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Intermarket Trading Strategies

Book Description

This book shows traders how to use Intermarket Analysis to forecast future equity, index and commodity price movements. It introduces custom indicators and Intermarket based systems using basic mathematical and statistical principles to help traders develop and design Intermarket trading systems appropriate for long term, intermediate, short term and day trading. The metastock code for all systems is included and the testing method is described thoroughly. All systems are back tested using at least 200 bars of historical data and compared using various profitability and drawdown metrics.

Table of Contents

  1. Title Page
  2. Copyright Page
  3. Dedication
  4. Acknowledgments
  5. Introduction
  6. Part I
    1. Chapter 1: Intermarket Analysis
      1. 1.1 DETERMINING INTERMARKET RELATIONS
      2. 1.2 USING INTERMARKET CORRELATIONS FOR PORTFOLIO DIVERSIFICATION
    2. Chapter 2: Correlation
      1. 2.1 THE CORRELATION COEFFICIENT
      2. 2.2 ASSUMPTIONS
      3. 2.3 OUTLIERS
      4. 2.4 HOMOSCEDASTICITY
    3. Chapter 3: Regression
      1. 3.1 THE REGRESSION EQUATION
      2. 3.2 MULTIPLE REGRESSION
      3. 3.3 ASSUMPTIONS
      4. 3.4 NONPARAMETRIC REGRESSION
    4. Chapter 4: International Indices and Commodities
      1. 4.1 THE DAX
      2. 4.2 THE CAC 40
      3. 4.3 THE FTSE
      4. 4.4 THE DOW JONES STOXX 50 AND EURO STOXX 50
      5. 4.5 THE NIKKEI
      6. 4.6 THE HANG SENG
      7. 4.7 TRADING HOURS, SYMBOLS AND VOLATILITY
      8. 4.8 THE DOLLAR INDEX
      9. 4.9 THE XOI AND THE OIX
      10. 4.10 THE CRB INDEX
      11. 4.11 THE GOLDMAN SACHS COMMODITY INDEX (GSCI)
      12. 4.12 THE XAU AND THE HUI
      13. 4.13 THE VIX
    5. Chapter 5: The S&P 500
      1. 5.1 CORRELATION WITH INTERNATIONAL INDICES
      2. 5.2 INTEREST RATES, COMMODITIES, FOREX AND THE VIX
      3. 5.3 CORRELATION BETWEEN THE S&P 500 AND STOCKS
    6. Chapter 6: European Indices
      1. 6.1 THE DAX
      2. 6.2 CORRELATION WITH STOCKS
      3. 6.3 EUROPEAN FUTURES
      4. 6.4 TIME FACTOR
      5. 6.5 INTRADAY
    7. Chapter 7: Gold
      1. 7.1 CORRELATIONS WITH EQUITY AND COMMODITY ASSETS
      2. 7.2 LEADING OR LAGGING?
      3. 7.3 WHICH TIME FRAME?
    8. Chapter 8: Intraday Correlations
      1. 8.1 RELATIONSHIPS BETWEEN DIFFERENT TIME FRAMES
      2. 8.2 INTERMARKET REGRESSION
      3. 8.3 WHICH TIME FRAME?
      4. 8.4 LAGGING OR LEADING?
    9. Chapter 9: Intermarket Indicators
      1. 9.1 RELATIVE STRENGTH
      2. 9.2 BOLLINGER BAND DIVERGENCE
      3. 9.3 INTERMARKET DISPARITY
      4. 9.4 INTERMARKET LRS DIVERGENCE
      5. 9.5 INTERMARKET REGRESSION DIVERGENCE
      6. 9.6 INTERMARKET MOMENTUM OSCILLATOR
      7. 9.7 Z-SCORE DIVERGENCE
      8. 9.8 MULTIPLE INTERMARKET DIVERGENCE
      9. 9.9 MULTIPLE REGRESSION DIVERGENCE
      10. 9.10 INTERMARKET MOVING AVERAGE
      11. 9.11 CONGESTION INDEX
  7. Part II
    1. Chapter 10: Trading System Design
      1. 10.1 BACK-TESTING
      2. 10.2 EVALUATING PROFITABILITY
      3. 10.3 DRAWDOWN AND OTHER RISK METRICS
      4. 10.4 STOP-LOSS
      5. 10.5 PROFIT TARGETS
      6. 10.6 MONEY MANAGEMENT
      7. 10.7 NEURAL NETWORKS
      8. 10.8 FUZZY LOGIC
      9. 10.9 CONCLUSION
    2. Chapter 11: A Comparison of Fourteen Technical Systems for Trading Gold
      1. 11.1 TEST SPECIFICATIONS
      2. 11.2 TEST DESIGN
      3. 11.3 REGRESSION SYSTEMS
      4. 11.4 RELATIVE STRENGTH (RS)
      5. 11.5 THE BOLLINGER BAND DIVERGENCE SYSTEM
      6. 11.6 THE Z-SCORE
      7. 11.7 THE LINEAR REGRESSION SLOPE METHOD
      8. 11.8 DISPARITY
      9. 11.9 DISCUSSION OF TEST RESULTS
    3. Chapter 12: Trading the S&P 500 ETF and the e-mini
      1. 12.1 DAILY SYSTEM
      2. 12.2 E-MINI INTRADAY SYSTEM
    4. Chapter 13: Trading DAX Futures
      1. 13.1 INTERMARKET DIVERGENCE SYSTEM
      2. 13.2 MOVING AVERAGE CROSSOVER SYSTEM
    5. Chapter 14: A Comparison of a Neural Network and a Conventional System for Trading FTSE Futures
      1. 14.1 CORRELATION WITH INTERNATIONAL INDICES
      2. 14.2 SETTING UP THE TESTS
      3. 14.3 SUMMARY OF CONDITIONS
      4. 14.4 EVALUATION OF RESULTS
      5. 14.5 A NEURAL NETWORK SYSTEM FOR TRADING THE FTSE
      6. 14.6 CONCLUSION
    6. Chapter 15: The Use of Intermarket Systems in Trading Stocks
      1. 15.1 TESTING METHOD
      2. 15.2 A SYSTEM FOR TRADING OIL STOCKS
      3. 15.3 EVALUATION OF THE OIL STOCK MODEL
      4. 15.4 TRADING GOLD STOCKS
      5. 15.5 CONCLUSION
    7. Chapter 16: A Relative Strength Asset Allocation Trading System
      1. 16.1 TESTING PROCEDURE
      2. 16.2 DISCUSSION OF RESULTS
      3. 16.3 CONCLUSION
    8. Chapter 17: Forex Trading Using Intermarket Analysis
      1. 17.1 THE FOREX MARKET
      2. 17.2 FOREX FUNDAMENTALS
      3. 17.3 THE CARRY TRADE
      4. 17.4 TRADING THE JAPANESE YEN
      5. 17.5 THE EURO
      6. 17.6 TRADING THE EURO
      7. 17.7 EVALUATION OF RESULTS
      8. 17.8 THE AUSTRALIAN DOLLAR
    9. Chapter 18: Conclusion
  8. Appendix A: MetaStock Code and Test Specifications
  9. Appendix B: Neural Network Systems
  10. Appendix C: Rectangles
  11. Glossary
  12. ABBREVIATIONS
  13. Bibliography
  14. Index