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Index

#include, 115, 121, 313, 337 Account growth rate, 53 Adaptive Price Zone, 60, 147-149 Adding noise to data, 312-315 Advisory services, 251-252 AmiBroker, 55-70 Add an indicator, 63, 123-126 AddColumn, 107 AddToComposite (ATC), 238-247 Application Development Kit (ADK), 338-345 Automatic analysis, 65-83, 88-109, 131-133 Built-in exits, 94-95 BuyPrice, 88-106, 213-220, 320-321 Commentary window, 64-65 Context-sensitive help, 61 Create DLL, 338-350 Custom backtest, 329-338 Custom metric, 329-338 Data services, 61 Display a chart, 62 Display a price series, 62 Entries, 88-94, 103-107 Exits, 94-102 Exploration, 58, 71-75, 118-119 Extending, 329-350 Formula Language (AFL), 54, 56, 58 Functions Built-in, 111-121 Categories, 113 Composite, 112 Custom, 121-123 Date/Time, 112

Copyright © 2011 by Howard Bandy All rights reserved This document is a chapter of "Quantitative Trading Systems" Published by Blue Owl Press, Inc. www.quantitativetradingsystems.com

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Quantitative Trading Systems

Exploration, 118-119 File Input/Output, 119-120 Graphics, 120 Indicator, 112-113, 118-119 Information, 114 Lowest/Highest, 114 Math, 115 Miscellaneous, 115-116 Moving average, 116-117 Overview, 23, 55-70 Pattern, 111 Referencing other symbol, 120 Statistical, 117 String, 117-118 Summation, 116-117 Time Frame, 121 Trading system, 118 Indicators, Built-in, 123-124 Custom, 124-126 Looping, coding method, 58, 95-102, 346 Multiple time frames, 232-238 Optimize a trading system, 68-70, 127-136 Resources, 70 SellPrice, 88-106, 213-220 SetTradeDelays, 81, 88-89 Setup, 61 Test a trading system, 65-68 Video tutorials, 61 Watch list, 71-78 AmiQuote, 28-29, 57, 61, 78 Anticipating Signals, 36, 183-194 Artificial data, 256-257 Artificial intelligence, 44-45 ASCII, 61 Asset, 85 Automated Order entry systems, 56-57 Trading interface, 56 Average See mean Average True Range (ATR), 101-102 Backfilling, 61 Backtest, 15, 23, 57-59, 79-83, 88, 107-108, 213-223, 239-244, 261,264 Bar, 25 Barclay Trading Group, 244 Bergen, Herman van den, 238 Beta, 52, 123, 208 Betting sequence, 54 Bias, 16-17, 34-35 Binary search, 190-193 BioComp Dakota, 45, 288

Copyright © 2011 by Howard Bandy All rights reserved This document is a chapter of "Quantitative Trading Systems" Published by Blue Owl Press, Inc. www.quantitativetradingsystems.com

Index

Bloodshed, 339-344 Bollinger, 135, 148-149, 236-238 Brains, 252 Breakout, 34, 48, 90, 127, 133-136, 236-238 Broad market timing, 225-251 Buffett, Warren, 20 Bull market, 37, 141, 252 Buy and hold, 103 C++, 339-344 Capital appreciation, 21 Capital asset pricing model (CAPM), 19 Center of Gravity System, 143 Central Limit Theorem, 317 Chance process, 267-268, 270, 305 Chandelier Stop, 101-102 Chart analysis, 13-18, 57-58 Chi-square test, 271-271, 316 CNN Money, 28 Commissions, 32, 40, 48, 155 Commodity, 13, 20-21, 25, 30-31, 134-136 Commodity Systems, Inc (CSI), 28, 61 Commodity Trading Advisors (CTA), 10 Comparison of Two Means, 265-274 Compounded Annual Return (CAR), 51 Computer simulation, 10, 19, 38, 305-328 Conference Board, 17 Consistency, 29, 80 Conspiracy theory, 16 Constant expiration, 30-31 Continuous contract, 30-31 Controlled experiments, 19 Correlation, 19, 22, 199, 204, 208 Cumulative Distribution Function (CDF), 307-312, 317-318 Curve-fit, 17, 45-46, 87, 103, 133, 226, 255 Custom metrics, 50, 54, 329-338 Data, 25-32, 44-45 Acquisition, 39 FOREX, 32 Granularity, 14-15, 226 Historical, 28 Mining, 46, 153, 173 Normalization, 39 Quality, 29, 39 Revision, 26-27, 32 Snapshot, 27 Stock, 31 Day of Interest (DOI), 158-170 Day trading, 21, 26-27, 36 Degrees of freedom, 46, 103, 255, 271, 316 Delayed real-time, 26-28, 61

367

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368

Quantitative Trading Systems

Dennis, Richard, 48, 135-136 Designing entries, 103 Detrending, 149-150, 312 Diffusion Index, 151, 238-245 Dividends, 13, 14, 20, 29-32 Division of data, 44-45 DLL, 58, 122-123, 243, 338-350 Donchian, Richard, 34, 48, 135-136 Drag-and-drop, 58 Drawdowns, 20-21, 46, 49, 54, 56, 71, 79, 81, 96, 103-105, 138-151, 170-172, 209, 247, 258259, 301-304 DTN IQFeed, 61 Earnings, 13 EasyLanguage, 59 Eckhardt, William, 48, 136 Economic sectors, 199 Economists, 14 Efficient market hypothesis, 19-20 Ehlers, John, 143-145 End-of-day, 25-29, 35-36, 56-59 End of the month, 155, 170 Entries and exits, 85-110 Entry signals, 38 Equilibrium, 143 Equis, 28 Equity curve, 32, 34, 46-48, 49-53, 56, 58, 128, 184, 188, 209-210, 225, 247-251, 255, 258, 273, 275-294, 318-321, 331-337 eSignal, 59, 60, 352 Evolutionary operation, 43 Exchange traded funds (ETF), 137 Exhaustive search, 43-44, 260-264 Exit signals, 38 Expectancy, 52-56, 329-331 Expectations of Profitability, 252, 300-304 Extending AmiBroker, 329-350 Fast market, 323 FastTrack, 28, 61 Fidelity Investments, 60, 195, 199-202 Filters, 37, 58, 71-82, 87, 153-155, 181, 186, 213-215, 225-252, 257-259 Financial, Models, 19 Time series, 19, 33, 43 First notice, 30-31 Fitness See objective function Fold, 256 Force an Entry, 91 Foreign exchange (FOREX), 32 Formula Research, 231 Front month, 30-31 Full moon, 153, 165-167

Copyright © 2011 by Howard Bandy All rights reserved This document is a chapter of "Quantitative Trading Systems" Published by Blue Owl Press, Inc. www.quantitativetradingsystems.com

Index

Functions and indicators, 111-126 Fundamental analysis, 11, 13-17, 20, 27-28, 134, 195, 225 Future leak, 83, 107-109 Futures, 9, 13-14, 26, 28, 31, 35, 40, 136, 226 Geometric mean, 53 Google, 27 Government reports, 13-17 Granularity of data, 14-15, 226 Gross domestic product, 13 Head-and-shoulders, 18 Heine, Richard, 231 Historical data, 10, 15-16, 26-32 History is written by the winners, 304 Holding period, 9, 20-21, 34, 49, 56, 71, 80-82, 95, 103-105, 213, 254, 293, 301, 325 Hulbert Financial Digest, 251-252 Hypothesis Efficient market, 19-20 Experimental, 103, 265-274

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Income, 13, 20 Inefficient market, 18-24, 33, 47-48, 134 Inflation, 14 In-sample, 11, 35, 39-40, 45-46, 107, 141-142, 154-172, 176-181, 203, 209, 228, 242-243, 252, 253-264, 273, 275-294, 312-315 Insider information, 19-20 Intelligent Optimizer (IO), 45, 288 Interactive Brokers, 61, 85 Interest rates, 225-232 Intermarket analysis, 9, 226-232 Intraday, 26-28, 35-37, 40, 56-57, 135-137, 289 Inventory, 13 Investing, 11, 13-21, 79, 251, 295 Issue selection, 71-84 Jackknife, 256 Janeczko, Tomasz, 70, 147-148, 263-264 K-ratio, 51-52, 201, 209-212, 277-287, 315, 331-335 Lag, 14-15, 22, 25, 87, 271 Leverage, 35-41, 51, 204, 259, 322 Limit orders, 36, 40, 85-90, 95, 133 Liquidity, 71-78 Logical operators, 254 Lost opportunities, 103, 140 Luck, 24, 41, 47, 251-252, 267, 271, 295 Management decision, 49 Margin, 37, 81, 135-136, 322 Market Watch, 28 Math.h, 349 Mathematical, 9, 11, 13-14, 18, 38, 111, 261, 308-309

Copyright © 2011 by Howard Bandy All rights reserved This document is a chapter of "Quantitative Trading Systems" Published by Blue Owl Press, Inc. www.quantitativetradingsystems.com

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Quantitative Trading Systems

Maximum adverse excursion (MAE), 58 Maximum favorable excursion (MFE), 58 Maximum holding period See holding period Maximum loss stop, 94, 135, 322 Mean, 52-53, 81, 243, 265-273, 312, 316, 345-350 Mean-variance portfolio, 20 Mean reversion, 133, 143-152, 173 Measuring success, 49-54 Mersenne twister, 326-327 MetaStock, 55, 59, 61 Metric, 11, 16, 49-54, 58, 69, 132, 138, 176, 200-201, 207-221 Modeling Trading System Performance, 10, 38, 40-41, 54, 56, 172, 274, 327 Models, 10, 13-24, 26-31, 33, 36-48, 49-54, 56-57, 71, 103, 127, 153, 165, 165-172, 227, 232, 238, 253-259, 275-276, 286-287, 293, 305, 312-315, 324 Money management, 9, 52-54 Monte Carlo, 38-41, 56, 258, 305-328 Moving average, 19, 38, 43-48, 63, 87-90, 94-106, 116-117, 123-124, 127-133, 137-142, 145151,183-193, 214-220, 228-235, 251, 254, 275-276 msn Money, 28, 60-61 Multiple time frames, 58, 231-238 Mutual funds, 9, 13-14, 21, 25, 28, 36-37, 88, 195-205, 207-208, 213, 225, 296 n-bar stop, 95 See also holding period NASDAQ, 86, 137, 153, 219-223, 235, 296-302 Never work again, 33, 47-48 New highs, 90, 95, 238 New moon, 153, 165-167 Noise, 19, 45, 199, 253-258, 308, 312-315 Non-exhaustive optimization, 260-264 Non-stationary, 33 Normal distribution, 271, 273, 307-318 Null hypothesis, 265-272 NYSE, 301-303 Objective function, 11, 35-43, 49-54, 132, 170, 212, 254, 260-262, 275-276, 288-290, 331337 Object oriented, 54, 58 Optimization, 35, 39, 41-48, 49-50, 54, 56-59, 68-70, 99-102, 107-108, 118, 127-135, 146150, 154-155, 159, 162, 167, 175, 184, 209-211, 213, 220, 233-239, 242, 245-247, 253-263, 270, 273, 275-293, 312-315, 320, 323-326, 329-337 Options expiration day, 161 Orders Limit, 36, 40, 86-90, 133 Limit-if-Touched (LIT), 86 Limit-on-Close (LOC), 86 Limit-on-Open (LOO), 86 Market, 85, 88 Market-if-touched (MIT), 85 Market-On-Close (MOC), 36, 86, 88 Market-On-Open (MOO), 36, 86, 88 One-Cancels-All (OCA), 86 Stop, 36, 40, 85-86, 90, 133

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Index

371

Stop-Limit, 85 Trailing Stop, 85 Types, 85-94 Oscillator, creating, 149-150 Out-of-sample, 17, 35, 39-46, 49, 87, 107, 153-172, 173-181, 203-205, 209-210, 222, 226, 243, 253-264, 270-294, 313 Out-of-sample, contaminating, 17, 40, 226, 259 Outliers, 32, 259 Over-fit. See Curve-fit Parabolic, 98-101 Parameters, 34, 41-47, 68-70, 79, 87, 105, 121, 130, 149, 189-190, 213, 232, 253-254, 260264, 273, 275-293, 321, 326, 336-340 Particle swarm optimization, 45, 260-261 Pattern systems, 173-182 Penalty Functions, 331-337 Personality, 35, 38, 52 Pessimistic Return Ratio, 52 Phantom signal, 36 Phase-of-the-moon, 153, 165-167 Pivot Points, 125-126 Portfolio, 20, 34, 46, 52, 57-58, 133, 199, 208, 213-224 Position-in-range statistic, 145 PositionScore, 209, 212, 220-223, 243-244 Position sizing, 9, 40-41, 46, 51-57, 172, 322-326 Premium Data, 28 Price to earnings ratios, 13 Price to sales ratios, 13 Probability, 24, 39, 267-273 Probability density function (pdf), 306-309 Profit target, 33, 38, 51, 95-98, 133, 208, 293, 325 Programs, Systems and AFL code Adaptive Price Zone, Figure 10.5, 147-148 Adaptive Price Zone - Modified, Figure 10.6, 148-149 Add Noise, Figure 22.7, 313-314 ATC Simple Test, Figure 17.9, 239-240 Basic Intermarket Analysis, Figure 17.1, 227 Bollinger Band Breakout, Figure 9.13, 135 Center of Gravity, Figure 10.1, 143-144 Chandelier Stop, Figure 7.12, 101-102 Chandelier Stop in One Line, Figure 7.13, 102 CMO Oscillator, Figure 20.2, 277-278 Commentary Window, Figure 5.7, 64-65 Compute Daily Percent Changes, Figure 22.10, 316 Custom Metric, Figure A.1, 330 Custom Metric with Penalty, Figure A.7, 334-335 Detrended Price Oscillator, Figure 10.8, 149-150 Diffusion Index from ZScore, Figure 17.13, 243-244 Donchian Breakout, Figure 9.14, 136 Dual Time Frame Bollinger Bands, Figure 17.8, 236-238 Enter at Fixed Interval, Figure 7.6, 92-93 Enter at Market, Figure 7.1, 89

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Quantitative Trading Systems

Enter at Random, Figure 7.5, 91-92 Enter at Stop, Figure 7.3, 90 Enter on Limit, Figure 7.2, 89-90 Enter on Specific Date, Figure 7.4, 91 Entry Identification I, Figure 7.14, 104-105 Entry Identification II, Figure 7.16, 105-106 Equity Allocation, Figure 22.22, 325-326 Example Optimize, Figure 5.16, 68 Example Trading System, Figure 5.8, 65 Expectancy Percentage, Figure A.3, 331 Export Data Series, Figure 14.1, 196 Exposure Mult Pseudo Code, Figure A.5, 333 Future Leak, Figure 7.18, 108 Generic Binary Search, Figure 13.13, 192-193 IIR2, Figure 8.1, 122 Initialization of CDF, Figure 22.5, 310-311 Intermarket Filter, Figure 17.3, 228-230 Issue Selection Filter, Figure 6.1, 72 Issue Selection Filter, Figure 6.4, 74-75 MACD Dema Indicator, Figure 8.3, 124-125 MA Cross Fixed Lengths, Figure 9.10, 132 MA Cross Optimize, Figure 9.6, 131 MA Cross System, Figure 9.1, 128 MA Cross with Prediction, Figure 13.8, 187-188 Moving Average Crossover Predict, Figure 13.6, 186 Moving Average Crossover System, Figure 13.2, 184 Normal Random Number, Figure 22.6, 312 Optimizing within ATC, Figure 17.15, 245-246 Parabolic Stop - Looping Code, Figure 7.11, 99-101 Pattern Daily Close, Figure 12.1, 174-176 Pivot Points, Figure 8.5, 125-126 Plot Test Run, Figure 17.17, 249-250 Process Signals, Figure 14.3, 197-198 Profit Target, Figure 7.9, 95-97 Scale In, Figure 7.7, 93-94 Scale Out, Figure 7.10, 97-98 Seasonality Day of Month - Testing, Figure 11.1, 155 Seasonality Day of Month - System, Figure 11.3, 155-157 Seasonality of the Moon, Figure 11.15, 165-167 Seasonality Options Expiration, Figure 11.11, 162 Seasonality Trading Day - Testing, Figure 11.6, 158-159 Seasonality Trading Day - System, Figure 11.8, 160 Sector Correlation, Figure 14.5, 199 Sector Rotation, Figure 15.1, 209 Sector Rotation - Modified, Figure 15.8, 211 Signals from Common Series, Figure 14.4, 198 Simple Diffusion Index, Figure 17.11, 241-242 Simple Portfolio Example, Figure 16.2, 214 Simple Portfolio Example - Multiple Trades, Figure 16.10, 218 Simple Trading System with Position Score, Figure 16.14, 220-221 Simulate Random Long Graphic, Figure 22.16, 321 Simulate Random Long Report, Figure 22.14, 320

Copyright © 2011 by Howard Bandy All rights reserved This document is a chapter of "Quantitative Trading Systems" Published by Blue Owl Press, Inc. www.quantitativetradingsystems.com

Index

Stochastic of the RSI, Figure 10.3, 146 TBond Overnight, Figure 9.12, 134-135 Testing Risk per Trade, Figure 22.20, 324 Testing Risk per Trade with Stop, Figure 22.21, 324 Time Frame Weekly, Figure 17.5, 232-234 Trading Long and Short, Figure 14.11, 202-203 Uniform Random Number, Figure 22.4, 308-309 Weekly MACD FIlter using Daily Data, Figure 17.6, 234-235 Weekly MACD FIlter using Weekly Data, Figure 17.7, 235-236 Z-score, Figure A.29, 345 Z-score Cpp, Figure A.32, 347-348 Z-score Cpp, Figure A.35, 349-350 Z-score Loop, Figure A.30, 345-347 ZigZag, Figure 6.13, 80-81 Psychology, 33 Quality of entry signals, 104-107 Quantitative analysis, 9-11, 13-24, 195-199 Quote.com, 61 Quotes Plus, 28, 61 Random entry, 91-93, 104, 107, 320-321 Random numbers, 305-312, 326-327 Real-time, 26-28, 57-61, 183, 190 Real estate, 21 Real money, 23, 39, 151, 294 Recognizing goodness, 49 Regression analysis, 18-19, 346 Repeated sampling, 305, 317 Research reports, 13 Restatements, 15, 304 Retracements, 11, 18, 203 Reuters, 28, 59 Risk, 19, 35, 37, 324-327 Risk adjusted return (RAR), 50-52, 170, 176, 209, 242 Robustness, 19 Rollover 30-31 Rotational systems, 55, 207-212 Roulette, 54 Runs test, 248-250 Russell 2000, 50, 315

373

S&P 500, 15, 31, 46, 137-138, 155, 200-203 Sales, 13 Scaling in, 93-94 Scaling out, 97-98 Seasonality procedure, 154 Seasonality systems, 153-172 Second Edition, 55-56, 137-142, 151-152, 170-172, 211-212, 260-264, 274, 288, 304, 326-327 Stop and Reverese (SAR), 98-99 Scanning, 57-58 Seasonality system, 147-164 Sector analysis, 195-206

Copyright © 2011 by Howard Bandy All rights reserved This document is a chapter of "Quantitative Trading Systems" Published by Blue Owl Press, Inc. www.quantitativetradingsystems.com

374

Quantitative Trading Systems

Sector-oriented funds, 195, 207 Security analysts, 14 Semi-deviation, 52 Semi-strongly efficient, 19 Sensitivity, 38, 41, 258, 263, 308, 312-314 Signal component, 19, 253-258, 312 Signals, Anticipating, Make an estimate 183-186 Precalculate knowing formula 186-190 Prediction without knowing formula 190-193 Signal to noise ratio, 19, 199 Simulation, 10, 18-19, 38, 56, 307-308, 315, 318-323, 327 Skill, 24, 251-252, 295 Slippage, 23, 40, 86-87, 133-134 Smoothing, 35, 122, 199, 238, 312 Snapshot data, 27 Solitaire, 23 Sortino ratio, 52 Split, 23, 29-32, 73, 78, 304 Stability, 38, 263, 278 Standard deviation, 19, 41, 81, 243, 259, 267-273, 309, 315-316 Standard error, 268, 331 Stationary, 19, 33, 253-258, 275, 323 Statistical methods, 13, 17-23, 27, 41, 45, 49, 103, 107, 153, 165, 169, 248-249, 255, 265-274, 293, 309, 317, 319 Stochastic of RSI System, 146 Stock data, 9-10, 13-15, 19-21, 25, 28, 31-32, 37-38, 40, 46, 73, 79, 85, 134-137, 153-172, 195, 199-205, 219, 225-252, 296-304 Stop, 22, 33, 37-40, 85-86 Chandelier 101-102 Parabolic 98-101 Trailing 79, 98, 133-137 Stop And Reverse (SAR), 87, 98-101 Stops Hurt Systems, 323 Strongly efficient, 19 Subjective, 11, 14, 18, 20, 49, 226 Survivor bias, 17, 295-304 Swing trading, 21, 32, 143 Symbol space, 47, 254 Synchronization, 22, 172, 249, 253, 256, 275, 293 System design outline, 34-41 TC 2000 and TC 2007, 28, 61 Technical analysis, 10-11, 13, 17-18, 21, 23 Technical Analysis of Stocks and Commodities, 59, 70, 147, Tharp, Van, 34 Theoretical models, 19 Tick data, 25-27, 57-58 Time series, 19, 22, 33, 43 Timing, broad market, 225-251 Tonetti, Fred, 45 TradeStation, 55, 59-60

Copyright © 2011 by Howard Bandy All rights reserved This document is a chapter of "Quantitative Trading Systems" Published by Blue Owl Press, Inc. www.quantitativetradingsystems.com

Index

Trading, 21 Trading day of the month, 158 Trading frequency, 35, 53, 56, 199, 213, 226 Trading model, 14, 18, 22, 33, 275 Trading range, 129, 151, 247-251 Trading system development platforms, 23, 48, 50, 55-60 Trading system overview, 33-48 Trading systems, 22 Trailing stop, 79, 98, 133-137 Trend, 348 Trending systems, 127-142 Turtles, 136 Type I and Type II Errors, 103, 269-271 Unemployment, 14-15 Unethical behavior, 251 Uniform distribution, 306-309, 318, 326-327 Validation, 9, 13-21, 27, 34-36, 39-40, 44, 46, 49, 57, 107, 173, 225, 275-294, 329 Variance, 20, 52, 199 Vince, Ralph, Walk forward, 40, 45, 50, 57, 258, 275-294, 329, 337 Weakly efficient, 20 Wealth-Lab, 60 Why 30, 273 Yahoo, 27-28, 45, 60-61, 70, 227, 288 Z-score, 62, 151, 267-268, 344-350 ZigZag, 79-83, 87, 203

375

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376

Quantitative Trading Systems

Copyright © 2011 by Howard Bandy All rights reserved This document is a chapter of "Quantitative Trading Systems" Published by Blue Owl Press, Inc. www.quantitativetradingsystems.com

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