Encyclopedia of trading strategies D.Kats D.Makkormik Part 2

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TABLE OF CONTENTS
Preface 9
Introduction 11
What is a fully mechanical trading system? 12
What are the inputs and outputs are considered optimal? 13
The scientific approach to the development of systems 15
Materials and methods required for a scientific approach 16
Part I. Tools 19
Introduction 19
Chapter 1. Data 21
Data Types 21
Time scale data 23
Data quality 25
Providers and Data Sources 29
Chapter 2. Simulation 32
Types of simulators 32
Programming simulator 32
Imprint simulator 34
The effectiveness of the simulator 41
Reliability simulators 45
Choosing the right simulator 45
Simulators used in this book 46
Chapter 3. Optimizers and optimization 47
What do optimizers 47
As used by the optimizer 48
Types of optimizers 49
How to fail in the optimization 59
How to succeed in optimizing 62
Alternatives to traditional optimization 65
Tools and information for optimization 66
Which optimizer is right for you? 68
Chapter 4. Statistics 69
Why do we need a statistical analysis when evaluating trading systems? 70
Sample 71
Optimization and adjustment of historical data for 72
The sample size and representativeness 75
Statistical evaluation system 75
Other statistical methods and their use 84
Conclusion 87
Part II. Research entries in the market 89
Introduction 89
What is a good entry? 89
Orders that are used at the entrances 90
Methods of input discussed in this book 92
Standardized outputs 96
Standardization dollar volatility 97
Portfolio and platform standard testing 101
Chapter 5. Models based on the breakout 103
Types of breakdowns 103
Features breakdowns 104
Test models based on the breakdown of 106
Inputs on the breakdown of the channel 106
Breakdowns maximum maximum / minimum wage 114
Inputs volatility breakout 118
Variations in the breakdown of volatility 122
Analysis and synthesis of 126
Conclusion 129
What have we learned? 130
Chapter 6. Models based on moving averages 131
What is the moving average? 131
Why moving averages 131
The problem of delay 132
Types of Moving Averages 133
Types of models with input based on the moving average of 135
Input characteristics based on moving averages 136
Orders are used to implement inputs 137
Testing Methodology 137
Tests models of trend-following 142
Tests of against models 148
Conclusion 154
What have we learned? 155
Chapter 7. Inputs based oscillators 157
What is an oscillator? 157
Types of oscillators 157
Getting input signals using oscillator 160
Input characteristics based oscillators 163
Testing Methodology 163
Test results 168
Test models based on the concept
overbought / oversold 168
Tests of models based on the divergence 172
Summary Analysis 175
Conclusion 177
What have we learned? 177
Chapter 8. Seasonality 178
What season? 178
Formation of seasonal inputs 180
Features seasonal inputs 182
Types of orders used to implement seasonal inputs 183
Testing Methodology 183
Test results 191
Conclusion 203
What have we learned? 204
Chapter 9. The lunar and solar rhythms 205
Madness or pattern? 205
Lunar cycles and trade 207
Entry signals based on the lunar cycle 207
Testing Methodology lunar models 209
Survey results 222
Conclusion 222
Solar activity and trade 223
Inputs based on solar activity 223
Results of testing solar models 224
Conclusion 227
What have we learned? 227
Chapter 10. Inputs based on 229 cycles
Detection of cycles using MESA 229
Detection of cycles using the filter group 230
Butterworth filters 232
Wave Filter 233
Getting cyclical trade entry signals
using a filter group 239
Features cyclic inputs 239
Testing Methodology 240
Results of testing 245
Conclusion 250
What have we learned? 251
Chapter 11. Neural Networks 252

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