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THE ENCYCLOPEDIA OF
TRADING STRATEGIES
JEFFREY OWEN KATZ, Ph.D.
DONNA 1. M
C
CORMICK
TRADEMARKS AND SERVICE MARKS
Company and product names associated with listings in this book should be con-
sidered as trademarks or service marks of the company indicated. The use of a reg-
istered trademark is not permitted for commercial purposes without the permission
of the company named. In some cases, products of one company are offered by
other companies and are presented in a number of different listings in this book. It
is virtually impossible to identify every trademark or service mark for every prod-
uct and every use, but we would like to highlight the following:
Visual Basic, Visual C++, and Excel are trademarks of Microsoft Corp.
NAG function library is a service mark of Numerical Algorithms Group, Ltd.
Numerical Recipes in C (book and software) is a service mark of Numerical
Recipes Software.
TradeStation, SuperCharts, and SystemWriter Plus are trademarks of
Omega Research.
Evolver is a trademark of Palisade Corporation.
Master Chartist is a trademark of Robert Slade, Inc.
TS-Evolve and TradeCycles (MESA) are trademarks of Ruggiero
Associates.
Divergengine is a service mark of Ruggiero Associates.
C++ Builder, Delphi, and Borland Database Engine are trademarks
of Borland.
CQC for Windows is a trademark of CQG, Inc.
Metastock is a trademark of Eqnis International.
technical analysis function library is a service mark of FM Labs.
Excalibur is a trademark of Futures Truth.
MATLAB is a trademark of The MathWorks, Inc.
MESA96 is a trademark of Mesa.
..~.
ONTENTS
PREFACE xiii
INTRODUCTION xv
What Is a Complete Mechanical Trading System? - What Are Good Entries and Exits?
* The Scientific Approach to System Development * Tools and Materials Needed for
the Scientific Approach
PART I
Tools of the Trade
Introduction 1
Chapter 1
Data 3
Types of Data * Data Time Frames * Data Quality
Data Sources and Vendors
Chapter 2
Simulators 13
Types of Simulators * Programming the Simulator * Simulator Output @erformance
summnry reports; trade-by-trade reports)
* Simulator Perfomxmce
(speed: capacity:
power)
Reliability of Simulators - Choosing the Right Simulator * Simulators Used
in This Book
Chaoter
3
Optimizers and Optimization 29
What Optimizers Do * How Optimizers Are Used * ?Lpes of Optimization
(implicit
optimizers; brute force optimizers; user-guided optimization; genetic optimizers; optimization
by simulated annealing; analytic optimizers; linearpmgrwnming)
How to Fail with
Optimization (small samples: large fxmztneter sets; no veri~cation) .
How to Succeed
with
O&mization (h-ge, representative samples; few rules andparameters; veriicatim
@results)
* Alternatives to Traditional Optimization * Optimizer Tools and Information *
Which Optimizer Is forYou?
Chapter 4
Statistics 51
Why Use Statistics to Evaluate Trading Systems?
Sampling * Optimization and
Curve-Fitting
Sample Size and Representativeness
. Evaluating a System Statistically
* Example 1: Evaluating the Out-of-Sample Test (what ifthe
distribution is not normal?
what if there is serial dependence? what if the
markets
change?)
Example 2:
Evaluating the In-Sample Tests * Interpreting the Example Statistics (optimization
i-esults; verification results)
Other Statistical
Techniques and Their
Use (genetically
evoJved systems; multiple regression; monte car10 simulations; out-of-sample testing;
walk-forward testing) *
Conclusion
PART II
The Study of Entries
Introduction 71
What Constitutes
a
Good
Entry? *
Orders Used in Entries
(stop orders; limit orders;
market orders; selecting appropriate orders)
* Entry Techniques Covered in This Book
(breakouts and moving averages; oscillators; seasonality: lunar and solar phenomena:
cycles and rhythms; neural networks; geneticaNy evolved entry rules) *
Standardized
Exits * Equalization of Dollar Volatility * Basic Test Portfolio and Platfcnm
Chapter 5
Breakout Models 83
Kinds of Breakouts
Characteristics of Breakouts . Testing Breakout Models
Channel Breakout Entries
(close only channel breakouts; highest higMowest low
bnxzkouts)
Volatility Breakout Entries
Volatility Breakout Variations
(long positions
only; currencies only; adx tremififilter)
. Summary Analyses
(breakout types: entry
orders; interactions; restrictions andjilters; analysis by market) *
Conclusion
What Have We Lamed?
Chapter 6
Moving Average
Models 109
What is a Moving Average? - Purpose of a Moving Average * The Issue of Lag
Types of Moving Averages
Types of Moving Average Entry Models
Characteristics
of Moving Average Entries
Orders Used to Effect Entries * Test Methodology ’
Tests of Trend-Following Models
* Tests of Counter-Trend Models * Conclusion
What Have We Learned?
ix
Chapter 7
Oscillator-Based
Entries
133
What Is an Oscillator?
Kinds
of Oscillators * Generating Entries with Oscillators *
Characteristics of Oscillator Entries . Test Methodology
Test Results (teas of
overbought/oversold models; tests of
signal
line models; tests of divergence models;
summary analyses) - Conclusion * What Have We Learned?
Chapter S
Seasonality 153
What Is Seasonality?
Generating Seasonal Entries
Characteristics of Seasonal
Entries .
Orders
Used to Effect Seasonal Entries . Test Methodology . Test Results
(test
of
the basic crossover model; tests
of
the basic momentum model: tests
of
the
crossover model with con$mtion; tests of the C~SSOV~~ model with confirmation and
inversions: summary analyses) *
Conclusion * What Have We Learned?
Chmter 9
Lunar and Solar Rhythms 179
Legitimacy or Lunacy?
Lunar Cycles and Trading
(generating lunar entries: lunar test
methodology; lunar test results; tests
of the
basic cmmo~er model; tests
of
the basic
momentum model: tests
of
the cnx~mer model with confirmation; test.s
of
the crmmver
model with confirmation and inversions; summary analyses; conclusion) *
Solar
Activity and Trading (generazing
solar entries: solar test results: conclusion) *
What Have We Learned?
Chapter 10
Cycle-Based Entries 2Q3
Cycle Detection Using MESA
Detecting Cycles Using Filter Banks
(butterworth
jilters; wavelet-basedjilters)
* Generating Cycle Entries Using Filter Banks *
Characteristics of Cycle-Based Entries . Test Methodology . Test Results .
Conclusion
What Have We Learned?
Chapter 11
Neural Networks 227
What Are Neural Networks?
(feed-forward neural networks) . Neural
Networks
in Trading
Forecasting with Neural Networks
Generating Entries with Neural
Predictions . Reverse Slow %K Model
(code
for
the reverse slow %k model: test
methodology
for
the reverse
slow %k model; training results
for
the reverse slow %k
Point Models
(code
for
the turning point models; test methodology
model)
Turning
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