From the book cover: For more than two decades, futures traders have turned
to the classic Trading Systems and Methods for complete information about the
latest, most successful indicators, programs, algorithms, and systems. Now, this
newly revised and expanded Third Edition continues that tradition, including
many new approaches and covering the latest developments in the continuously
evolving equipment and techniques for trading futures markets.
Perry J. Kaufman, a leading futures expert highly respected for his years of
experience in research and trading, has thoroughly rewritten and updated his
bestselling guide, which remains the most comprehensive and instructional book
on trading systems today. This detailed, hands-on manual offers a thorough
analysis, using a systematic approach and including explanations of each method
of calculation or operation. Kaufman explores both the good and bad features of
each trading techniques, explaining why a trading system or method works or
doesn’t work, how to select features that fit the trader’s needs best, and how
to test a system to achieve a sound trading program.
Since the early –70s, Kaufman has been devoted to futures research, with a
particular emphasis on computer applications. He includes computer programs and
spreadsheet code to implement each system and method, in addition to the
mathematics involved. Where other books fall short, Kaufman’s reference makes it
possible for traders and analysts to program the systems themselves, changing
the programs as they see fit and applying the techniques to their own styles and
trading tools.
Trading Systems and Methods continues to be the single best resource fore the
trader or market analyst who wants to create or choose a successful trading
system.
Perry J. Kaufman is a leading technical expert in futures markets. Renowned for
his mathematical skills and insight, Kaufman has developed significant theories
in the area of price forecasting. As a principal of Man-Drapeau Research, Pte.
Ltd. (Singapore), he is actively involved in the practical analysis needed to
support an international investment management firm. Throughout the past 20
years, Kaufman has helped to foster the education of research analysts and
investors, publishing books and writing articles for Technical Analysis of
Stocks & Commodities, Futures Industry, and Futures magazine. He has
participated in the Dow Jones-Telerate Seminars world tours, professional
conferences, academic programs, and has been an occasional guest on CNBC.
1: Introduction
*Technical versus Fundamental * Professional and Amateur * Random Walk *
Background Material * Research Skills * Objectives of this Book * Profile of a
Trading System * A Word on Notation Used in this Book
2: Basic Concepts
*About Data and Averaging * On the Average * Distribution * Dispersion and
Skewness * Standardizing Returns and Risk * The Index * Probability * Supply and
Demand
3: Regression Analysis
* Characteristics of the Price Data * Linear Correlation * Nonlinear
Approximations for Two Variables * Second-Order Least Squares * Evaluation of
2-Variable Techniques * Multivariate Approximations * ARIMA * Linear Regression
Model
4: Trend Calculations
* Forecasting and Following * Least-Squares Model * The Moving Average *
Geometric Moving Averages * Drop-Off Effect * Exponential Smoothing * Relating
Exponential Smoothing and Standard Moving Averages
5: Trend Systems
* Basic Buy and Sell Signals * Bands and Channels * Applications of Single
Trends * Comparison of Major Trend Systems * Techniques Using Two Trendlines *
Comprehensive Studies * Selecting the Right Moving Average * Moving Average
Sequences: Signal Progression * Living with a Trend-Following Philosophy
6: Momentum and Oscillators
Momentum * Oscillators * Double-Smoothed Momentum * Adding Volume to Momentum *
Velocity and Acceleration * Other Rate –of-Change Indicators * Momentum
Divergence * Momentum Smoothing * Some Final Comments on Momentum
7: Seasonality
*A Consistent Factor * The Seasonal Pattern * Popular Methods for Calculating
Seasonality * Weather Sensitivity * Seasonal Filters * Common Sense and
Seasonality
8: Cycle Analysis
*Cycle Basics * Uncovering the Cycle * Maximum Entropy * Cycle Channel Index *
Phasing
9: Charting
* Finding Consistent Patterns * Interpreting the Bar Chart * Chart Formations *
Tops and Bottoms * Gaps * Key Reverasal Days * Episodic Patterns * Price
Objectives for Bar Charting * Candlestick Charts * Using the Bar Chart
10: Volume, Open Interest, and Breadth
* Contract Volume vs. Total Volume * Variations from the Normal Patterns *
Standard Interpretation * Volume Indicators * Interpreting Volume Systematially
* An Integrated Probability Model * Intraday Volume Patterns * Filtering Low
Volume * Market Facilitation Index * Sources of Information
11: Point-and-Figure Charting
* Plotting Prices * Chart Formations * Box Size * Problem of Risk * Trading
Techniques * Price Objctives * Study in Point-and-Figures Optimization
12: Charting Systems
Swing Trading * Wiliam Dunnigan and the Thrust Method * Nofri’s Congestion-Phase
system * Outside Days with an Outside Close * Action and Reaction * Channel
Breakout * Moving Channels * Combining Techiques * Complex Patterns
13: Spreads and Arbitrages
* Spread and Arbitrage Relationships * Arbitrage * Changing Spread Relationships
* Carrying Charges * Technical Analysis of Spreads * Volatility and Spread
Ratios * Leverage in Spreads
14: Behavioral Techniques
* Measuring the News * Event Trading * Commitment of Traders Report * Opinion
and Contrary Opinion * Fibonacci and Human Behavior * Elliott’s Wave Principle
AND MUCH MORE]
