Chan Automation of Trading Machine for Traders

How to Develop Trading Models
1. Auflage 2019
ISBN: 978-981-13-9945-9
Verlag: Springer Nature Singapore
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 143 Seiten

This Palgrave Pivot innovatively combines new methods and approaches to building dynamic trading systems to forecast future price direction in today's increasingly difficult and volatile financial markets. The primary purpose of this book is to provide a structured course for building robust algorithmic trading models that forecast future price direction. Chan provides insider information and insights on trading strategies; her knowledge and experience has been gained over two decades as a trader in foreign exchange, stock and derivatives markets. She guides the reader to build, evaluate, and test the predictive ability and the profitability of abnormal returns of new hybrid forecasting models.



Jacinta Chan, PhD in Financial Statistics, is with the Faculty of Business and Accountancy at the University of Malaya, Malaysia. She shares her knowledge and skills gained over two decades as a forex dealer, equity research analyst, product development officer of the futures exchange and senior Vice President of the sales and dealing derivatives desk of a financial institution with her students in universities and trading courses all over the world.

Autoren/Hrsg.

Chan, Jacinta

Inhaltsverzeichnis

1;Preface;5
2;Acknowledgements;12
3;Contents;14
4;List of Figures;15
5;List of Tables;17
6;1 Introduction to Model Trading;19
6.1;Market Analysis;21
6.2;Technical Analysis;21
6.3;Fundamental Analysis;26
6.4;Algorithm Technical Trading Systems;27
6.4.1;Setup of a Model Trading Desk;30
6.5;Conclusion: Risk of Not Having an Algorithm Trading System;32
6.6;Review: The First Trading Lesson;34
6.7;References;35
7;2 Technical Indicators: Market Technicians Trading Tools;37
7.1;Introduction;37
7.2;Lagging Indicators;38
7.2.1;Simple Moving Average;38
7.2.1.1;Simple 20 Day Moving Average (MA20);39
7.2.1.2;Optimized Simple Moving Average (OptMA);40
7.2.1.3;3- and 21-Day Moving Averages Crossover (MAC 3,21);42
7.2.1.4;Adjustable Moving Average? (AMA?);44
7.2.2;Range Breakout Model;45
7.2.2.1;Fixed Percentage Price Envelope (Moving Average Envelope Band (SMA (1,20,1%)));47
7.2.2.2;Standard Deviation Breakout Bands (BBZ);48
7.3;Leading Indicators;51
7.3.1;Momentum;51
7.4;Conclusion: The Key to Model Trading Is the Inherent Technical Indicator;52
7.5;Review;52
7.6;References;54
8;3 Market Data Analysis;55
8.1;Introduction;55
8.2;Choosing the Markets to Trade;56
8.3;Descriptive Statistics;58
8.4;Conclusion: You Need a Positive Statistical Expectation Edge for Your Trading Strategy;59
8.5;Review;60
8.6;References;61
9;4 Development of Technical Algorithm Trading Systems;62
9.1;Introduction;62
9.2;Profile of an Algorithm Trend Trading System;63
9.3;Adjustable Moving Average? (AMA?);67
9.4;Tests and Trading Results of Trading Rules;69
9.5;Abnormal Returns;71
9.6;Conclusion: AMA? Passes the In-Sample Profitable Tests and Needs to Be Assessed Further;73
9.7;Review;74
9.8;Appendix;75
9.8.1;Simple Moving Average Trading Rules;75
9.8.2;BBZ (Black Box Z-Test Statistics): BBZ Trading Rules;76
9.8.3;AMA? (Adjustable Moving Average?);78
9.9;References;82
10;5 Development of Artificial Intelligence Algorithm Trading Systems;84
10.1;Introduction;84
10.2;Architecture of Artificial Intelligence Trading System;86
10.2.1;Nonlinear Autoregressive Neural Network with Exogenous Inputs (NARNNX);86
10.2.2;N-CAMA? (One Hidden Layer, Ten Neutrons, 2 Delays ANN Model Using Closing Prices and AMA?);88
10.3;Artificial Intelligence System N-CAMA’s Abnormal Returns;89
10.4;Conclusion;92
10.5;Review;92
10.6;Appendix;93
10.7;References;95
11;6 Test Results of the Profitability of New Trading Model;97
11.1;Introduction;97
11.2;Analysis of Trading Systems;98
11.2.1;Analyzing Test Results;98
11.2.1.1;View Results;99
11.3;Empirical Results and Discussion on Findings;100
11.4;Conclusion: N-CAMA? Needs a Stop to Proceed;103
11.5;Review;103
11.6;Reference;104
12;7 Evaluation and Stops;105
12.1;Introduction;105
12.2;Evaluation;106
12.3;Capital and Risk Management;111
12.4;Conclusion: Cutting Loss Is the Key to Survival in the Trading Game;113
12.5;Review;116
12.6;Appendix;118
12.7;References;120
13;8 Conclusion: End of Course and Beginning of Trading;121
13.1;Introduction;121
13.2;Summary Review of Trading Lessons;122
13.3;Trading Strategy of Trading Plan;123
13.4;Trading Checklist;124
13.4.1;Trading Plan;125
13.4.2;Check Your Trading Plan for the Market You Wish to Trade In;125
13.4.3;Do Your Own Research, Data Analysis and Testing, Innovation, and Stress Testing;125
13.4.4;Select the Most Suitable Technical Indicator for Your Market;126
13.4.5;Have a Risk Control Mechanism in Your Trading System;127
13.4.6;Calculate and Keep Excess for Your Capital Management;127
13.4.7;Keep a Trading Journal for Audit and Revision Purpose;127
13.4.8;Do Periodic Check and Revise from Step One;128
13.4.9;Lastly, Start Trading;128
13.5;Conclusion: Last Words—The Market Is Always Right;128
13.6;Review;129
13.7;Appendix;132
14;Glossary;134
14.1;Analysis;134
14.2;Chart Analysis;134
14.3;Technical Indicators;134
14.4;Trading Range Terms;136
14.5;Trading Trend Terms;136
14.6;Tests;136
14.7;Theories;137
14.8;Trading Terms;137
15;Bibliography;139
16;Index;142