Trading systems and methods

Cover -- Title Page -- Copyright -- Contents -- Preface -- The Move Toward More Algorithmic Approach -- Competition -- Accepting Risk -- The Long Bull Market -- What's New in the Sixth Edition -- Companion Website -- With Appreciation -- Chapter 1 Introduction -- The Expanding Role of Technical Analysis -- Convergence of Trading Styles in Stocks and Futures -- A Line in the Sand between Fundamental and Technical Analysis -- Professional and Amateur -- The Tools -- Random Walk -- Deciding on a Trading Style -- Measuring Noise -- Other Measurements of Noise -- Impact on Trading -- Maturing Markets and Globalization -- Background Material -- System Development Guidelines -- Objectives of This Book -- Profile of a Trading System -- Changing Markets and System Longevity -- The Choice of Data -- Diversification -- Trade Selection -- Testing -- Risk Control -- Transaction Costs -- Performance Monitoring and Feedback -- A Word about the Notation Used in This Book -- A Final Comment -- Chapter 2 Basic Concepts and Calculations -- Helpful Software -- A Brief Word About Data -- Simple Measures of Error -- Sample Error -- Standard Error -- On Average -- The Law of Averages -- How We Use Averages -- Geometric Mean -- Quadratic Mean -- Harmonic Mean -- The Relationship Between the Means -- Price Distribution -- Frequency Distributions -- Median and Mode -- Summary of the Principal Averages -- Moments of the Distribution: Mean, Variance, Skewness, and Kurtosis -- Variance (2nd Moment) and Standard Deviation -- Skewness (3rd Moment) -- Kurtosis (4th Moment) -- Moments and Other Statistics Using Excel -- Stock Market Returns -- Choosing Between Frequency Distribution and Standard Deviation -- Measuring Similarity -- t‐Statistic and Degrees of Freedom -- Autocorrelation -- Standardizing Risk and Return -- Calculating Returns -- Annualizing Returns.