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Trading Systems and Money Management

文件格式:Pdf 可复制性:可复制 TAG标签: Trading Systems Money Management 点击次数: 更新时间:2009-09-14 13:54
介绍

Product Description
A Guide to Trading and Profiting in Any Market. While most trading books simply tack money management onto the end of the book as an afterthought, Trading Systems and Money Management recognizes the importance of proven money management principles to the success of a trading program. This step-by-step guide shows how to use stops to improve profit taking and reduce losses, add filters such as moving averages and breakouts to improve entry and exit points, and practice basic money management techniques to improve the performance of any trading system.

About the Author
Thomas Stridsman is a popular speaker and trading consultant. A frequent contributor to Futures, Stridsman is former chair of the Swedish Technical Analyst Federation.
 

CONTENTS


    INTRODUCTION  xvii

    ACKNOWLEDGMENTS  xxi

    PART ONE

    HOW TO EVALUATE A SYSTEM  1

    Performance Measures  4

    Chapter 1

    Percentages and Normalized Moves  7

    About the Costs of Trading  12

    Chapter 2

    Calculating Profit  15

    Average Profit per Trade  16

    Average Winners and Losers  20

    Standard Deviation  22

    Distribution of Trades  25

    Standard Errors and Tests  28

    Other Statistical Measures  30

    Time in Market  31

    Chapter 3

    Probability and Percent of Profitable Trades  35

    Calculating Profitable Trades  35

    The Difference Between Trades and Signals  43

    Chapter 4

    Risk  47

    Calculating Risk 48

    A Sample Strategy Analysis 51

    Chapter 5

    Drawdown and Losses  57

    Drawdown Compared to Equity  58

    Drawdown Compared to the Market  59

    Mean–Median Comparisons  60

    Types of Drawdown  63

    Chapter 6

    Quality Data  67

    A Scary Futures-Market Example 71

    Understanding Profitability 76

    PART TWO

    TRADING SYSTEM DEVELOPMENT  79

    Chapter 7

    TradeStation Coding  83

    Export Code  86

    Comments on the Code  89

    The Exported Data  91

    Initial Description of the Systems  95

    Chapter 8

    Hybrid System No.1 97

    Suggested Markets  97

    Original Rules  97

    Test Period  98

    Test Data  98

    Starting Equity  98

    System Pros and Cons  98

    Revising the Research and Modifying the System  99

    TradeStation Code   102

    Chapter 9

    RS System No.1  105

    Suggested Markets  105

    Original Rules  105

    Test Period  106

    Test Data  106

    Starting Equity  106

    System Pros and Cons  106

    Revising the Research and Modifying the System  107

    TradeStation Code 110

    Chapter 10

    Meander System V.1.0  113

    Suggested Markets  113

    Original Rules  114

    Test Period  114

    Test Data  114

    Starting Equity  114

    System Pros and Cons  114

    Revising the Research and Modifying the System  115

    TradeStation Code  120

    Chapter 11

    Relative Strength Bands  123

    Suggested Markets  124

    Original Rules  124

    Test Period  124

    Test Data  124

    Starting Equity  124

    System Pros and Cons  125

    Revising the Research and Modifying the System 125

    TradeStation Code 133

    Chapter 12

    Rotation  137

    Suggested Markets  137

    Original Rules  138

    Test Period  138

    Test Data  138

    Starting Equity  138

    System Analysis  138

    Revising the Research and Modifying the System  139

    TradeStation Code  146

    Chapter 13

    Volume-weighted Average  153

    Suggested Markets   154

    Original Rules  154

    Test Period  154

    Test Data  154

    Starting Equity  154

    System Pros and Cons  154

    Revising the Research and Modifying the System  155

    TradeStation Code  159

    Chapter 14

    Harris 3L-R Pattern Variation  163

    Suggested Markets   164

    Original Rules (Long Trades Only)  164

    Test Period  164

    Test Data  164

    Starting Equity  164

    System Pros and Cons  164

    Revising the Research and Modifying the System  165

    TradeStation Code  171

    Chapter 15

    Expert Exits  173

    Suggested Markets  174

    Original Rules (Reverse the Logic for Short Trades)  174

    Test Period  174

    Test Data  174

    Starting Equity  174

    System Pros and Cons  174

    Revising the Research and Modifying the System  175

    TradeStation Code182

    Chapter 16

    Evaluating System Performance  185

    PART THREE

    STOPS, FILTERS, AND EXITS  191

    Chapter 17

    Distribution of Trades  193

    Chapter 18

    Exits  201

    Limiting a Loss  201

    Taking a Profit  203

    End of Event  204

    Money Better Used Elsewhere  205

    Chapter 19

    Placing Stops  207

    Percent Stops  209

    Volatility  210

    Surface Charts  212

     Chapter 20

    Adding Exits  219

    Surface Chart Code  220

    Comments on the Code  224

    Hybrid System No. 1  226

    Stop-loss Version   226

    Trailing-stop Version  233

    Meander System, V.1.0  237

    Stop-loss Version   237

    Trailing-stop Version  240

    Volume-weighted Average  241

    Stop-loss Version  241

    Trailing-stop Version  242

    Harris 3L-R Pattern Variation  245

    Stop-loss Version   246

    Trailing-stop Version  247

    Expert Exits  248

    Stop-loss Version  249

    Trailing-stop Version  249

    Uncommented Bonus Stops   250

    Chapter 21

    Systems as Filters  255

    RS System No. 1 as the Filter  260

    Relative-strength Bands as the Filter  262

    Rotation as the Filter  266

    Chapter 22

    Variables  271

    Chapter 23

    Evaluating Stops and Exits  281

    PART FOUR

    MONEY MANAGEMENT  287

    Chapter 24

    The Kelly Formula  289

    Chapter 25

    Fixed Fractional Trading  295

    Chapter 26

    Dynamic Ratio Money Management  305

    Building a Sample Spreadsheet  310

    Chapter 27

    Spreadsheet Development  325

    Money Management Export Code  337

    Comments on the Code  341

    Chapter 28

    Combined Money Market Strategies  343

    Strategy 1  345

    Strategy 2  349

    Strategy 3  352

    Strategy 4  354

    Strategy 5  356

    Strategy 6  358

    Strategy 7  359

    Strategy 8  362

    Strategy 9  363

    Strategy 10  365

    Strategy 11  366

    Strategy 12  369

    The Counterpunch Stock System  374

    Suggested Markets  376

    Rules  376

    Money Management  376

    Test Period  376

    Test Data  377

    Starting Equity  377

    System Analysis  377

    Chapter 29

    Consistent Strategies  379

    Conclusion  382

    INDEX  385

 

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