Trading Systems and Methods - Perry J Kaufman

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Auteur(s) : Perry J Kaufman

Editeur : Wiley

Langue : Anglais

Parution : 01/10/2019

Format : Moyen, de 350g à 1kg

Nombre de pages : 1168

Expédition : 1709

Dimensions : 26.1 x 18.4 x 4.8

ISBN : 9781119605355

Résumé :

The new edition of the definitive reference to trading systems-expanded and thoroughly updated.

Professional and individual traders haverelied on?Trading Systems and Methods?for over three decades. Acclaimed trading systems expert Perry Kaufman provides complete, authoritative information on proven indicators, programs, systems, and algorithms. Now in its sixth edition, this respected book continues to provide readers with the knowledge required to develop or select the trading programs best suited for their needs. In-depth discussions of basic mathematical and statistical concepts instruct readers on how much data to use, how to create an index, how to determine probabilities, and how best to test your ideas. These technical tools and indicators help readers identify trends, momentum, and patterns, while an analytical framework enables comparisons of systematic methods and techniques.?

This updated, fully-revised edition offers new examples using stocks, ETFs and futures, and provides expanded coverage of arbitrage, high frequency trading, and sophisticated risk management models. More programs and strategies have been added, such as Artificial Intelligence techniques and Game Theory approaches to trading. Offering a complete array of practical, user-ready tools, this invaluable resource:

• Offers comprehensive revisions and additional mathematical and statistical tools, trading systems, and examples of current market situations
• Explains basic mathematical and statistical concepts with accompanying code
• Includes new Excel spreadsheets with genetic algorithms, TradeStation code, MetaStock code, and more
• Provides access to a companion website packed with supplemental materials

Trading Systems and Methods?is an indispensable reference on trading systems, as well as system design and methods for professional and individual active traders, money managers, trading systems developers.?

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Biographie:

PERRY J. KAUFMAN is a financial engineer, well-known for developing algorithmic strategies for the global equity and futures markets. Mr. Kaufman's Trading Systems and Methods has been called the most authoritative and comprehensive work in the field. He is also author of A Guide to Creating a Successful Algorithmic Trading Strategy (Wiley). Mr. Kaufman also co-founded the Journal of Futures Markets....

Sommaire:

Preface xv

Chapter 1 Introduction 1

The Expanding Role of Technical Analysis 1

Convergence of Trading Styles in Stocks and Futures 3

Professional and Amateur 5

Random Walk 6

Deciding on a Trading Style 7

Measuring Noise 9

Maturing Markets and Globalization 12

Background Material 14

System Development Guidelines 15

Objectives of This Book 16

Profile of a Trading System 17

A Word about the Notation Used in This Book 20

A Final Comment 20

Chapter 2 Basic Concepts and Calculations 21

A Brief Word About Data 22

Simple Measures of Error 23

On Average 24

Price Distribution 28

Moments of the Distribution: Mean, Variance, Skewness, and Kurtosis 32

Choosing Between Frequency Distribution and Standard Deviation 37

Measuring Similarity 38

Standardizing Risk and Return 40

The Index 45

An Overview of Probability 50

Supply and Demand 56

Chapter 3 Charting 67

Finding Consistent Patterns 68

What Causes the Major Price Moves and Trends? 70

The Bar Chart and Its Interpretation by Charles Dow 71

Chart Formations 80

Trendlines 81

One-Day Patterns 89

Continuation Patterns 101

Basic Concepts in Chart Trading 105

Accumulation and Distribution: Bottoms and Tops 106

Episodic Patterns 118

Price Objectives for Bar Charting 119

Implied Strategies in Candlestick Charts 126

Practical Use of the Bar Chart 131

Evolution in Price Patterns 134

Chapter 4 Charting Systems 137

Dunnigan and the Thrust Method 138

Nofri's Congestion-Phase System 141

Outside Days and Inside Days 143

Pivot Points 145

Action and Reaction 146

Programming the Channel Breakout 153

Moving Channels 155

Commodity Channel Index 156

Wyckoff's Combined Techniques 157

Complex Patterns 158

Computer Recognition of Chart Patterns 160

Chapter 5 Event-Driven Trends 167

Swing Trading 167

Point-and-Figure Charting 176

The N-Day Breakout 195

Chapter 6 Regression Analysis 207

Components of a Time Series 207

Characteristics of the Price Data 208

Linear Regression 210

Linear Correlation 218

Nonlinear Approximations for Two Variables 222

Transforming Nonlinear to Linear 225

Multivariate Approximations 228

ARIMA 233

Basic Trading Signals Using a Linear Regression Model 238

Measuring Market Strength 241

Chapter 7 Time-Based Trend Calculations 243

Forecasting and Following 244

Price Change over Time 247

The Moving Average 248

The Moving Median 255

Geometric Moving Average 255

Accumulative Average 256

Drop-off Effect 256

Exponential Smoothing 257

Plotting Lags and Leads 267

Chapter 8 Trend Systems 269

Why Trend Systems Work 269

Basic Buy and Sell Signals 274

Bands and Channels 280

Choosing the Calculation Period for the Trend 290

A Few Classic Single-Trend Systems 291

Comparison of Single-Trend Systems 295

Techniques Using Two Trendlines 307

Three Trends 314

Comprehensive Studies 318

Selecting the Trend Speed to Fit the Problem 318

Moving Average Sequences: Signal Progression 319

Early Exits from a Trend 322

Projecting Moving Average Crossovers 323

Early Identification of a Trend Change 323

Chapter 9 Momentum and Oscillators 325

Momentum 326

Adding Volume to Momentum 339

Diverge...