The new edition of the definitive reference to trading systems--expanded and thoroughly updated. Professional and individual traders haverelied on Trading Systems and Methods for over three decades. Acclaimed trading systems expert Perry Kaufman provides complete, authoritative information on proven indicators, programs, systems, and algorithms. Now in its sixth edition, this respected book continues to provide readers with the knowledge required to develop or select the trading programs best suited for their needs. In-depth discussions of basic mathematical and statistical concepts instruct readers on how much data to use, how to create an index, how to determine probabilities, and how best to test your ideas. These technical tools and indicators help readers identify trends, momentum, and patterns, while an analytical framework enables comparisons of systematic methods and techniques. This updated, fully-revised edition offers new examples using stocks, ETFs and futures, and provides expanded coverage of arbitrage, high frequency trading, and sophisticated risk management models. More programs and strategies have been added, such as Artificial Intelligence techniques and Game Theory approaches to trading. Offering a complete array of practical, user-ready tools, this invaluable resource: Offers comprehensive revisions and additional mathematical and statistical tools, trading systems, and examples of current market situations Explains basic mathematical and statistical concepts with accompanying code Includes new Excel spreadsheets with genetic algorithms, TradeStation code, MetaStock code, and more Provides access to a companion website packed with supplemental materials Trading Systems and Methods is an indispensable reference on trading systems, as well as system design and methods for professional and individual active traders, money managers, trading systems developers.
"If I could only have one book on the markets in my library, this would be it. Perry Kaufman is at the top of my pedestal for his innovative research and market expertise. This new edition is one of the most relevant works out there."
— Linda Raschke, President of LBRGroup, Author of Trading Sardines: Lessons in the Markets by a Lifelong Trader
"It has been more than 30 years since we first discovered the 1st edition. Since then, our readers have enjoying and benefited from each new edition and are always impressed with easy-to-understand explanation of the important and universal contents about trading systems. We strongly recommend this book for our members and Japanese investors."
—Kakuya Kojoh, Chairman & Akihiro Niimi, Vice Chairman, The Nippon Technical Analysts Association
"Perry has done it again! This Sixth Edition has been thoroughly updated to make it the most comprehensive resource covering technical analysis available anywhere. It should be on the bookshelf of every trader, from beginner to professional."
—John F. Ehlers, President, MESA Software
"Perry's book is key in helping to answer the age old question of when to buy and when to sell. A must read for anyone who invests."
—Michael Pallitto, Financial Advisor
THE BESTSELLNG GUIDE TO TRADING
As markets inevitably evolve, so must the strategies and tools used to trade them. No one understands this more than Perry Kaufman—one of today's most respected market experts. For more than 30 years, traders have turned to Kaufman's classic Trading Systems and Methods for complete information about the latest, most successful indicators, programs, algorithms, and systems.
Now, in this revised Sixth Edition, Kaufman thoroughly updates his bestselling guide—adding new systems, new techniques, and many international examples—and shows you the best ways to trade today's futures and equities markets. The companion website, which contains TradeStation programs, Metastock programs, and Excel spreadsheets, allow you to test both the systems presented in the book and your own variation of these trading strategies. With everything from basic information on statistical analysis to advanced guidance on implementing algorithms and other tech trading solutions, this is an excellent, comprehensive resource for current and aspiring market professionals.
"Sobre este título" puede pertenecer a otra edición de este libro.
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Hardcover. Condición: gut. The new edition of the definitive reference to trading systemsexpanded and thoroughly updated. Professional and individual traders haverelied on Trading Systems and Methods for over three decades. Acclaimed trading systems expert Perry Kaufman provides complete, authoritative information on proven indicators, programs, systems, and algorithms. Now in its sixth edition, this respected book continues to provide readers with the knowledge required to develop or select the trading programs best suited for their needs. In-depth discussions of basic mathematical and statistical concepts instruct readers on how much data to use, how to create an index, how to determine probabilities, and how best to test your ideas. These technical tools and indicators help readers identify trends, momentum, and patterns, while an analytical framework enables comparisons of systematic methods and techniques. This updated, fully-revised edition offers new examples using stocks, ETFs and futures, and provides expanded coverage of arbitrage, high frequency trading, and sophisticated risk management models. More programs and strategies have been added, such as Artificial Intelligence techniques and Game Theory approaches to trading. Offering a complete array of practical, user-ready tools, this invaluable resource: Offers comprehensive revisions and additional mathematical and statistical tools, trading systems, and examples of current market situations Explains basic mathematical and statistical concepts with accompanying code Includes new Excel spreadsheets with genetic algorithms, TradeStation code, MetaStock code, and more Provides access to a companion website packed with supplemental materials Trading Systems and Methods is an indispensable reference on trading systems, as well as system design and methods for professional and individual active traders, money managers, trading systems developers. Autor: PERRY J. KAUFMAN is a financial engineer, well-known for developing algorithmic strategies for the global equity and futures markets. Mr. Kaufman's Trading Systems and Methods has been called "the most authoritative and comprehensive work" in the field. He is also author of A Guide to Creating a Successful Algorithmic Trading Strategy (Wiley). Mr. Kaufman also co-founded the Journal of Futures Markets. Content: Preface xv Chapter 1 Introduction 1 The Expanding Role of Technical Analysis 1 Convergence of Trading Styles in Stocks and Futures 3 Professional and Amateur 5 Random Walk 6 Deciding on a Trading Style 7 Measuring Noise 9 Maturing Markets and Globalization 12 Background Material 14 System Development Guidelines 15 Objectives of This Book 16 Profile of a Trading System 17 A Word about the Notation Used in This Book 20 A Final Comment 20 Chapter 2 Basic Concepts and Calculations 21 A Brief Word About Data 22 Simple Measures of Error 23 On Average 24 Price Distribution 28 Moments of the Distribution: Mean, Variance, Skewness, and Kurtosis 32 Choosing Between Frequency Distribution and Standard Deviation 37 Measuring Similarity 38 Standardizing Risk and Return 40 The Index 45 An Overview of Probability 50 Supply and Demand 56 Chapter 3 Charting 67 Finding Consistent Patterns 68 What Causes the Major Price Moves and Trends? 70 The Bar Chart and Its Interpretation by Charles Dow 71 Chart Formations 80 Trendlines 81 One-Day Patterns 89 Continuation Patterns 101 Basic Concepts in Chart Trading 105 Accumulation and Distribution: Bottoms and Tops 106 Episodic Patterns 118 Price Objectives for Bar Charting 119 Implied Strategies in Candlestick Charts 126 Practical Use of the Bar Chart 131 Evolution in Price Patterns 134 Chapter 4 Charting Systems 137 Dunnigan and the Thrust Method 138 Nofri's Congestion-Phase System 141 Outside Days and Inside Days 143 Pivot Points 145 Action and Reaction 146 Programming the Channel Breakout 153 Moving Channels 155 Commodity Channel Index 156 Wyckoff's Combined Techniques 157 Complex Patterns 158 Computer Recognition of Chart Patterns 160 Chapter 5 Event-Driven Trends 167 Swing Trading 167 Point-and-Figure Charting 176 The N-Day Breakout 195 Chapter 6 Regression Analysis 207 Components of a Time Series 207 Characteristics of the Price Data 208 Linear Regression 210 Linear Correlation 218 Nonlinear Approximations for Two Variables 222 Transforming Nonlinear to Linear 225 Multivariate Approximations 228 ARIMA 233 Basic Trading Signals Using a Linear Regression Model 238 Measuring Market Strength 241 Chapter 7 Time-Based Trend Calculations 243 Forecasting and Following 244 Price Change over Time 247 The Moving Average 248 The Moving Median 255 Geometric Moving Average 255 Accumulative Average 256 Drop-off Effect 256 Exponential Smoothing 257 Plotting Lags and Leads 267 Chapter 8 Trend Systems 269 Why Trend Systems Work 269 Basic Buy and Sell Signals 274 Bands and Channels 280 Choosing the Calculation Period for the Trend 290 A Few Classic Single-Trend Systems 291 Comparison of Single-Trend Systems 295 Techniques Using Two Trendlines 307 Three Trends 314 Comprehensive Studies 318 Selecting the Trend Speed to Fit the Problem 318 Moving Average Sequences: Signal Progression 319 Early Exits from a Trend 322 Projecting Moving Average Crossovers 323 Early Identification of a Trend Change 323 Chapter 9 Momentum and Oscillators 325 Momentum 326 Adding Volume to Momentum 339 Divergence Index 342 Visualizing Momentum 343 Oscillators 345 Double-Smoothed Momentum 364 Velocity and Acceleration 369 Hybrid Momentum Techniques 375 Momentum Divergence 377 Some Final Comments on Momentum 385 Chapter 10 Seasonality and Calendar Patterns 387 Seasonality Never Disappears 388 The Seasonal Pattern 389 Popular Methods for Calculating Seasonality 390 Classic Methods for Finding Seasonality 408 Weather Sensitivity 420 Identifying Seasonal Trades 422 Seasonality and the Stock Market 439 Common Sense and Seasonality 449 Chapter 11 Cycle Analysis 451 Cycle Basics 451 Uncovering the Cycle 465 Maximum Entropy 481. 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