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Computerized Trading (Jurik Mark)
Contents Preface—ix Introduction—xi Part I Basic Trading Skills and Methods Parti Introduction........................................ 1 Chapter 1 Trading Methods.................................... 3 Chapter 2 Popular Trading Indicators ............................ 13 Chapter 3 Combining Trend Analysis with Indicator Readings ......... 30 Chapter 4 Forecasting with Mobility Oscillators .................... 40 Chapter 5 Entering a Market................................... 63 Chapter 6 Exiting a Market.................................... 76 Chapter 7 Basic Money Management ............................ 100 Parti Summary.......................................... 120 Part II Testing and Evaluation Part II Introduction ....................................... 125 Chapter 8 Backtesting........................................ 127 Chapter 9 Evaluating Trading Performance ........................ 137 Part II Summary.......................................... 161 PART III Assessing the Market and Yourself Part III Introduction........................................ 163 Chapter 10 Trading to Win: The Psychology of Trading ............... 165 Chapter 11 Quantifying a Market's Upside and Downside Potential ...... 178 Chapter 12 Choosing a Bar Length or Trading Interval ................ 193 r ,. ~ . ■ • . . 208 Chanter 13 System Portfolio Optimization ..................... F ..... 214 Part III Summary................................. PART IV Advanced Indicators and Forecasting , . ........ 219 Part IV Introduction.............................. Chapter 14 Developing a Trading System Using Intermarket Analysis..... 221 Chapter 15 Complex Indicators: Nonlinear Pricing and Reflexivity....... 252 • 269 Chapter 16 Making Profits with Data Processing..................... Chapter 17 Modeling the Markets Using Statistical Network Data Mining . 290 Chapter 18 Case Study: Building an Advanced Trading System.......... 317 ... 337 Part TV Summary.................................... Epilogue—340 Appendices ..... 343 Appendices Introduction.................................... 345 A Financial Data Sources ............................... 355 В Finding the Best Data................................ С Books, Consultants, Software .......................... D Project Nimble: An Automated Equity Options Market Making System............................... 397 E About the Editor and Contributors...................... Index—407 Preface One of the advantages of the Internet is that you can easily gauge the pulse of the masses. For example, questions repeatedly asked on forums related to financial trading indicate a constant need for certain information not commonly available. Questions like the following appear over and over: • Will this endeavor cost me lots of money just to get started? • What's the best time frame (hourly, daily, etc.) to trade in? • What are the basic ways to enter and exit a market? • How should I evaluate my trading system? • What is the best way to receive live data? • How should I build a neural net based trading system? To satisfy the novice trader's need for information, I agreed to be the editor of Computerized Trading. This book discusses a broad range of topics related to using computers for investing and trading the financial markets. Twenty authors have contributed chapters discussing their favorite topics. Topics are presented in a progressively more advanced sequence, beginning with basic trading methods, through system testing and evaluation, all the way to advanced indicators and forecasting. Computerized Trading also includes a comprehensive list of data vendors and, for the first time ever, a description of how real-time data is collected and processed, and the various methods of data distribution. This is essential reading when your data feed is acting up and you do not have a clue what has gone wrong. As editor of Computerized Trading, I have made sure that each chapter is informative, contributes to the big picture, and is organized with the other chapters in logical sequence. I have included an introduction and summary for each of the book's four parts, to make the book even more user friendly. Part I discusses the basic trading skills and methods needed by the novice. We begin by comparing trading styles to prepare you for the psychological pressures awaiting you. Chapters 2, 3, and 4 review technical indicators and their general use. Chapters 5 and 6 show ways you can enter and exit a trade, and Chapter 7 covers basic money management techniques, an essential part of any trading strategy. Part II discusses the important issue of testing and evaluating your trading system. Chapter 8 comments on backtesting methodology and Chapter 9 reviews numerous ways to assess system performance. It is foolish to trade for real without a complete understanding of both your own and your system's strengths and weaknesses. Part III discusses intermediate-level issues. Chapter 10 delves into the psychological issues required to master trading. Chapter 11 shows how to quantify a market's upside and downside potential by creating trading zones. Chapter 12 reveals a ttch-^fet^ing among time frames. Chapter 13 supports the pracuce of using d,- of constructing market models as powerful indicators cZ™ 14 illustrates by examples the power of including intermarket £o3s notes the importance of using the correct paradigm or modeling EbShi by failing to'do so, current models fall ^^V^ market inefficiencies. In particular, the author shows how an improper paradigm is TkewSe modern option pricing models-information that can be exploited by the saX Ider. Chapter /reveals how properly preprocessingfinanaal data pr or to mldel ng can greatly enhance system accuracy. Chapter 17 offers an examp of how ^model the market using the Statistical Data Mining technique. Chapter 18 is a complete case study on building an advanced trading system ., , The appendices cover the practical issues of gathering knowledge and data. Appendix A provides a brief ove^iew of the issues when selecting a financial data Pp ovlde, а L of data vendors and their services. Appendix В discusses, in fine PdЙbow financial data is generated and transmitted through vendors to y~ nuter and all the things that can go wrong along the way. Appendix С includes weo hvPedinb to three of my collections: (1) financial book reviews written by red aader S) quality trading system programmers for Omega Research products, and ^^toJLvc companies whose products are useful in market forecasting Appendix D is a short true story about lessons learned, as relevant today as it was dfcades ago. Appendix E introduces all the contributing authors to this book Editine a book this size was a task whose sheer enormity overwhelmed me. So, in addk on to the authors of each chapter, I relied heavily on the contributions of many experienced traders, especially through these four moderated forums on the Internet: • ati@sciapp.com • scilink@sciapp.com • omega-list@eskimo.com • realtraders@listserver.com To make it easier to find up-to-date information about a product or service mentioned inTht book, I have included identifying hyperlinks to relevant Web sites. How-Гг го Lsurethese hyperlinks will not age, I have included only those links that point о original domains and not to accounts within an Internet service provider (ISP I hope you will carefully consider all the issues discussed in this book ^deciding what to purchase. Your adventure in computerized trading will cost you a small fortune. Oh, yes it will. May you acquire an even greater fortune. |
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Computerized Trading (Jurik Mark)