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Intermarket Trading Strategies

توضیحات

When I started my research on intermarket analysis in the early 90s, there were only very few analysts active in this field. John Murphy was the first to introduce Intermarket relationships and I was the first to publish mechanical trading strategies using them. Others have followed up over the years but with very little original research. This is the first book I have seen in years with new material, ideas and trading systems that helps advance the field of Intermarket analysis. I have read many books and articles during my career and I think that this book is one of the best on the subject and it will become a great reference for applications of Intermarket analysis and especially trading system development in today’s volatile markets.

Murray Ruggiero, Vice President of Research and Development of TradersStudio software, contributing editor of Futures Magazine and author of several books on trading systems and Intermarket analysis

It is clear from reading Intermarket Trading Strategies that Markos Katsanos has combined technical competence with common sense to bring a breath of fresh air to active investors. His examples are timely and well thought out, reflecting an awareness of our high-risk environment. He understands and explains the important principles underlying successful trading and offers his solutions. I can highly recommend it.

Perry Kaufman, trader and author of The New Trading Systems and Methods

Before designing a trading system, it is absolutely necessary to gain a deep understanding of the markets. Markos Katsanos does an excellent job of explaining the relationships between different markets through the use of statistical tools, which he does in clear and simple language. Readers of this notable book will be better able to create trading systems that can conquer any market.

Jayanthi Gopalakrishnan, editor of Technical Analysis of Stocks & Commodities magazine


Markos Katsanos is an expert in technical analysis and trading systems and inventor of two new technical indicators. In showing the relationship of volume to price movement, his Finite Volume Element (FVE) and Volume Flow (VFI) Indicators have become popular tools used by traders and the code was incorporated in almost all Technical Analysis and trading software. He has a Bachelors degree in Civil Engineering and a Masters degree in Structural Engineering, and is a member of the Technical Securities Analysts Association of San Francisco (TSAASF). He has traded stocks and commodities since 1987, starting with fundamental analysis. With his engineering training he quickly gravitated to technical analysis of the market. With more than two decades of experience in computerized analysis of stocks and futures, he has spent years refining his methods to come up with some of the most profitable strategies for choosing trades. He specializes in mechanical systems and has constructed dozens of systems for his clients and his own use. Markos Katsanos has contributed several articles to Technical Analysis of Stocks & Commodities and other financial publications. He is currently in the process of setting up his own financial consulting company.
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.