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Table Of Contents

TYPES OF DATA
DATA TIME FRAMES
DATA QUALITY
DATA SOURCES AND VENDORS
TYPES OF SIMULATORS
SIMULATOR OUTPUT
SIMULATOR PERFORMANCE
RELIABILITY OF SIMULATORS
CHOOSING THE RIGHT SIMULATOR
SIMULATORS USED IN THIS BOOK
WHAT OPTIMIZERS DO
HOW OPTIMIZERS ARE USED
TYPES OF OPTIMIZERS
Analytic Optimizers
HOW TO FAIL WITH OPTIMIZATION
Small Samples
HOW TO SUCCEED WITH OPTIMIZATION
Few Rules and Parameters
ALTERNATIVES TO TRADITIONAL OPTIMIZATION
OPTIMIZER TOOLS AND INFORMATION
WHICH OPTIMIZER IS FOR YOU?
WHY USE STATISTICS TO EVALUATE TRADING SYSTEMS?
SAMPLING
OPTIMIZATION AND CURVE-FITTING
Example 1: Evaluating the Out-of-Sample Test
WHAT CONSTITUTES A GOOD ENTRY?
ORDERS USED IN ENTRIES
Lunar and Solar Phenomena
Cycles and Rhythms
BASIC TEST PORTFOLIO AND PLATFORM
KINDS OF BREAKOUTS
CHARACTERISTICS OF BREAKOUTS
TESTING BREAKOUT MODELS
HIGHEST HIGH / LOWEST LOW BREAKOUTS
VOLATILITY BREAKOUT ENTRIES
VOLATILITY BREAKOUT VARIATIONS
Long Positions Only
TYPES OF MOVING AVERAGE ENTRY MODELS
TESTS OF TREND-FOLLOWING MODELS
TESTS OF COUNTER-TREND MODELS
KINDS OF OSCILLATORS
GENERATING ENTRIES WITH OSCILLATORS
CHARACTERISTICS OF OSCILLATOR ENTRIES
TEST METHODOLOGY
TESTS RESULTS
TESTS OF OVERBOUGHT/OVERSOLD MODELS
Tests of Signal Line Models
TESTS OF DIVERGENCE MODELS
WHAT IS SEASONALITY?
GENERATING SEASONAL ENTRIES
CHARACTERISTICS OF SEASONAL ENTRIES
ORDERS USED TO EFFECT SEASONAL ENTRIES
WHAT HAVE WE LEARNED?
Tests of the Crossover Model with Confirmation and Inversions
CYCLE DETECTION USING MESA
DETECTING CYCLES USING FILTER BANKS
CHARACTERISTICS OF CYCLE-BASED ENTRIES
TEST RESULTS
WHAT ARE NEURAL NETWORKS?
Feed-Forward Neural Networks
NEURAL NETWORKS IN TRADING
FORECASTING WITH NEURAL NETWORKS
GENERATING ENTRIES WITH NEURAL PREDICTIONS
TIME-REVERSED SLOW %K MODEL
Test Methodology for the Reverse Slow %K Model
Test Methodology for the Turning-Point Model
Training Results for the Turning-Point Model
TRADING RESULTS FOR ALL MODELS
Trading Results for the Reverse Slow %K Model
SUMMARY ANALYSES
WHAT ARE GENETIC ALGORITHMS?
EVOLVING RULE-BASED ENTRY MODELS
THE IMPORTANCE OF THE EXIT
GOALS OF A GOOD EXIT STRATEGY
KINDS OF EXITS EMPLOYED IN AN EXIT STRATEGY
Money Management Exits
STANDARD ENTRIES FOR TESTING EXITS
WHAT IS THE STANDARD EXIT STRATEGY?
CHARACTERISTICS OF THE STANDARD EXIT
PURPOSE OF TESTING THE SES
TESTS OF THE ORIGINAL SES
PURPOSE OF THE TESTS
TESTS OF THE FIXED STOP AND PROFIT TARGET
TESTS OF DYNAMIC STOPS
Test of Highest-High/Lowest-Low Stop
Test of the Dynamic ATR-Based Stop
Test of the MEMA Dynamic Stop
TEST OF THE PROFIT TARGET
TEST OF THE EXTENDED TIME LIMIT
MARKET-BY-MARKET RESULTS FOR THE BEST EXIT
TEST METHODOLOGY FOR THE NEURAL EXIT COMPONENT
RESULTS OF THE NEURAL EXIT TEST Baseline Results
TEST METHODOLOGY FOR THE GENETIC EXIT COMPONENT
CONCLUSION
THE BIG PICTURE
Summary
POINTS OF LIGHT
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Encyclopedia of Trading Strategies

Encyclopedia of Trading Strategies

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Published by Ricardo Pacioni

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Published by: Ricardo Pacioni on Oct 18, 2011
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