See Probability-weighted profit/loss ratio
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(PWPLR)
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Pyramiding:
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midtrend entry and, 182
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rejected signals and, 251
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trend-following systems and, 252–253
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Quantum Fund, 22
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Random error, 628, 679
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Random sample, definition of, 608
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Random variable, 599
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Random Walkers, 29–34
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Rate of change, 163
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Ratio call write, 532–534
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Reaction count, 179–180
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Recession, severe, 367. See also Great Recession
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Regression analysis, 589–595, 675–683
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about, 374–375, 589–591
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assumptions of, basic, 620
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best fit, meaning of, 591–593
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dependent variable, determining, 675–676
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example, practical, 593
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forecast error and, 679–680
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independent variables, selecting, 677
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least-squares approach, 592–593, 594
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practical considerations in applying, 675–683
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preforecast period (PFP) price and, 677–678
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regression forecast, reliability of, 593–595
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simulation, 680–681
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step-by-step procedure, sample, 682–683
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stepwise regression, 681–682
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survey period length and, 678–679
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Regression coefficients:
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computing t-value for, 626
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multicollinearity and, 665
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sampling distribution of, 621
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testing significance of, 620–626
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Regression equation, 619–635
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analyzing (see Analysis of regression equation)
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coefficient of determination R
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2, 630–633
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confidence interval for an individual forecast,
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627–629
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extrapolation, 630
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misspecification and, 679
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Production costs, price declines and, 351–352
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Profit(s):
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partial, pulling out, 584
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slow systems and, 245, 246
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winning trades and, 570–571
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Profit/loss matrix, short puts with different strike
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prices, 514
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Profit/loss profile:
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alternative bearish strategies, three, 548
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alternative bullish strategies, three, 547
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alternative neutral strategies, two, 549
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bear call money spread, 536, 538
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bearish “T exas option hedge,” 520
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bear put money spread, 539, 542
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bull call money spread, 535
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bullish “T exas option hedge,” 518
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bull put money spread, 541
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covered call write, 527
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covered put write, 528
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definition of, 488
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key option trading strategies and, 489–542
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key trading strategies and, 489–542
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long call (at-the-money), 492, 495
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long call (out-of-the-money), 494
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long futures, 490
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long futures and long call comparisons, 497
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long futures and short put comparisons, 514
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long put (at-the-money), 504
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long put (in-the-money), 507
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long put (out-of-the-money), 505
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long straddle, 516
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option-protected long futures, 521, 522
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option-protected short futures, 524, 525
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ratio call write, 533
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short call (at-the-money), 498
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short call (in-the-money), 501
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short call (out-of-the-money), 500
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short futures, 491
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short futures and long put comparisons, 509
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short futures and short call comparisons, 503
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short put (at-the-money), 510
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short put (in-the-money), 513
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short put (out-of-the-money), 511
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short straddle, 517
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synthetic long futures, 529
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synthetic short futures, 532
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trading strategies and, 488–489
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two long calls vs. long futures, 544 |