Intermarket Trading Strategies
Brochure
More information from http://www.researchandmarkets.com/reports/683693/
Intermarket Trading Strategies
Description:
This book shows traders how to use Intermarket Analysis to forecast future equity, index and
commodity price movements. It introduces custom indicators and Intermarket based systems using
basic mathematical and statistical principles to help traders develop and design Intermarket trading
systems appropriate for long term, intermediate, short term and day trading. The metastock code
for all systems is included and the testing method is described thoroughly. All systems are back
tested using at least 200 bars of historical data and compared using various profitability and
drawdown metrics.
Contents:
PART I
1. Intermarket Analysis
1.1 Determining Intermarket relations
1.2 Using Intermarket Correlations for Portfolio Diversification
2. Correlation
3. Regression
3.1 The regression equation
3.2 Multiple Regression
3.3 Assumptions
3.4 Non Parametric Regression
4. International Indices and Commodities
4.1 The DAX
4.2 The CAC 40
4.3 The FTSE
4.4 The Dow Jones Stoxx 50 and Euro Stoxx 50
4.5 The NIKKEI
4.6 The HANG SENG
4.7 Trading Hours, Symbols and Volatility
4.8 The Dollar Index
4.9 The XOI and the OIX
4.10 The CRB Index
4.11 The Goldman Sachs Commodity Index (GSCI)
4.12 The XAU and the HUI
4.13 The VIX
5. THE S&P-500
5.1 Correlation with International Indices
5.2 Interest rates, Commodities, FOREX and the VIX
5.3 Correlation between the S&P-500 and stocks
6. European Indices
6.1 The Dax
6.2 Correlation with Stocks.
6.3 European Futures
6.4 Time factor
6.5 Intraday
7. GOLD
7.1 Correlations with Equity and Commodity assets
7.2 Leading or Lagging?
7.3 Which Time Frame?
8. Intraday Correlations
8.1 Relationships Between Different time frames.
8.2 Intermarket regression
8.3 Which Time Frame?
8.4 Lagging or Leading?
9. Intermarket Indicators
9.1 Relative Strength
9.2 Bollinger Band Divergence
9.3 Intermarket Disparity
9.4 Intermarket LRS Divergence
9.5 Intermarket Regression Divergence
9.6 Divergence Momentum Oscillator
9.7 Z-Score Divergence
9.8 Multiple Intermarket Divergence
9.9 Multiple Regression Divergence
9.10 Intermarket Moving Average
9.11 Congestion Index
PART II
10. Trading System Design
10.1 Back-testing
10.2 Evaluating Profitability
10.3 Drawdown and other Risk metrics
10.4 Stop-Loss
10.5 Profit Targets
10.6 Money Management
10.7 Neural Networks
10.8 Fuzzy Logic
11. A comparison of fourteen technical systems for trading gold
11.1 Test Specifications
11.2 Test Design
11.3 Regression Systems
11.4 Relative Strength
11.5 The Bollinger Band Divergence System
11.6 The Z-Score
11.7 The Linear Regression Slope Method
11.8 Disparity
11.9 Discussion of test results
12. Trading the S&P ETF and the e-mini
12.1 Daily System
12.2 E-mini Intraday System
13. Trading DAX futures
13.1 Intermarket Divergence System
13.2 Moving Average Crossover System
14. A Comparison of a Neural Network and a conventional system for trading FTSE futures
14.1 Correlation with International Indices
14.2 Setting up the tests
14.3 Summary of Conditions
14.4 Evaluation of results
14.5 A Neural Network system for trading the FTSE
14.6 Conclusion
15. The Use of Intermarket systems in trading Stocks
15.1 Testing Method
15.2 A System for trading Oil stocks
15.3 Evaluation of the Oil stock model
15.4 Trading Gold stocks
16. A relative strength asset allocation trading system
16.1 Testing Procedure
16.2 Discussion of results
17. Forex Trading Using Intermarket Analysis
17.1 Forex Fundamentals
17.2 The Carry Trade
17.3 Trading the Japanese Yen
17.4 The Euro
17.5 Trading the Euro
17.6 Evaluation of Results
17.7 The Australian dollar
Conclusion
APPENDIX A
Metastock code and Test Specifications
A.1 Metastock code for the Indicators described in Chapter 9
A.2 Metastock code for the Gold Comparison Tests in Chapter 11
A.3 Metastock code for the S&P systems described in Chapter 12
A.4 Metastock code for the DAX systems described in Chapter 13
A.5 Metastock code for the FTSE systems described in Chapter 14
A.6 Metastock code for the Oil and Gold stock systems in Chapter 15
A.7 Metastock code for the Futures and ETF systems in Chapter 16
A.8 Metastock code for the Forex systems described in Chapter 16
APPENDIX B
Neural Network Systems
Includes a detailed procedure for recreating the Neural Network systems described in Chapter 14,
using NeuroShell Trader.
APPENDIX C
Rectangles
Provides the metastock code and evaluation of an exploration to detect rectangle formations.
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