Dedication.
Preface: Closing the Gap Between Expectations and Reality.
Acknowlegements.
1. Introduction.
2. Basic Concepts.
3. Charting.
4. Charting Systems.
5. Event-Driven Trends.
6. Regression Analysis.
7. Time-Based Trend Calculations.
8. Time-Based Trends Systems.
9. Momentum and Oscillators.
10. Seasonality.
11. Cycle Analysis.
12. Volume, Open Interest, and Breadth.
13. Spreads and Arbitrage.
14. Behavioral Techniques.
15. Pattern Recognition.
16. Day Trading.
17. Adaptive Techniques.
18. Price Distribution Systems.
19. Multiple Time Frames.
20. Advanced Techniques.
measuring volatility
trade selection
price-volume distribution
trends and noise
expert systems
fuzzy logic
fractals, chaos and entropy
nural networks
genetic algorithms
considering genetic algorithms nural networks and feedback
21. System Testing.
22. Practical Considerations.
23. Risk Control.
mistaking luck for skill
risk aversion
liquidity
measureing return and risk
leverage
individal trade risk
ranking of markets for selection
probability of success and ruin
compounding a position
equity trends
investing and reinvesting: optimal f
comparing expected and actual results
24. Diversification and Portfolio Allocation.
Appendix 1: Statistical Tables.
Appendix 2: Method of Least Squares.
Appendix 3: Matrix Solutions to Linear Equations and Markov Chains.
Appendix 4: Trigonometric Regression for Finding Cycles.
Appendix 5: Fourier Transformation.
Appendix 6: Construction of a Pentagon.
Bibliography.
Index.
The bestselling guide to trading systems, updated for the 21st century
For more than two decades, futures traders have turned to the classic Trading Systems and Methods for complete information about the latest, most successful indicators, programs, algorithms, and systems. Perry Kaufman, a leading futures expert highly respected for his years of experience in research and trading, has thoroughly updated his bestselling guide, adding more systems, more methods, and extensive risk analysis to keep this the most comprehensive and instructional book on trading systems today. This detailed, hands-on manual offers a complete analysis, using a systematic approach with in-depth explanations of each technique. This Fourth Edition also provides readers with a CD-ROM that contains the TradeStation EasyLanguage program, Excel spreadsheets, and Fortran programs that appear in the book.
Perry J. Kaufman (Redding, CT) is a financial engineer and a leading expert in trading systems. As an advisor to major international trading companies and financial institutions, and as a principal of successful investment funds, he is actively involved in the practical analysis needed to support international investment management. He can be reached at pjk@perrykaufman.com.
