intermarket trading strategies by markos katsanos（下）

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1、P1:JYSc13JWBK304-KatsanosNovember18,200812:51Printer:YettocomeTradingDAXFutures213EvaluationofResultsTheneteffectofenhancingthesystemwiththeintermarketconditionsissumma-rizedinthefourthcolumnofTable13.2.Theadditionalcomplexityofaddingtheintermarketsignalsreducedthenumberoftradesbyhalftoanave

2、rageofonetradeeverytwomonths.Whatwaslostthroughfewerpositions,however,wasmorethanmadeupbytriplingthestakepertrade.MarketconditionswereveryfavorableforthebuyandholdinvestorastheDAXwasinanalmostcontinuousuptrendduringthetestperiod.Nevertheless,theintermarketenhancementdidhelptooutperformthebuy

3、andholdmethodby4percentagepointsonarisk-adjustedreturnbasisbutonlymarginallyonatotalprofitbasis.InconclusionIamconvincedthatalthoughtheenhancedmovingaveragecrossoversystemdidnotimprovesubstantiallyonthebuy-and-holdprofitability,itdoesaddstrengthtothecaseforincorporatingintermarketconditionstha

4、tworkinsynergywiththeconventionalcomponentpartsofthesystem.P1:JYSc13JWBK304-KatsanosNovember18,200812:51Printer:Yettocome214P1:JYSc14JWBK304-KatsanosNovember22,200820:11Printer:Yettocome14AComparisonofaNeuralNetworkandaConventionalSystemforTradingFTSEFuturesToconquerfearisthebeginningofwisdo

5、m.BertrandRussellTheFinancialTimesStockExchangeFTSE100indexisthelastofthetrilogyofourequityindextradingsystems.FTSEfuturesaretradedontheEuronextLIFFECONNECTelectronictradingsystemfrom9:00amto10:00pmCentralEuropeanTimeunderthesymbolZ(IBplatform).TheZfuturesmarkethasadailytradingvolumeofapprox

6、imately100000contractsandadailypricerangeofapproximately100points.Thecontractvalueis£10perFTSEpointandtheovernightmaintenancemarginwas£3000atthetimeofwriting.Eithereachbrokerortheexchangecanchangemarginsperiodicallyaccordingtomarketvolatility.Neuralnetwork-basedsystemshavegeneratedagreatdeal

7、ofinterestlatelybutaretheyaseffectiveasthesoftwarevendorsclaim?Idecidedtoinvestigate.InthefirstpartofthischapterIwillpresentaconventionalrule-basedsystemusingthemultipleregressionmodelwhichproducedthebestresultsintradinggold(seeChapter11).IusedNeuro