New Trading Systems and Methods (Perry J. Kaufman, 2005)

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  • Chart days
    • Wide-ranging day: volatility with events.
    • Outside day: may expected reversal.
    • Inside day: high and low fall within previou day.
  • Continuation: triangles, flags, pennants, wedges.
  • Rounded top/bottom: changed in market force, usually will have longer end.
  • Episodic patterns
    • In bull market: shock > stabilisation > congestion
    • In bear market: shock > sell off > bounce > settle
  • Some charting teehniques
    • Dunnigan and the Thrust method
      • One way formula
      • Square root theory
    • Nofri's congestion-phase system
    • Fibonacci
    • Tubbs' law of proportion
    • DeMark's Sequential
  • Donchian's 4-week rule: long when current price exceeds the previous 4-week high or short when it falls below the previous 4-week low.
  • Using regression
    • Least squares / Sinusoidal
    • Linear correlation
    • Multivariate approximations
    • Autoregressive integrated moving average (ARIMA)
    • Kalman filters
  • Trend calculation
    • Geometric moving average
    • Kaufman's adaptive moving average
    • Drop off effect
    • Exponential smoothing
  • New media indicator
    • Long term: Time, Newsweek, Economist
    • Medium term: Barron's, Forbes, Business Week
    • Short term: Wall Street Journal, New York Times
  • Adaptive momentum calculations
    • Variable-length stochastic
    • Trend-adjusted oscillator
    • Dynamic momentum index
  • Measuring risk and return
    • Sharpe ratio
    • Average maximum retracement
    • Largest loss
    • Ulcer index
    • Potential risk
    • Value at risk

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