· 1194 INDEX Arbitrage (continued) single stock futures and underlying stock, 580—581 soybean crush, 587—588 Stress Indicator, 584—586 TED spread, 594 yield curve, 592—596

AAcceleration, 411—416Accumulation—bottoms and tops, 118—132 Accumulation distribution, 541Accumulative average, 293

Reset, 293Adaptive techniques, 779—799

Chande’s Variable Index Dynamic Average, 784—785

comparisons, 786—788correlation coeffi cient, r2, 785dynamic momentum index, 795—796effi ciency ratio, 780—781FAMA, 790—791Fractal Adaptive Moving Average,

790—791fractal dimension, 784fractal effi ciency, 780—781intraday breakout system, 796—797KAMA, 779—783Kaufman’s Adaptive Moving Average,

779—783MAMA, 790—791Master Trading Formula, 792—793McGinley Dynamics, 790MESA Adaptive Moving Average, 790momentum calculations,788Parabolic Time/Price System, 790—792process development example, 797—798RSI, 788—789stochastic, variable-length, 779trend-adjusted oscillator, 793—795VIDYA, 784—785

A/D oscillator, 397—401Advance-Decline System, 557Advanced techniques, 845—903ADX, 1065—1066

fi lter, 417Agricultural patterns,

Also see Intraday patterns, Seasonality

Allocation. See Optimal f, Portfolio allocation

Alpha, 1099 Amazon seasonality, 437AMR seasonality, 469—470Annualized volatility, 1040Annualizing, 48—52, 801—802Anti-Martingales, 1001—1003, 1008—1010Anticipating

a trend change, 316—317, 366moves using price distributions, 805

Apple, GeraldVIX system, 859

Arbitrage, 565, 569, 572—596Also see Spreadsbutterfl y spreads, 591—592carrying charge, 573—574carry trade, 596—599convenience yield, 573crack spread, 588—589crossrates, 575—576Eurodollar strip, 594—595forward rate parity, 574—575implied interest rates, 595—596

goldintercrop spreads, 589—591interest rate parity, 574—575intermarket index spreads, 581—583 merger arb, 579—580market neutral, 613—614pairs trading, 583—587

position sizing, 586stock and futures, 590

product spreads, 587program trading, 576—579

fair value, 579representative subset, 578

rating services, 612—613relative value trade, 612reverse crack, 589

Index

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1194 INDEX

Arbitrage (continued)single stock futures and underlying stock,

580—581soybean crush, 587—588Stress Indicator, 584—586TED spread, 594yield curve, 592—596

ARIMA, 266— 273Also see RegressionARIMA strategies, 271—273

Arms, RichardArms Index (TRIN), 550 Equivolume, 534

Artifi cial intelligence methods, 735—736Aspects, planetary,

See Astrology, fi nancialAspray’s Demand Oscillator, 542—543Asset allocation.

See Portfolio allocationAstrology, fi nancial, 671—683

aspects, 676—677Force of attraction, 672Jupiter-Saturn cycle, 672—676Solar eclipse, 674, 680—681Lunar eclipse, 674, 681—683Universal Clock (Jeanie Long), 675moon, full and new, 677—679lunar phases, 679—683

Attractors, 882Autoregressive Integrated Moving Average.

See ARIMAAverage-off, 287Averages, 30—33, 37—38

Also see Moving averagesseasonal, 441—444

Average Directional Movement IndexSee ADX

Average Maximum Retracement (AMR), 1036—1037

Average true range, 850—853, 856, 858Average volume, 535

BBands and channels, 321—330

Also see Confi dence bandsKeltner channels, 321percentage bands, 321volatility bands, 322Bollinger bands, 323—326, 329—330

Bar chartSee Charting

Barrick Gold-gold relationship, 244—246, 254—256

Bayes’ theorem, 65Bear market, 88, 91

seasonal patterns, 459—465Bear spread, 609Bear trap, 146Behavior, modeling with neural network,

866—895Behavioral techniques, 617—684

Big Block transactions, 647Commitment of Traders Report. 635—641contrary opinion, 641—648Dogs of the Dow, 646—647Elliott Wave Oscillator, 658—659Elliott’s wave principle, 651—660event trading. 623—635Fibonacci and human behavior, 648—651Fibonacci profi t targets, 660—662Astrology, fi nancial, 671—683Fischer’s Golden Section Compass System,

662—664Price targets, 664—665Time targets, 663—664

Gann. 666—671See Gann, W.D.

Lucas numbers, 655news, trading on, 618—623put-call ratios, 646

Bernstein, Peter L., 1029Beta, 1099Bierovic’s On-Balance True Range, 858Binomial probability, 1092—1094Blau, William, 404—411

double-smoothed momentum, 404—411True Strength Index, 404—406

Block transactions, 647Bollinger bands, 323—326, 329—330Bolton-Tremblay indicator, 548Bookstaber volatility system, 860Bottoms and tops, 118—126

See Chart patterns Breadth, 546—554

Also see Volume, Open interestbreadth indicator, 558Arms Index (TRIN), 550 Bolton-Tremblay, 548comparison of indicators, 551—552countertrend indicator, 553High-low baskets, 552


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Index 1195

High-Low Index, 552Interpreting systematically, 554McClellan Oscillator, 549Schultz A/T, 548Sibbett’s Demand Index, 548Thrust Oscillator (TO), 550TRIN, Arms Index. 550Upside/Downside Ratio (UDR), 550

Breakaway gap, 103Breakout systems

See Day TradingAlso see Trend systems, event-drivenN-day breakout, 222—233

Bressart, Walt, 750Bulkowski, Thomas, 80

gaps, 105ranking of chart patterns, 178—179

Bullish Consensus, 642—645Bull and bear chart formations, see Dow TheoryBull market, 87, 91

seasonal patterns, 459—465Bull spread, 609Bull trap, 146Business cycle, 490Butterfl y spreads, 591—592

CCalculation periods,

See TestingCalendar patterns

See SeasonalityCalmar ratio, 59, 1037—1038Cambridge Hook, 418Candlestick charts, 139—144

pivot points and candle charts, 143quantifying candle formations, 142strategies, 139—144

Capping exposure, 1144—1145Caps, 109Carry, interest rate, 871Carrying charges, 566—569Carrying charge spreads, 573—574Carry trade, 596—599Cattle cycle, 487—488Central Bank, 4Chaiken, Mark

Accumulation distribution, 541Volume Count Indicator, 540

Chande, Tushar, 784Variable Index Dynamic Average, 784—785

Changing markets, 20Channel breakout, 167—170Channel, creating with trendlines, 100—102Channels

See Bands and channels, Chart patternsChaotic patterns, 882—883Charting and chart patterns, 79—150

accumulation and distribution, 118—132bar chart.

See Bar chartbull and bear traps, 146candlestick charts, implied strategies,

139—144caps, 109channels, 98, 100—108, 134—136computer recognition, 176—178consolidation patterns, 80, 99, 113continuation patterns, 113—117,cups, 109distribution—bottoms and tops, 118—126Dow Theory, 84—92episodic patterns, 132—133

Also see Price shocksevolution of, 148—150failures, 146fl ags, 115gaps, 102—105

Also see Gapshead-and-shoulders formation. 129—132inside days, 113interpretation by Dow, 83—92island reversals, 107key reversal days, 109—111one-day patterns, 92, 102—111outside days, 112pennants, 115price objectives, 133—139pivot points, 107profi t targets, 133—139ranking of patterns, 178—179rectangle bottom, extended 126—127reversal days, 109reversal patterns, 111rounded tops and bottoms. 128run days, 117Schabacker rules, 88spikes, 106—107support and resistance lines, 95—102systems and techniques.

See Charting systems and techniques


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1196 INDEX

Charting and chart patterns (continued)tops and bottoms, 118—126trendlines, 94—102

redrawing, 94triangles, 114—115V-bottoms, 118—122V-tops, 118—122wedges, 115wedge top and bottom patterns. 129wide-ranging days, 112—113

Charting systems and techniques, 151—180action and reaction, 159—167channel breakout, 167—170Commodity Channel Index, 171complex patterns, 173—176DeMark’s Sequential, 173—175Dunnigan’s Thrust Method, 152—155Even numbers, 167Fibonacci ratios, 160moving channels, 170—171Nofri’s congestion-phase system, 155—157One-Way Formula, 154pivot days, 158outside days with an outside close, 157retracements, 164—167Square Root Theory, 155Thrust Method, 152—155Trident Commodity-Trading System,

162—163Tubbs’ Law of Proportion, 161Wyckoff, 172—173

Chi-square test (χ2), 1094—1097Cleaning data, 985—986Cobweb charts, 70Cohen, A. W., 202Combining

techniques, 986—989trends and trading ranges, 1016—1018

Commitment of Traders Report, 635—641COT Index, 639—640COT Sentiment Index, 645Jiler interpretation, 637

Commodex method, 1015—1016Commodity Channel Index, 171Commodity Cycle Index, 520—521Commodity Selection Index (CSI). 1066, 1067Complex solutions, 989Compounding a position, 1080—1084

adding equal amounts, 1081adding on profi ts, 1082—1084averaging down, 1084

Computer, use and abuse of, 984—992Confi rmation, principle of, 90Confi dence bands, 250—252, 273—274Conners, Larry

Advance-Decline System, 557breadth indicator, 558

Continuation patterns, 113—117Conservation of captital, 1028—1029Consolidation patterns, 99—100Consumer sentiment, 77Contrary opinion, 641—648Convenience yield, 573Copper cycle analysis, 499—505Corn seasonality, 439—469Corn-soybean relationship, 242—244Correlation coeffi cient, r 2, 248—252

in adaptive trends, 785in portfolio allocation, 1105

Correlation of systematic trading signals, 1061Correlations, 275Costs,

rebalancing (switching), 1144transaction, 22, 739—744, 949

Cotton seasonality, 440trading limit example, 1018—1020

Countertrend,See ArbitrageRSI, 388

Crabel’s intraday method, 759—762Crack spread, 588—589Crisis management, 997-1000

Also see Price shocksCrossover models, 357—359

tests, 964—967Crossovers,

See moving averageCrossrate arbitrage, 575—576Crude oil

gold spread, 605—607optimization, 972—975 stock arbitrage, 607, 608volume analysis, 556

Cups, 109Currency effects on seasonality, 465Curvilinear (second-order) approximation,

252—252Cycle analysis, 485—526

business cycle, 490cattle cycle, 487—488


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Index 1197

Commodity Cycle Index, 520—521copper cycle analysis, 499—505Cycle Channel Index, 520—521election cycle, 492—494Ehlers’ method, 513—520Fisher Transform, 518—520

Inverse, 520Fourier analysis, 505—513

Excel, 511—513Southwest Airlines 513

Hilbert Transform, 516—518Hurst method, 523—526Kondratieff wave, 490—492maximum entropy, 513—520MESA (Maximum Entropy Spectral

Analysis), 513—520Parzen window, 510phase angle, 514phasing, 523—526Presidential election cycle, 492—494removing the trend, 495—496Short Cycle Indicator, 521—523spectral analysis, 506—513spectral density, 507—508Swiss Franc cycle, 487—489terminology, 496triangular weighting, 289—290, 495trigonometric analysis, 497—513trigonometric regression, 2-frequency,

502—505Tukey window, 510

Cycle Channel Index, 520—521

DData,

accuracy, 985acquiring and cleaning, 985—986averaging, 26back-adjusted, 97, 911—914characteristics, 236—238selecting test data, 21, 910—916synthetic, 915testing, 910—915that is no longer useful, 29

Davis and Thiel tests, 954—955Day of the month patterns, 726—729Day trading, 737—777

Also see Intraday patternsafternoon breakouts, 770bar size, 747—748costs, slippage and transaction, 739—744

fading the opening range, 772gap patterns, 773intraday breakout systems, 759—771key levels, 749—750, 769liquidity, 741mean-reverting strategies, 741—742midday reversals, 770—771missed orders, 742—743moving averages, 746opening range breakout, 759—771

Crabel’s method, 759—762breakout based on time, 764 fi ltering opening range breakout, 770 Fisher’s opening range breakout, 766—

769 Raschke trades Crabel, 762Raschke and Conners 1st Hour Breakout,

766with volatility, 762—764

overnight gaps, 751—753pivot ranges, 769point-and-fi gure,745price patterns, 753—755price shocks, 775—777profi t-taking, 769reversal set up, 772set-up patterns for stocks, 771support and resistance, 753—755time-of-day patterns,

See Behavioral patternstime zones, 749trading limits, 743Taylor trading technique. 755—759volume patterns, 774wide-ranging days, 771

Death Cross, 354Defl ating prices, 812—815Degrees of freedom, 47Delaying the order, 329Demand.

See Supply and demandDemand Oscillator, Aspray’s, 542—543DeMark’s projected ranges, 688DeMark’s Sequential, 173—175Density, 10Detrending,

cycles, 495—496seasonality, 431, 438

Directinal indicator (PDI), 1064Directional Movement (DM), 1063—1069Directional Parabolic System, 416—417


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1198 INDEX

Distribution—bottoms and tops, 118—132Distributions.

Also see Price distribution systems,Frequency distributions, Statisticsdefl ating prices, 812—815equilibrium, 814frequency distributions, 33—36kurtosis, 819—822long-term, 811—814measuring distribution, 801—804medians and means, 36, 816mode, 36patterns, 811—821realistic, 1043short-term distributions, 35, 816—818skewness, 818—822structural changes, 815—816

Divergence, momentum, 418—425anticipating a divergence, 422MACD, 421slope divergence, 424—426trading rules, 421—422multiple divergence, 423using peaks, 420

Divergence Index, 384—385Diversifi cation, 21, 1100—1105

balanced risk, 1103—1005of markets, 1100—1102of strategies, 1102

Dividends vs Treasuries spread, 569DJIA seasonality, 479Dogs of the Dow, 646—647Dogs of the Dow, Small, 647Donchian’s

4-Week Rule, 2235- and 20-day moving average, 352—35320- and 40-day breakout, 35340/20 Channel Breakout, 229

Double exponential smoothing, 301—304Double and triple tops and bottoms

See ChartingDow, Charles, 4, 83Dow, Puppies of the, 647Dow Theory, 84—93

bull arid bear market formation, 86—88futures markets, 92interpreting S&P, 90trends, 86Schabacker rules, 88secondary trends, 89transition from bull to bear, 91

Drawdown ratio, 1039Drop-off effect, moving average, 293Dunnigan, William

One-Way Formula, 154Thrust Method, 152—155

DX (true directional movement), 1064Dynamic Breakout System, 228Dynamic momentum index, 795—796

EEconomic data, 28Economic reports, 76

Also see Event trading Eclipses, lunar and solar, 674, 680—683Effi ciency ratio, 780—781, 1070

Also see NoiseEffi cient frontier, 1030—1032, 1119Ehlers, John, 485, 495, 510

cycle method, 514—520Elasticity of supply and demand, 66—70Elastic Volume-Weighted Moving

Average, 545Elder, Dr. Alexander,

Elder-ray, 835—836Force Index, 536Triple-screen trading system, 835—838

Election cycle, 492—494Elliott, R. N., 597—600Elliott Wave Oscillator, 658—659Elliott’s wave principle, 651—660

Trading Elliott, 656Super Cycle, 657—658

Eng, William F., 182Entropy, 513—520

See Cycle analysisconditional, 883—886

Entry timing, 376, 1080Episodic patterns.

See Charting, Price shocks.Equilibrium, Market Profi le, 814Equilibrium of supply and demand, 69Equity trends, 1085—1088Equivolume, Richard Arms, 534Error

sample, 28—29standard, 46

Eurodollar strip, 594—595Even numbers, trading on, 167Event-driven trends.

See Trends, event-driven


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Index 1199

Event trading, 623—635Also see Price shocks, Trends,

event-drivenPrice shocks, 631—635Raschke system, 630Treasuries reaction, 629Unemployment reports, 629

Exhaustion gap, 104—105Exiting a trade,

early, 366high volatility exits, 865—866

Expectations, performance, 992Expected and actual results, 1092—1097Expert systems, 871—875Exponential curve, 256Exponential smoothing, 293—306

Also see trend calculations and trend systems

comparison of methods, 298—301, 304—305double smoothing, 301—304Parabolic Time/Price system, 790—792residual impact, 296smoothing constant in days, 295tests, 960—964triple smoothing, 334—335, 406—408

Exposure, risk, 1049—1050Extreme events, 992—1000Extremes, identifying and fading, 377

Also see profi t targets

FFAMA, 790—791Fat tail, 310—313Federal Reserve, 4

Also see Central BankFeedback, 23

in testing, 917, 919Fibonacci ratio, 160, 648—651

Also see Elliott’s wave principle, behavior techniques

golden rectangle, 664golden spiral, 664profi t targets, 660—662

Fibonacci Trader, 838—841Filters,

low-volume periods, 561—562seasonal, 456—459small price moves, 563volatility.

See Volatilityvolume, 562—564

Fisher, Mark, opening range breakout, 766—769

Fischer, RobertGolden Section Compass System, 662—664

First differences, 438First hour breakout, 766Fisher, Mark,

opening range breakout, 766—769Fisher Transform, 518—520

Inverse, 520Flags, 115

price targets, 116—117Fol1owing Adaptive Moving Average (FAMA),

790—791Force Index, 536Forecast Oscillator, 276, 378—379Forecasting trends.

See Trend calculationsForward rate parity, 574—575Fosback, Norman, 1044Fourier analysis, 505—513

Also see Cycle analysisFour-Week Rule, 223Fractal Adaptive Moving Average, 790—791Fractals

Also see Effi ciency ratiofractal dimension, 784, 880fractal effi ciency, 776—781, 881—882

VERIFYFrequency distributions, 33—36, 760—763Fungibility, 429Fuzzy Logic, 875—880

GGambling techniques. 1000—1011Gann, W. D., 666—671

geometric angles, 667—668hexagon chart, 669—671soybean worksheet, 668soybean square, 669master chart of 360º, 669—671

Gaps, 102—105, 699—711, 773fi lling the, 104opening gaps, 699—710overnight, 751—753close-to-close gaps, 710trading method for stocks, 707—710

Genetic algorithms, 895—902Also see Kaufman’s genetic algorithm

solution to portfolio allocationin testing, 932—935


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1200 INDEX

Geometric angles, Gann, 667—668Geometric mean, 31—32Geometric moving average, 292Globalization, 14—16, 148—150Gold,

ARIMA correlogram, 269crude oil spread, 605—607implied interest rate, 595—596silver ratio, 600—602

Gold-Barrick Gold relationship, 244—246, 254—256

Golden Cross, 354Golden Section Compass System, 662—664Golden rectangle, 664Golden spiral, 664

Also see FibonacciGovernment reports, 76

Also see Event trading

HHadady, Earl R.,

See Contrary OpinionHarmonic mean, 32—33Head-and-shoulders formation, 129—131

profi t targets, 137trading rules, 131

Heating oil seasonality, 453, 456—459Herrick Payoff Index, 410—411, 538Hexagon chart, 669—671High-momentum trading, 381Highs and lows, projecting, 687—688Hilbert Transform, 516—518Hindenburg Omen, 1044Hirsch seasonal strategy, 480Historic volatility, 856Hochheimer tests, 956—957Holiday effect for stocks, 479—480Holidays,

See SeasonalityHorizontal count, point-and-fi gure,

214—216Human behavior,.

See Behavioral techniquesHurst, 266, 523—526

IInfl ation yield oscillator, 77Implied interest rate, 595—596Index, 54—43

construction, 55cross-market and weighted index, 57

leveraged long or short index funds, 56—57U.S. dollar, 57

Indexing, 55Seasonality, 434returns, 55

Infl ation, adjusting for, See Defl ating prices

Information ratio, 1035—1036, 1100In-sample data, 27, 916—917Inside days, 112Integrated solutions, 989Intercrop spreads, 589—591Interest rate

carry, 871parity, 574—575

Intermarket index spreads, 581—583 spreads, 515—517, 543—547, 602—616

IntradaySee Chart patterns, Day tradingbreakout systems, 796—797volume patterns, 560—562

Intraday Intensity Indicator, 541Intraday patterns, 689—699Intramarket spreads, 566—567Island reversals, 107

JJanuary effect, 481—483Jiler, William L., 79, 637Joint probability 61Jupiter-Saturn cycle, 672—676

KKalman fi lters, 272KAMA, 779—783Kaufman on stops, 1059—1061Kaufman’s Adaptive Moving Average,

779—783Kaufman’s effi ciency ratio, 780—781, 1070Kaufman’s genetic algorithm solution to

portfolio allocationSee Porfolio allocation

Kaufman on profi t-taking, 1059—1061Kaufman’s Strategy Selection Index,

1070—1072Kelly, John L. Jr., 1088Keltner

10-day moving average rule, 333Minor Trend Rule, 191—192

Key dates, seasonal, 471—473


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Index 1201

Key levels, intraday, 749—750, 769Key reversal days, 109—111Kondratieff wave, 490—492Krausz’s multiple time frames, 838—841Kurtosis, 42—43

trading system, 819—822

LLags and leads, 307Lag, correcting distribution, 803—804Law of averages, 26Leads and lags, 307Least squares method, 239—248

Also see RegressionLeast-squares sinusoidal, 266Legging in and out of a spread, 615Leverage, 1046—1050Leveraged funds, 56—57Limits, trading, 743Linear correlation, 248—252

Also see RegressionLinear regression, 238—248

Also see RegressionLinear regression slope tests, 961—964Linearly-weighted moving average tests,

961—964Link relatives, seasonal method, 444—447Liquidity Data Bank.

See Market Profi leLiquidity, 867

intraday, 714portfolio constraints, 1120—1121risk control, 1034—1035

Livermore, Jesse, system, 189—191LME seasonality, 471Location spreads, 571Logarithmic curve, 256Long, Jeanne, 675Longevity, system, 20Lucas numbers, 655Lunar eclipses and phases,

See Astrology, fi nancial

MMACD (Moving Average Convergence/

Divergence), 382—384divergence, 421

MAMA, 790—791Margin, 1047—1048Marginal probability, 64Market Facilitation Index, 564

Market neutral trading, 569, 613—614Market Profi le, Steidlmayer’s, 822—830

equilibrium, 830quantifying the value area, 828Time/Price Opportunities (TPO), 825—826trending markets, 828—830

Market Sentiment Index, 645Markov chains, 62—65Martingales, 1001—1008

Fractional, 1010within a trend, 1006—1008

Master chart of 360º, 669—671Master Trading Formula, 792—793Maxwell tests, 955—956McClellan Oscillator, 549McGinley Dynamics, 790McGinley’s January Indicator, 482Mean deviation, 38Mean-reverting strategies, 271, 1014—1015

Also see Martingalestrade-offs with trend following, 1073—1075

Median, 36, 816Merger arb, 579—580Merrill, Arthur A.,

holiday effect, 479—480intraday patterns, 686, 691

MESA, 513—520Also see Cycle analysisAdaptive Moving Average, 790

Mispricing arbitrage, 571Missed orders, 742—743Mode, 36Moments of the distribution, 37—43Momentum, 369—385

Also see Oscillators, StochasticsAdaptive, 788characteristics of, 372—373difference between price and trend, 374divergence, 418—425

Also see Divergenceslope, 425

Divergence Index, 384—385double-smoothed momentum, 404—411fading entries, 377, 381Herrick Payoff Index, 410—411high-momentum trading, 381MACD (Moving Average Convergence/

Divergence), 382—384MACD divergence, 421Money Flow, 409—410


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1202 INDEX

Momentum (continued)percentage, 373profi t targets, 381risk protection, 380sideways and trending, 408System, 331timing an entry, 376trend indicator, 375—376TRIX, 406—408True Strength Index, 404—406Momentum-Volume Indicator, 408—409Volume, 411volume-weighted RSI, 409—410

Momentum-Volume Indicator, 408—409Money Flow, 409—410, 540Money supply, 77Monte Carlo sampling, 935—936Month-end effect for stocks, 480Moon, phases,

See Astrology, fi nancialMother of Adaptive Moving Averages index

(MAMA), 790—791Moving average, 285—307, 317—320

Also see Trend systems, Adaptive techniques

10-day moving average rule, 333ARIMA (Autoregressive Integrated Moving

Average).See ARIMA

accumulative, 293average-off, 287average modifi ed, 287comparison of methods, 304—305crossovers, moving average projected,

366—368Donchian’s 5- and 20-day moving average

system, 352—353double smoothing, 301—304drop-off effect, 293exponential, 293—301

See Exponential smoothinggeometric, 292Hull Moving Average, 306—307leads and lags, 307MACD (Moving Average Convergence/

Divergence), 382—384pivot point, 290—291reset accumulative, 293seasonal method, 447signal progression, 363—366signal similarity, 1021—1026

simple moving average, 287—288standard deviation, 291tests, 957—964triangular, 289—290weighted, 287—289

Moving channels, 170—171MPTDI (Major Price Trend Directional

Indicator), 331—341Multiple signals, 145Multiple time frames, 833—844

Elder’s Triple-Screen trading system, 835—838

Krausz’s multiple time frames, 838—841laws of multiple time frames, 839—841

Pring’s KST System, 841—844tuning two time frames to work together,

834—835Multiple trends, 356—359Multivariate approximations, 259—266

Also see Regression

NNASDAQ volume spikes, 556NAV, see Net Asset ValueN-day breakout (rolling breakout).

See Breakout systems, N-daytests, 961—964

Negative Volume Index, 541 Neill, Humphrey, 641Net Asset Value, 1100Net Momentum Oscillator, 388Neural networks, 886—895News, trading on, 618—623

media indicators, 622—623ranking and measuring, 621—622

Nofri’s congestion-phase system, 155—157Noise, price, 118

Also see Effi ciency ratioand globalization, 14—16measuring, 10—12, 868—871impact on trading, 13—14

Nonlinear approximations for two variables, 252—259

Nonlinear, transforming to linear, 256—257Nonseasonal patterns, 460—465Normalized Volume, 535Notation used in this book, 23

OObjective function, 1100Occam (also Ockham), William, 23


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Index 1203

On-Balance True Range, Bierovic’s, 858On-Balance Volume, 537—540

moving average method, 539One-day patterns, 102—113One-Way Formula, 154Opening direction.

See Intraday patternsOpening range breakout, 759—771

Also see Day tradingOpen interest, 532—534

Substituting for volume, 545—546Opinion.

See Contrary opinionOptimal f, 1088—1092Optimal portfolio

See Portfolio allocationsOptimization, 920, 972—975

Also see Testingmean-variance, 1107

Oscillators, 369, 385—403Also see MomentumA/D Oscillator, 397—401ADX fi lter, 417Cambridge Hook, 418Elliott Wave Oscillator, 658—659Directional Parabolic System,

416—417Forecast Oscillator, 276, 378—379Net Momentum Oscillator, 388Relative Strength Index (RSI), 386—388

2-day, 389—390MACD, 391

%R Method, 401Relative Vigor Index, 375stochastics, 392—397

comparison with momentum and RSI, 393—394

left and right crossovers, 395—396stochastic RSI, 396

trend-adjusted, 793—795Williams’ oscillators, 397—403Ultimate Oscillator, 402—403

Outside days, 113, 157Out-of-sample data, 27, 916—917Overfi tting,

See System Testing

PPairs trading, 569, 583—587

position sizing, 586stock and futures, 590

Paper trading, 988Parabolic Time/Price System, 790—792Parameters

See TestingParity,

forward rate, 574—575implied interest rate, 574—575

Parzen window, 510Passive investment, 1100Patterns and pattern recognition, 685—736,

753—755also see Chart patternsartifi cial intelligence methods, 735—736computer-based, 732—735day of the month, 726—729gaps, 102—105, 699—711

opening gaps, 699—710close-to-close gaps, 710trading method for stocks, 707—710

holidays, treatment of, 725intraday, 689—699one-day, 102—113projecting daily highs and lows, 687—688

DeMark’s projected ranges, 688pivot points, 687

Merrill’s intraday patterns, 686, 691time-of-day patterns, 689—699

EURUSD patterns, 695highs and lows, 696—699S&P patterns, 692—694, 696Tubb’s intraday patterns, 690—632

reversal patterns, 730—732weekday patterns, 711—723

with a trend fi lter, 718—723weekend patterns, 723—725weekend and weekday patterns, combined,

725PDI (directional indicator), 1064Pennants, 115Percentage smoothing.

See Exponential smoothingPerformance

benchmarks, 940—941 criteria, 907, 940—942expectations, 992measurements, 58—59measuring test results,

See System Testingmonitoring and feedback, 23

Peters, Edgar, 880Phase angle, cycle, 514


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1204 INDEX

Phasing, 523—526Pivot days, 158 Pivot points, 107, 192, 290—291

for candle charts, 143projected, 687

Pivot technique for projecting highs and lows, 769

Planetary Clock (Jeanie Long), 675Platinum/gold ratio, 600—602Point-and-fi gure, 195—222, 745

box size, 202—207variable, 218—221price-volatility relationship, 221

formations, 199—200price objectives, 213—217

horizontal count, 214—216vertical count, 216—217

reversals, 212recent applications, 221risk, 210—212studies, 201—202trading techniqes, 207—210trendlines, 201

Portfolio allocation, 1105—1142alpha-driven weighting, 1107calculations,1107— 1109constraints, 1120—1121decision-tree models, 1107equal-dollar weighting, 1107equal-risk weighting, 1107Kaufman’s genetic algorithm solution,

1114—1142Markowitz, Harry, 1116Modern Portfolio Theory, 1115Objective function, 1117optimal, 1119optimizing, 1109—1114spreadsheet approach, 1109—1114types of models, 1105—1107Excel’s Solver, 1109—1114

Position sizing, 1050—1054Positive Volume Index. 541Potential risk, 534Practical considerations, 983—1026Prechter, Robert R.,

See Elliott wavePresidential election cycle, 492—494Pring’s KST System, 841—844Price and Volume Trend, 541Price distributions, 33—49

Also see Distributions

Price distribution systems, 801—831Annualized volatility, 801—802anticipating moves, 805correcting the lag, 803—804defl ating prices, 812—815patterns, 811—821kurtosis and skew, trading system, 819—822skewness to identify a trend, 818—822standard deviation bands, 802—804Steidlrnayer’s Market. Profi le,

See Market Profi lesupport and resistance, 830—832zone analysis, 805—811zones for forecasting range and risk control,

807—811Price objectives.

See Profi t targetsPrice shocks, 775—777, 994—1000, 1020, 1043

effect on testing, 970—972episodic patterns, 132—133crisis management, 997—1000Value at Risk (VaR), 1040—1043

Price targets. See Profi t targets

Price trendsSee Trends

Pring, Martin, 111KST System, 841—844

Probability of achieving a return, 44—46Product spreads, 587Projecting daily highs and lows, 687—688, 769Probability, 59—65

Bayes’ theorem, 65binomial, 1092—1094contingent probability, 61joint probability, 61laws of, 60marginal probability, 61Markov chains, 62—65

Probability density function, See Fourier transform

Probability of achieving a return, 44—45Probability model, with volume, 558—559Profi t targets, 133—139, 1057—1059

bar charting, 133—139intraday, 769Kaufman on profi t-taking, 1059—1061momentum, 381point-and-fi gure, 213—217multiple, 1059scaling out of a trade, 1059


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Index 1205

using Fibonacci ratios, 660—662volatility, 861

Program trading, 576—579Progression, moving average signals, 363—366Projected crossovers, 366—368Puppies of the Dow, 647Put-call ratios, 646Pyramiding.

See Compounding a position

QQuadratic mean, 32

R%R Method, 401Random walk theory, 6—8Ranking markets. 1062—1072

Also see Risk Controlusing volatility, 866

Raschke, Linda, First Cross, 335—336Raschke trades Crabel, 762 Raschke and Conners 1st Hour Breakout,

766Rate of change (ROC),

See MomentumRating services, arbitrage, 612—613Reaction to economic reports,

See Event tradingRectangular formations, 126—127Regression analysis, 235—278

ARIMA, 266— 273ARIMA strategies, 271—273

calculation period selection, 237—238confi dence bands, 250—252, 273—274correlations, 275forecasting, 250Forecast Oscillator, 276linear correlation, 248—252least squares, 239—248least-squares sinusoidal, 266linear regression, 238—248

trading signals, 273—276market strength, 276—278multivariate approximations, 259—266

generalized multivariate solution, 265—266

nonlinear approximations for two variables, 252—259

curvilinear, 252—252price series characteristics, 235—238

seasonality, 431—433second-order least squares, 253—256slope, 272, 275—276, 278transforming nonlinear to linear, 256—257

Relative Strength Index (RSI), 386—3882-day, 389—390MACD, 391

Relative Vigor Index, 375Replication of hedge funds, 902—903Returns, standardizing, 48—54Reserves, 1048—1049Reset accumulative average, 293Resistance lines, 95—102Retracements, 164—167Returns, calculation of, 48—51

Also see StatisticsReversals

failed, 191midday, 770—771patterns, 109—111, 730—732Point-and-fi gure, 212

Reverse crack, 589Richard Arms’ Equivolume, 534Risk

aversion, 1028—1033point-and-fi gure, 210—212preference, 1030—1031

Risk calculations. See Risk measurements, Statistics

Risk characteristics of systems, 1034—1035Risk control, 22, 380, 1027—1097

averaging into a position, 1076—1078binomial probability, 1092—1094chi-square test (χ2), 1094—1097comparing expected and actual results,

1092—1041compounding a position.

See Compounding a position1080—1084

Adding on profi ts, 1082—1084Averaging down, 1084

conservation of capital, 1028—1029effi cient frontier, 1030—1032entry timing, 1080equity trends, 1085—1088exposure, 1049—1050initial position risk, 1054optimal f, 1088—1092leverage, 1046—1050liquidity, 1034—1035margin, 1047—1048


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1206 INDEX

Risk control (continued)measuring.

See Risk measurementsoverlay, 1061—1062position sizing, 1050—1054price shocks, 1043profi t targets, 1057—1059

Also see Profi t targetsKaufman on profi t-taking, 1059—1061

pyramiding. See Compounding a position

ranking markets for selection, 1062—1072Average Directional Movement index

(ADX), 1065—1066Commodity Selection Index (CSI). 1066,

1067Directional Movement (DM), 1063—1069directional indicator (PDI), 1064Kaufman’s Strategy Selection Index,

1070—1072Effi ciency ratio, 1070true directional movement (DX), 1064using prices, 1069

reserves, 1048—1049risk preference, 1030stops

See stop-losstrade risk, 1050—1059utility, 1029—1031waiting for a better price, 1078Yates correction to chi-square test, 1097Bernstein, 1029Vince, Ralph, 1088, 1076

Risk of ruin, 1074—1076Risk management

See Risk controlRisk measurements

annualized volatility, 1040, 1117average maximum retracement, 1036—1037information ratio, 1035—1036Calmar ratio, 1037—1038drawdown ratio, 1039Hindenburg Omen, 1044portfolio, 1117—1119potential risk, 1039realistic distributions, 1043residuals of regression, 1118return and risk, 1034—1045risk-adjusted returns, 1045risk of ruin, 1074—1076semi-variance, 1037—1039, 1118

standardizing, 48-54Sharpe ratio, 1035—1036Sortino ratio, 1038time to recovery, 1045Treynor ratio, 1036Ulcer Index, 1038—1039Value at Risk (VaR), 1040—1043Fosback, Norman, 1044

Risk, September and October, 483Robustness.

See TestingROC (Rate of change) Method, 355, 841—844Rolling breakout.

See N-Day breakout, Rounded tops and bottoms, 128RSI (Relative Strength Index), 386—388

adaptive, 788—789Ruggiero, Murray, 77, 630, 639—641, 658—659,

773, 876, 890—891, 932, 1066Rule of Seven, 138—139Runaway gap, 104—105, 128Run days, 117Runs, distribution of, 311Runs, theory of, 1004—1006, 1010—1011

also see Gambling techniques

SS&P

breadth, 549multivariate example, 259—266regression, 263—265seasonality, 478

Sample error, 28—29Saturn lines, 672—676Schabacker, R. W.,

charting rules, 88Schultz A/T, 548Schwager, J. D., 72, 1036—1039Seasonality, 427—484

Amazon, 437AMR, 469—470Averages, 441—444bear market patterns, 459—465books, 473bull market patterns, 459—465calculating, 430—456calendar patterns, 473—478changing patterns, 452common sense, 483—484corn, 439—469comparing cash and futures, 466—469


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Index 1207

cotton, 440currency effects, 465decomposition, 430—431

detrending, 431, 438DJIA, 479fungibility, 429fi lters, 456—459fi rst differences, 438heating oil, 453, 456—459Hirsch strategy, 480holiday effect for stocks, 479—480Indexing, 434January effect, 481—483link relatives, 444—447LME, 471key dates, 471—473McGinley’s January Indicator, 482Merrill holiday effect, 479—480method of yearly averages, 441month-end effect, 480

Also see Day-of-month patternsmoving average method, 447nonseasonal patterns, 460—465regression, 431—433S&P, 478September-October risks, 483similar years, 459—460Southwest Airlines, 436stocks seasonal patterns, 469, 482—table of monthly changes, 433—434trading rules, 470trend, removing the, 430—431volatile years, effects of, 440volatility, 453weather sensitivity, 454—456wheat, 431—433, 442—451Winter’s method, 450—451X-11 and X12 methods, 447—451

Second-order regression,See Regression analysis

Selective trading, 1011—1012 Also see Filters

Semi-variance, 1037—1039Sensitivity testing, 943—944Sentiment Index,

Consumer, 77Commitment of Traders, 645

Sequences, trading signal, 363—366September effect for stocks. 483Sharpe ratio, 58, 907, 1035—1036

Shocks. See Price shocks.

Short Cycle Indicator, 521—523Sibbett’s Demand Index, 548Sideways markets

Also see ADXidentifying with velocity and acceleration,

412Strength Oscillator, 408

Signal progression, moving average, 363—366Similar situations, 883—886Similarity of systematic trading signals,

1021—1026Similar years analysis, 459—460Single stock futures arbitrage, 580—581Skewness, 39—41, 818—822

trading system, 819—822Slippage costs, 323, 739—744Slope, 272, 275—276, 278

Also see Regressiondivergence, 418—425

Smoothing. See Exponential smoothing

Solar eclipses, See Astrology, fi nancial

Sortino ratio, 59, 1038Southwest Airlines

cycle analysis, 513seasonality, 436

Soybean-corn relationship, 242—244Soybean

crush, 587—588multivariate solution, 259—262square, Gann’s, 668—669

Spectral analysis, 506—513Spectral density, 507—508Spikes, 105—107

Volume, 530, 554Spreads, 565—616

Also see Arbitragebull and bear spreads, 609carrying charges, 566—569changing spread relationships, 600—602conditional orders, 614creating new markets, 604cross-market, 569crude oil and gold, 605—607dividends vs Treasuries, 569dyramics of futures intramarket spreads,

566—567gold/silver ratio, 600—602


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1208 INDEX

Spreads (continued)intermarket spreads, 515—517, 543—547,

602—616intramarket spreads, 566—567legging in and out of a spread, 615location spreads, 571market neutral trading, 569mispricing, 571platinum/gold ratio, 600—602risk, increased, 604risk reduction, 571stocks, 569substitution of products, 570trading techniques, 608volatility, 610—611, 615—616Werner and crude oil, 608XOM and crude oil, 607

Square Root Theory, Dunnigan’s, 155Standard deviation, 26, 38—39

bands, 802—804and frequency distribution, 43—44moving average, 291

Standard Deviation Stop, 1056Standard error, 46Statistical arbitrage,

See ArbitrageStatistics, 25—65

See Price distributions, Probabilitydistributions, 33—48frequency distributions, 33—36median and mode, 36—37

Steidlmayer’s Market Profi le. See Market Profi le

Step-forward testing, 918—919Stochastics

Also see Oscillatorsvariable-length, 799

Stock dividends and splits, 221Stop-loss, 332, 1054—1061

initial, 1055trailing, 1055volatility, 861

See StopsStandard Deviation Stop, 1056Kaufman on stops, 1059—1061Proximity risk, 1061

Strength, measuring market, See Ranking

Strength Oscillator, 408Stress Indicator, 584—586Student t-test, 47—48

Substitution of products, 570Supercycle, 657—658Supply and demand, 66—77

building a model, 71—74causing trends, 83changing factors, 74—75cobweb charts, 70demand, 66—68elasticity of demand, 68elasticity of supply, 68equilibrium, 69supply, 68—69

Support and resistance lines, 95—102, 753—755, 830—832

Swing fi lter, 184—189Swing trading, 182—191

also see Event tradingconstructing a swing chart, 182—189rules, 188—189Livermore approach, 189—191failed reversal, 191

Swiss Franc cycle, 487—489System testing.

See TestingSystems

See Charting systems, Trend systems

TTargets.

See Profi t targetsTaylor trading technique. 755—759Technical analysis defi ned, 1TED spread, 594Ten-day Moving Average Rule, 333Testing, 22, 905—981

benchmarks, 940—941best results, 919comparing multiple systems, 967—970comparing results of two systems, 946—949continuity, 924—928data, 910—915

adjusted data series, 911—914synthetic data, 915

expectations, 907feedback, 917, 919genetic algorithm method, 932—935in-sample data, 916—917large-scale testing, 932—936, 954—969measuring test results, 941—942Monte Carlo sampling, 935—936optimization, 920, 972—975


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Index 1209

crude oil optimization, 972—975out-of-sample data, 916—917parameters,

identifying, 908distribution of values to be tested. 909ranking by importance, 909

performance criteria, 907, 940—942price shocks, 970—972profi ting from the worst results, 950—951refi ning the rules, 937retesting procedure, 951—953robustness, 938—945, 976—980results,

averaging, 931, 943continuity in test results, 921, 924—930outliers, 943standardizing test results, 930—931valid, 938—945visualizing and interpreting, 922—932

sensitivity testing, 943—944Sharpe ratio, 907step-forward testing, 918—919studies, 954—957

Davis and Thiel, 954—955Maxwell, 955—956Hochheimer, 956—957

transaction costs, 949Theory of runs,

See runsThrust Method, Dunnigan’s, 152—155Thrust Oscillator, 550Tick volume, futures, 528, 560—562Tick Volume Indicator, 543Time-of-day patterns, 689—699Time series

Also see Cycles, Regression, Trends, time-driven

components, 235—236Time to recovery, 1045Time zone, trading in the wrong, 749Timing the order, 328—329Time-of-day patterns,

See Behavioral patternsTops.

See Chart Patternstrade-offs, trend vs mean reversion,

1012—1015Trade selection, 22, 861—866Trading limits, 743, 1018

Cotton example, 1018—1020Trading ranges, 1016—1018

Trading styles convergence, 2in stocks and futures, 8—9

Trailing stop, 1055Transaction costs,

See costsTransformations, 40Transforming nonlinear to linear, 256—257Transparent solutions, 989Traps, bull and bear, 146Trend-adjusted oscillator, 793—795Trend analysis in spreads,

See SpreadsTrend change, anticipating, 316—317, 366Trend-following philosophy, 279—280,

309—311Trend-following systems

See Trend systemsTrendlines.

See Chart patternspoint-and-fi gure, 201

Trend calculations, 279—307Also see Regressiondrop-off effect, 293exponential, 293—301

See Exponential smoothingexponential regularization, 305forecast error analysis, 281—283geometric moving average, 292Hull Moving Average, 306—307linear regression slope, 281—283moving averages, 284— 307

Also see Moving averagesrelating exponential and standard moving

averages, 298-301smoothing, residual impact, 296—298

Trend philosophy, 279—280, 309—311Trend systems, event-driven, 182—233

Donchian’s 4-Week Rule, 223Donchian’s 40/20 Channel Breakout, 229Dynamic Breakout System, 228Keltner Minor Trend Rule, 191—192N-day breakout, 222—233pivot points, 192point-and-fi gure, 195—222

also see Point-and-fi gureswing fi lter, 184—189swing trading, 182—191

constructing a swing chart, 182—189rules, 188—189Livermore approach, 189—191


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1210 INDEX

Trend systems, event-driven (continued)failed reversal, 191

Turtles, 229—233weekly breakouts, 225—228Wilder’s Swing Index, 192—195

Trend systems, time-based, 309—36810-day Moving Average Rule, 333anticipating the trend signal, 316—317, 355bands and channels, 320—326

See Bands and channels.rules for using, 326—328

basic buy and sell signals, 314—316calculation period,

See Testingcomparison of major trend systems,

336—349results, 339—346risk profi les, 342—346rules, 337—338testing, 348—349

crossover models, 357—359Death Cross, 354delaying the order, 329distribution of profi ts and losses, 311—313Donchian’s

5- and 20-day moving average, 352—35320- and 40-day breakout, 353

early exits, 366fat tail, 310—313Golden Cross, 354linear regression slope, 336—347momentum system, 331moving average. 317—320

Also see Moving averagemoving average signal progression,

363—366MPTDI, 331—341multiple trends, 356—359

Also see two trendsProjected crossovers, 366—368Raschke’s First Cross, 335—336ROC Method, 355selecting the right method and speed,

359—363single trends, 330—336step-weighted moving average (MPTDI),

331—341three trends, 357—359timing the order, 328—329TRIX, triple exponential smoothing,

334—335

two trends, techniques using, 350—359Volatility System, 333why trend systems work, 309—310

Trends. Also see Dow Theory, Trend calculations,

Trend systems, Noisebar charting, 94—102, 144causes of, 82equity, 1085—1088event-driven

See Event-driven trendsTreynor ratio, 58, 1036Triangles, 114—115

Also see Chart patternsTriangular weighting, 289—290, 495Trident Commodity Trading System, 162—163Trigonometric analysis, 497—513Trigonometric regression,

See Regression, Cycle analysisTRIN, Arms Index. 550Triple-screen trading system, 835—838Triple tops and bottoms.

See Bottoms and topsTRIX, triple exponential smoothing, 334—335,

406—408True directional movement (DX), 1064True range, 333, 850—853, 856, 858True Strength Index, 404—406t-Statistic, 47—48t-Test, student, 47—48Tubb’s

intradav patterns, 690Law of Proportion, 161

Tukey window, 510Turtles, 229—233

UUlcer Index, 1038—1039Ultimate Oscillator, 402—403Unemployment claims index, 77 Unemployment reports, 629 Universal Clock (Jeanie Long), 675Upside/Downside Ratio, 550U.S. dollar index, 57, 74—75Utility versus wealth, 1029

VValue area.

See Market Profi leValue at Risk (VaR), 1040—1043Variably-weighted moving average, 545—546


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Index 1211

Variance, 38volume, 529, 530

V-bottoms, 118—122Vertical count, point-and-fi gure, 216—217Velocity, 411—416VIDYA (Variable Index Dynamic Average),

784—785Villiers, Victor De, 195Vince, Ralph, 1088, 1076VIX trading system, 859Volatility, 845—866

annualized, 801—802, 850—853average true range 850—853Bierovic, On-Balance True Range, 858Chande’s VIDYA, 784—785fi lter, 862—866

for exits, 865—866historic, 856implied, 855—856intraday volatility and volume, 856lognormal transformation, 850MarketSci Blog, 859measuring, 845—857predicting with trading ranges, 857profi t-targets, 861ratios, 853—854relationship with price, 846—850relative, 854seasonal, 440, 453spread, 610—611, 615—616stabilization, 1141—1145stop-losses, trade selection fi lter, 861—866Volatility System, 860volume is a predictor of, 535VlX trading system, 858—859

Volatility System, 333, 860Volume Accumulator, 540Volume, 527—564

Advance-Decline System, 557drop in volume, 530Equivolume, Richard Arms’, 534fi ltering, 561—564

Also see Filtersremoving low-volume periods, 561—562removing volume associated with small

price moves, 563futures volume, 527—529Herrick Payoff Index, 538indicators, 535—546

Accumulation distribution, 541Average Volume, 535Aspray’s Demand Oscillator, 542—543Elastic Volume-Weighted Moving Average,

545Force Index, 536Intraday Intensity, 541Money Flow Index, 540Negative Volume Index, 541 Normalized Volume, 535On-Balance Volume, 537—540Positive Volume Index. 541Price and Volume Trend, 541Substituting open interest, 545-546Tick Volume Indicator, 543Variably-weighted moving averatge,

545—546Volume Accumulator, 540Volume Count Indicator, 540Volume momentum, 535Volume oscillator, 536Volume-weighted MACD, 543—545VWAP, 546

integrated probability model, 558—559interpretation, 531interpreting systematically, 554—558

NASDAQ volume spikes, 556crude oil volume analysis, 556

intraday patterns, 560—562, 774Market Facilitation Index, 564spikes, 530, 554tick volume, futures, 528, 560—562variance, 529, 530volatility, volume is a predictor of, 535 W pattern, 529

Volume Count Indicator, 540Volume momentum, 535Volume oscillator, 536Volume-weighted MACD, 543—545V-tops and bottoms, 118—122VWAP, 546

WW volume pattern, 529Walk-forward (Step-forward) testing,

See TestingWeather sensitivity, 454—456Weekday patterns, 711—723

with a trend fi lter, 718—723Weekend patterns, 723—725


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1212 INDEX

Weekend and weekday patterns, combined, 725

Weekly breakouts, 225—228Also see Breakout systems

Wedge top and bottom patterns, 129Wedges, 115Weighted average, 30Weingarten, Henry, 676Weymar, F. H., 72Wheat,

defl ated, 812multivariate solution, 262—263seasonality, 431—433, 442—451

Wide-ranging days, 112, 771Wilder, J. Welles, Jr.

Average Directional Movement index (ADX), 1065—1066

Commodity Selection Index (CSI). 1066, 1067

Directional Indicator (PDI), 1064Directional Movement (DM), 1063—1069Directional Parabolic System, 416—417

Relative Strength Index (RSI), 386—388Swing Index, 192—195true directional movement (DX), 1064

Williams, Larry,A/D oscillator, 397—401%R method, 401Ultimate Oscillator, 402—403

Winter’s method for seasonality, 450—451Wyckoff, Richard, 172—173

XX-11 and X12 seasonal methods, 447—451

YYates correction to chi-square test, 1097Yield curve arbitrage, 592—596

ZZone analysis, 805—811Zones for forecasting range and risk control,

807—811


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Documents

· 1194 INDEX Arbitrage (continued) single stock futures and underlying stock, 580—581 soybean crush, 587—588 Stress Indicator, 584—586 TED spread, 594 yield curve, 592—596