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Index
Profitability and Systematic Trading
Contents
Preface
RATIONALE AND STRUCTURE OF THE BOOK
WHY YOU SHOULD READ THIS BOOK
Acknowledgments
About the Author
Disclaimer
Part I: Foundations
Chapter 1: The Market
A TRADER’S PERSPECTIVE
FUTURES, EQUITY, AND FOREX MARKETS
WHICH MARKET SHOULD I TRADE IN?
Chapter 2: The Zero-Sum Game of Trading
THE COUNTERARGUMENT
THE WINNERS AND LOSERS
ZERO-SUM TRADING MARKETS
RARE EXCEPTIONS TO THE RULE
DEALING WITH THE REALITIES OF THE ZERO-SUM GAME
Chapter 3: Trading Methods and Time Frames
TRADING METHODS
TRADING TIME FRAMES
Part II: Profitability and Risk
Chapter 4: The Profitability Rule
QUALITATIVE VERSUS QUANTITATIVE
DERIVATION OF THE PROFITABILITY RULE
THE FUNDAMENTAL LAW OF TRADING STRATEGIES
EFFECT OF COMMISSIONS ON PROFITABILITY
PROFITABILITY AND TRADING TIME FRAMES
EXAMPLES
Chapter 5: Risk and Money Management
THE PROBABILITY OF RUIN
THE FUNDAMENTAL LAW OF RISK AND MONEY MANAGEMENT
POSITION SIZING
THE RISK PERCENT METHOD
MARTINGALE VERSUS ANTI-MARTINGALE BETTING STRATEGIES
RISK AND MONEY MANAGEMENT PLAN
EXAMPLES
Part III: Systematic Trading
Chapter 6: Analysis of Trading Systems
SIMPLICITY VERSUS COMPLEXITY
TRADING SYSTEM MODELING
TRADING SYSTEM DEVELOPMENT AND BACK TESTING
PITFALLS OF BACK TESTING
Chapter 7: Synthesis of Trading Systems
FROM ANALYSIS TO SYNTHESIS
THE PROCESS OF SYNTHESIS
ANALYSIS VERSUS SYNTHESIS
EXAMPLES OF TRADING SYSTEM SYNTHESIS
AT THE END OF THE DAY
Appendix: Codes for Selected Price Patterns
ABBREVIATIONS
HEADER DETAILS
References
BOOKS
ARTICLES BY MICHAEL HARRIS
SOFTWARE
About the CD-ROM
INTRODUCTION
USING THE CD WITH WINDOWS
WHAT’S ON THE CD
CUSTOMER CARE
Index
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