Trading Systems and Methods, + Website, 5th Edition

The ultimate guide to trading systems, fully revised and updated

For nearly thirty years, professional and individual traders have turned to Trading Systems and Methods for detailed information on indicators, programs, algorithms, and systems, and now this fully revised Fifth Edition updates coverage for today’s markets. The definitive reference on trading systems, the book explains the tools and techniques of successful trading to help traders develop a program that meets their own unique needs.

Presenting an analytical framework for comparing systematic methods and techniques, this new edition offers expanded coverage in nearly all areas, including trends, momentum, arbitrage, integration of fundamental statistics, and risk management. Comprehensive and in-depth, the book describes each technique and how it can be used to a trader’s advantage, and shows similarities and variations that may serve as valuable alternatives. The book also walks readers through basic mathematical and statistical concepts of trading system design and methodology, such as how much data to use, how to create an index, risk measurements, and more.

Packed with examples, this thoroughly revised and updated Fifth Edition covers more systems, more methods, and more risk analysis techniques than ever before.

• The ultimate guide to trading system design and methods, newly revised
• Includes expanded coverage of trading techniques, arbitrage, statistical tools, and risk management models
• Written by acclaimed expert Perry J. Kaufman
• Features spreadsheets and TradeStation programs for a more extensive and interactive learning experience
• Provides readers with access to a companion website loaded with supplemental materials

Written by a global leader in the trading field, Trading Systems and Methods, Fifth Edition is the essential reference to trading system design and methods updated for a post-crisis trading environment.

Table of Contents

CHAPTER 1 Introduction 1
CHAPTER 2 Basic Concepts and Calculations 25
CHAPTER 3 Charting 79
CHAPTER 4 Charting Systems and Techniques 151
CHAPTER 5 Event-Driven Trends 181
CHAPTER 6 Regression Analysis 235
CHAPTER 7 Time-Based Trend Calculations 279
CHAPTER 8 Trend Systems 309
CHAPTER 9 Momentum and Oscillators 369
CHAPTER 10 Seasonality and Calendar Patterns 427
CHAPTER 11 Cycle Analysis 485
CHAPTER 12 Volume, Open Interest, and Breadth 527
CHAPTER 13 Spreads and Arbitrage 565
CHAPTER 14 Behavioral Techniques 617
CHAPTER 15 Pattern Recognition 685
CHAPTER 16 Day Trading 737
CHAPTER 17 Adaptive Techniques 779
CHAPTER 18 Price Distribution Systems 801
CHAPTER 19 Multiple Time Frames 833
CHAPTER 20 Advanced Techniques 845
CHAPTER 21 System Testing 905
CHAPTER 22 Practical Considerations 983
CHAPTER 23 Risk Control 1027
CHAPTER 24 Diversification and Portfolio Allocation 1099