The Encyclopedia of Trading Strategies

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1、THEENCYCLOPEDIAOFTRADINGSTRATEGIESJEFFREYOWENKATZ,Ph.D.DONNA1.MCCORMICKTRADEMARKSANDSERVICEMARKSCompanyandproductnamesassociatedwithlistingsinthisbookshouldbecon-sideredastrademarksorservicemarksofthecompanyindicated.Theuseofareg-isteredtrademarkisnotpermittedforcommercialpurposeswithoutthepermi

2、ssionofthecompanynamed.Insomecases,productsofonecompanyareofferedbyothercompaniesandarepresentedinanumberofdifferentlistingsinthisbook.Itisvirtuallyimpossibletoidentifyeverytrademarkorservicemarkforeveryprod-uctandeveryuse,butwewouldliketohighlightthefollowing:VisualBasic,VisualC++,andExcelaretr

3、ademarksofMicrosoftCorp.NAGfunctionlibraryisaservicemarkofNumericalAlgorithmsGroup,Ltd.NumericalRecipesinC(bookandsoftware)isaservicemarkofNumericalRecipesSoftware.TradeStation,SuperCharts,andSystemWriterPlusaretrademarksofOmegaResearch.EvolverisatrademarkofPalisadeCorporation.MasterChartistisat

4、rademarkofRobertSlade,Inc.TS-EvolveandTradeCycles(MESA)aretrademarksofRuggieroAssociates.DivergengineisaservicemarkofRuggieroAssociates.C++Builder,Delphi,andBorlandDatabaseEnginearetrademarksofBorland.CQCforWindowsisatrademarkofCQG,Inc.MetastockisatrademarkofEqnisInternational.technicalanalysisf

5、unctionlibraryisaservicemarkofFMLabs.ExcaliburisatrademarkofFuturesTruth.MATLABisatrademarkofTheMathWorks,Inc.MESA96isatrademarkofMesa.C..~.ONTENTSPREFACExiiiINTRODUCTIONxvWhatIsaCompleteMechanicalTradingSystem?-WhatAreGoodEntriesandExits?*TheScientificApproachtoSystemDevelopment*ToolsandMateria

6、lsNeededfortheScientificApproachPARTIToolsoftheTradeIntroduction1Chapter1Data3TypesofData*DataTimeFrames*DataQualitylDataSourcesandVendorsChapter2Simulators13TypesofSimulators*ProgrammingtheSimulator*SimulatorOutput@erformancesummnryreports;trade-by-tradereports)*SimulatorPerfomxmce(speed:capaci

7、ty:power)lReliabilityofSimulators-ChoosingtheRightSimulator*SimulatorsUsedinThisBookChaoter3OptimizersandOptimization29WhatOptimizersDo*HowOptimizersAreUsed*?LpesofOptimization(implicitoptimizers;bruteforceoptimizers;user-gu