Jefrey Katz - The Encyclopedia of Trading Strategies交易策略百科全书.pdf

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1、THEENCYCLOPEDIAOFTRADINGSTRATEGIESJEFFREYOWENKATZ,Ph.D.DONNA1.MCCORMICK7700++DDVVDD’’ssFFOORRSSAALLEE&&EEXXCCHHAANNGGEEwww.traders-software.comwww.forex-warez.comwww.trading-software-collection.comwww.tradestation-download-free.comContactsandreybbrv@gmail.comandreybbrv@yandex.ruSkype:andreybbrvTR

2、ADEMARKSANDSERVICEMARKSCompanyandproductnamesassociatedwithlistingsinthisbookshouldbecon-sideredastrademarksorservicemarksofthecompanyindicated.Theuseofareg-isteredtrademarkisnotpermittedforcommercialpurposeswithoutthepermissionofthecompanynamed.Insomecases,productsofonecompanyareofferedbyotherco

3、mpaniesandarepresentedinanumberofdifferentlistingsinthisbook.Itisvirtuallyimpossibletoidentifyeverytrademarkorservicemarkforeveryprod-uctandeveryuse,butwewouldliketohighlightthefollowing:VisualBasic,VisualC++,andExcelaretrademarksofMicrosoftCorp.NAGfunctionlibraryisaservicemarkofNumericalAlgorith

4、msGroup,Ltd.NumericalRecipesinC(bookandsoftware)isaservicemarkofNumericalRecipesSoftware.TradeStation,SuperCharts,andSystemWriterPlusaretrademarksofOmegaResearch.EvolverisatrademarkofPalisadeCorporation.MasterChartistisatrademarkofRobertSlade,Inc.TS-EvolveandTradeCycles(MESA)aretrademarksofRuggie

5、roAssociates.DivergengineisaservicemarkofRuggieroAssociates.C++Builder,Delphi,andBorlandDatabaseEnginearetrademarksofBorland.CQCforWindowsisatrademarkofCQG,Inc.MetastockisatrademarkofEqnisInternational.technicalanalysisfunctionlibraryisaservicemarkofFMLabs.ExcaliburisatrademarkofFuturesTruth.MATL

6、ABisatrademarkofTheMathWorks,Inc.MESA96isatrademarkofMesa.C..~.ONTENTSPREFACExiiiINTRODUCTIONxvWhatIsaCompleteMechanicalTradingSystem?-WhatAreGoodEntriesandExits?*TheScientificApproachtoSystemDevelopment*ToolsandMaterialsNeededfortheScientificApproachPARTIToolsoftheTradeIntroduction1Chapter1Data3

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