1 Developing and Implementing Trading Systems
Classification of Return Generation Processes
Comparison: Discretionary versus Mechanical System Trader
Why Should You Use a Trading System?
Robust Trading Systems: TOPS COLA
What Is a “Good” Trading Program?
How Do You Implement a Trading System?
Appendix to Chapter 1: A Brief Technical Analysis Primer
Assumptions of Technical Analysis
Typical Price Patterns and Chart Formations
Measured Objectives from Chart Formations
Estimating Long-Term Support and Resistance
2 Principles of Trading System Design
What Are Your Trading Beliefs?
Rule 2: A Small Number of Rules
Rule 4: Trading Multiple Contracts
Rule 5: Risk Control, Money Management, and Portfolio Design
Rule 6: Fully Mechanical System
3 Foundations of System Design
To Optimize or Not To Optimize?
Initial Stop: Solution or Problem?
Does Your Design Control Risks?
Choosing Orders for Entries and Exits
Understanding Summary of Test Results
What the Performance Summary Does Not Show
Some Avoidable Pitfalls in System Testing
Appendix to Chapter 3: Design Issues—Entry and Exit Strategies
Summary: Review of Entry and Exit Strategies
4 Developing New Trading Systems
The Assumptions behind Trend-Following Systems
The 65sma-3cc Trend-Following System
Effect of Initial Money Management Stop
Adding Filter to the 65sma-3cc System
Adding Exit Rules to the 65sma-3cc System
Channel Breakout-Pullback Pattern
An ADX Burst Trend-Seeking System
A Trend-Antitrend Trading System
Identifying Extraordinary Opportunities
Performance Update: 65sma-3cc System
Appendix to Chapter 4: Additional Performance Updates
5 Developing Trading System Variations
Channel Breakout on Close with Trailing Stops
Channel Breakout on Close with Volatility Exit
Channel Breakout with 20-Tick Barrier
Channel Breakout System with Inside Volatility Barrier
Statistical Significance of Channel Breakout Variations
The Long Bomb—A Pattern-Based System
Measuring the “Smoothness” of the Equity Curve
Effect of Exits and Portfolio Strategies on Equity Curves
Analysis of Monthly Equity Changes
Effect of Filtering on the Equity Curve
Stabilized Money Manager Rankings
Risk-Adjusted Measures of Performance
Comparison of Risk-Adjusted Performance Measures
Control Charts for Future Performance
Interaction: System Design and Money Management
Changing Bet Size After Winning or Losing
Depth of Drawdowns for Actual Performance Records
Estimating the Duration of Drawdowns
Risk and Reward in Stocks and Mutual Funds
What You Really Want To Know about Your System
Past Is Prolog: Sampling with Replacement
Data Scrambling: All the Synthetic Data You’ll Ever Need
Testing a Volatility System on Synthetic Data
Do You Believe in Your System?
“Guaranteed” Entry into Major Trends
How Will You Monitor Compliance?
Applications of Sports Psychology in Trading
Trading with Your Head and Heart
Appendix to Chapter 9: Creating an Automated Diary of Trading Emotions
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