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Trading Regime Analysis: The Probability of Volatility

توضیحات

When it comes to trading regime analysis what really works? Will following the trend give the best results? Or maybe fading the trend? Or perhaps doing absolutely nothing? It comes down to the age old question – what is the Holy Grail of market analysis? Of course, all wise investors know that there is no such thing, but if you can identify the periods when trending behaviour or range trading behaviour is most likely to occur then your chances of long term success in the markets are increased dramatically.

In contrast to the plethora of ‘guru guides’ claiming to hold all the secrets to market success, Gunn provides a pragmatic approach to trading and investing drawing on his own thoughts and experiences from two decades in the financial markets.

Gunn simplifies market analysis by presenting a bi-polar world where the market cycles between rising and falling volatility. These fluctuations are driven by cycles in human emotion which can be anticipated by using technical market analysis rather than the normally lagging fundamental analysis. Gunn highlights that timing is everything when it comes to investing or trading and that in order to take advantage of the changing dynamics of the market price it pays to become an observer of the overall market psychology.

Existing methods of anticipating volatility cycles are examined, such as orthodox pattern recognition, Japanese candlesticks and the Elliott wave principle, as are new areas of research, including implied volatility curves, the volatility smile and the Trading Regime Indicator (TRI). A range of examples are also given of how an appreciation of volatility conditions can enhance trading results and case studies are included to highlight the application that trading regime analysis has for a broad array of market participants.


Murray Gunn is a currency investment manager with over twenty years experience in the international capital markets, managing portfolio risk across all asset classes within some of the world's largest fund management organisations. He holds an MA (Hons) in Economics and is MSTA (Member of The Society of Technical Analysts).
Foreword

Acknowledgements

PART I: SUPPLY AND DEMAND

1 There is NO Holy Grail

2 The “Nature” of Markets

3 Volatility Defined

PART II: EXISTING TRADING REGIME ANALYSIS

4 Orthodox Pattern Recognition

5 Japanese Candlesticks

6 Volume Considerations

7 Previous Highs and Lows

8 Elliott Wave Principle

9 Moving Average Envelopes

10 Bollinger Band Width

11 The ADX

12 Point and Figure Charts

13 Rate of Change and Divergence

14 Williams %R

15 Donchian Channels

16 A Nod to the Quants

PART III: FURTHER IDEAS FOR TRADING REGIME ANALYSIS

17 Implied Volatility Curves

18 The Volatility Smile

19 My MATE

20 Trend-Following Performance Indicator

21 Trading Regime Indicator

PART IV: COMBINING AND USING TRADING REGIME ANALYSIS

22 An Eclectic Approach

23 Applications for Traders and Investors

24 Trading Regime Analysis for Economists and Fundamentalists

25 Case Studies

26 There is Still No Holy Grail

Appendix 1: Time Fractals and the Supply/Demand Index

Appendix 2: Why Do Trend Lines Work?

Appendix 3: Examples of Trend Lines

References

Index