Encyclopedia Of Trading Strategies

What Is a Complete Mechanical Trading System? - What Are Good Entries and Exits? * The Scientific Approach to System Development * Tools and Materials Needed for the Scientific Approach PART I Tools of the Trade Introduction 1 Chapter 1 Data 3 Types of Data * Data Time Frames * Data Quality l Data Sources and Vendors Chapter 2 Simulators 13 Types of Simulators * Programming the Simulator * Simulator Output @erformance summnry reports; trade-by-trade reports) * Simulator Perfomxmce (speed: capacity: power) l Reliability of Simulators - Choosing the Right Simulator * Simulators Used in This Book Chaoter 3 Optimizers and Optimization 29 What Optimizers Do * How Optimizers Are Used * ?Lpes of Optimization (implicit optimizers; brute force optimizers; user-guided optimization; genetic optimizers; optimization by simulated annealing; analytic optimizers; linearpmgrwnming) l How to Fail with Optimization (small samples: large fxmztneter sets; no veri~cation) . How to Succeed with O&mization (h-ge, representative samples; few rules andparameters; veriicatim @results) * Alternatives to Traditional Optimization * Optimizer Tools and Information * Which Optimizer Is forYou

Statistics 51 Why Use Statistics to Evaluate Trading Systems? l Sampling * Optimization and Curve-Fitting l Sample Size and Representativeness . Evaluating a System Statistically * Example 1: Evaluating the Out-of-Sample Test (what ifthe distribution is not normal? what if there is serial dependence? what if the markets change?) l Example 2: Evaluating the In-Sample Tests * Interpreting the Example Statistics (optimization i-esults; verification results) l Other Statistical Techniques and Their Use (genetically evoJved systems; multiple regression; monte car10 simulations; out-of-sample testing; walk-forward testing) * Conclusion PART II The Study of Entries Introduction 71 What Constitutes a Good Entry? * Orders Used in Entries (stop orders; limit orders; market orders; selecting appropriate orders) * Entry Techniques Covered in This Book (breakouts and moving averages; oscillators; seasonality: lunar and solar phenomena: cycles and rhythms; neural networks; geneticaNy evolved entry rules) * Standardized Exits * Equalization of Dollar Volatility * Basic Test Portfolio and Platfcnm Chapter 5 Breakout Models 83 Kinds of Breakouts l Characteristics of Breakouts . Testing Breakout Models l Channel Breakout Entries (close only channel breakouts; highest higMowest low bnxzkouts) l Volatility Breakout Entries l Volatility Breakout Variations (long positions only; currencies only; adx tremififilter) . Summary Analyses (breakout types: entry orders; interactions; restrictions andjilters; analysis by market) * Conclusion l What Have We Lamed? Chapter 6 Moving Average Models 109 What is a Moving Average? - Purpose of a Moving Average * The Issue of Lag l Types of Moving Averages l Types of Moving Average Entry Models l Characteristics of Moving Average Entries l Orders Used to Effect Entries * Test Methodology ’ Tests of Trend-Following Models * Tests of Counter-Trend Models * Conclusion l What Have We Learned?