Professional Stock Trading System Design and Automation phần 8 ppsx

... such as the Island. For example, if a stock were trading at 40 ¼ x 41, then a trader could bid the stock at 40 5/16 and offer it at 40 15/16-there may have been a seller and buyer who ... TradeStation 6. 216 10 Day Trading 10.4 The Trading Day The stock market is expanding on either end of the day, a natural extension into round-the-clock trading. Assuming a 24-hour...

Ngày tải lên: 10/08/2014, 07:21

... 151 Contents XV 8 MARKET MODELS 153 8. 1 Systems Model 154 8. 2 Sentiment Model 1 58 8.2.1 Volatility Index (VIX) 1 58 8.2.2 Put/Call Ratio 161 8. 2.3 New Highs 162 8. 2.4 New Lows 163 8. 2.5 Arms Index ... Arms Index (TRIN) 164 8. 2.6 Bullish Consensus 165 8. 2.7 Short Sales Ratio 165 8. 3 Market Trading System 167 8. 3.1 Long Signal 1 68 8.3.2 Short Signal 1 68 8.4 Exampl...

Ngày tải lên: 10/08/2014, 07:21

... both Stock A and Stock B are calculated from Data3 and Data4, respectively. The two stocks are then correlated, and the system can calculate the Spread Bands for the stock pair. First, the band ... again 2.5 Pair Trading System (Acme P) The Acme P system is a mechanical trading system for trading stock pairs. First, we calculate the volatility measures, and then...

Ngày tải lên: 10/08/2014, 07:21

... pair trading strategy uses a correlated pair of a leader and a laggard in a specific stock sector. One of the stocks is a growth stock, and the other stock is a value stock or blue chip stock ... losers Max # contracts held $0.00 ($13,2 78. 00) 59. 38% 13 ($2 ,88 0.00) ($1,021. 38) $ 284 .81 3 61 3,600 Table 2.7. TradeStation Strategy Performance Report - Acme P System THQ...

Ngày tải lên: 10/08/2014, 07:21

... Range Trading 7.3 Range Trading System (Acme N) 141 7.3 Range Trading System (Acme N) With all of the patterns defined, we can now implement a range trading system known as the Acme N System. ... best-performing stocks in that sector, and buy a basket of them. This system does not work well for industrial and financial stocks. Because of their cyclical nature and tenden...

Ngày tải lên: 10/08/2014, 07:21

... strategy and apply that strategy to market and sector indices such as the COMPX and BTK, as well as ETFs such as the QQQ and SPY. - Acme M System - Acme N System - Acme R System - Acme V System Figure ... optimize for performance here, we applied the system filters. The results arc shown in Tables 8. 3 and 8. 4, sorted by profit factor. 8. 1 Systems Model 155 Table 8....

Ngày tải lên: 10/08/2014, 07:21

... Characteristics Symbol csco MSFT VRSN NVDA MERQ. HOTT PNRA Market Makers 106 88 77 68 63 42 31 ADV (millions) 79.39 27.42 18. 79 9.72 2.90 0.39 0. 28 Float (millions) 7 180 .0 4510.0 195.9 1 08. 4 77.6 30.2 12.3 ATR 0 .80 1 .89 1. 98 2 .82 2.29 0.92 2.44 Spread .01 .01 .02 .06 .06 .10 .30 VP 5.71 3.63 11.00 8. 06 6.36 4.00 3.75 ADV Float 1.11 0.61 9.59 8. 97 3.74 1.29 2. 28 10.2....

Ngày tải lên: 10/08/2014, 07:21

... Market System Signal 274 11 Source Code 11.4 Source Code 275 244 11 Source Code 11.4 Source Code 245 Acme Float Percent 264 11 Source Code 11.4 Source Code 265 2 68 11 Source Code Acme R System 11.4 ... Code 271 2 48 11 Source Code Acme M Strategy Strategy Table 11.12. Acme M Strategy Signal Name Acme M System Acme Trade Manager Long Entry V Long Exit V Short Entry V Short Exit V Ac...

Ngày tải lên: 10/08/2014, 07:21

... • 182 trading automated • 151 capital • 7 -8 firm • 194-95 fixed costs • 8- 9 halt • 2 18 income • 8 Level II • 203 margin • 10 system • 19-20 Trading Model • 6-31 Portfolio • 6 trading system design ... 288 11 Source Code 11.4 Source Code 289 286 11 Source Code 11.4 Source Code 287 280 11 Source Code 11.4 Source Code 281 284 11 Source Code 11.4 Source Code 285...

Ngày tải lên: 10/08/2014, 07:21

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