ADVANCED TRADING RULES

Front Cover......Page 1
Advanced trading rules......Page 4
Copyright Page......Page 5
Contents......Page 6
Foreword......Page 10
List of Contributors......Page 12
Introduction......Page 18
1.1 Introduction......Page 23
1.2 Technical trading rules......Page 24
1.3 Null models for foreign exchange movements......Page 25
1.4 Empirical results......Page 26
1.5 Economic significance of trading-rule profits......Page 45
1.6 Conclusions ......Page 53
2.1 Introduction......Page 59
2.2 Smoothing estimators and kernel regression......Page 62
2.3 Automating technical analysis......Page 69
2.4 Is technical analysis informative?......Page 80
2.6 Conclusions......Page 121
3.1 Introduction......Page 129
3.2 Data and portfolio construction......Page 130
3.3 Results......Page 132
3.4 Conclusions ......Page 135
4.1 Introduction......Page 139
4.2 Trading rules......Page 140
4.3 Autoregressive models......Page 142
4.4 Technical indicators......Page 147
4.5 Conditional heteroskedasticity and linear rule returns ......Page 161
4.6 Conclusions ......Page 164
4.7 Appendix ......Page 165
5.1 Introduction......Page 169
5.2 The moving-average trading rule......Page 172
5.3 The stochastic process for asset returns......Page 174
5.4 The moving-average (infinite,1) rule ......Page 181
5.5 Applications to UK stock and futures markets......Page 186
5.6 Conclusions ......Page 188
6.1 Introduction......Page 191
6.2 Portfolio returns of directional strategies ......Page 192
6.3 Exact distribution under the normal random walk assumption ......Page 193
6.4 Generalization......Page 196
6.5 Conclusions ......Page 198
7.1 Introduction......Page 200
7.2 Data and methodology......Page 203
7.3 Trading strategies ......Page 221
7.4 Results......Page 224
7.5 Conclusions ......Page 254
8.1 Introduction ......Page 266
8.2 Basic concepts, data processing and modelling procedure ......Page 267
8.3 Empirical results and further developments......Page 272
8.4 Conclusions ......Page 278
9.1 Introduction......Page 281
9.2 Defining filter rules and head-and-shoulders patterns ......Page 282
9.3 Measuring profits from technical signals ......Page 286
9.4 Empirical profitability of the technical trading rules in FX data......Page 288
9.5 The incremental profitability of the head-and-shoulders pattern......Page 290
9.6 Conclusions ......Page 292
10.1 Introduction......Page 296
10.2 The series and their statistical properties ......Page 297
10.3 The endogeneous and exogenous trading rules......Page 313
10.4 Conclusions ......Page 320
11.1 Introduction ......Page 329
11.2 The model......Page 331
11.3 A test of the existence of stop-loss strategies ......Page 336
11.4 Empirical results......Page 341
11.5 Conclusions......Page 353
11.6 Statistical appendix......Page 354
11.7 Mathematical appendix......Page 357
12.1 Introduction......Page 362
12.2 Genetic algorithims......Page 363
12.3 Evolving technical trading rules......Page 366
12.4 Testing the trading rules ......Page 369
12.5 Analysing trading rule signals ......Page 374
12.6 Conclusions ......Page 380
13.1 Introduction ......Page 384
13.3 Measures of investment and return......Page 385
13.4 Modern portfolio theory ......Page 393
13.5 Overview of creating a managed futures program......Page 394
13.6 Commodity trading advisors......Page 396
13.7 Systematic versus discretionary traders......Page 397
13.8 Conclusions ......Page 404
14.2 BAREP's organization......Page 405
14.3 Trading concepts ......Page 408
14.4 Money management ......Page 415
14.5 Epsilon futures fund......Page 421
14.6 Perfomance futures fund and BAREP commodities futures fund ......Page 431
14.7 Conclusions......Page 435
15.1 Introduction......Page 436
15.2 Tools and definitions ......Page 437
15.3 Practical use of performance tools ......Page 440
15.4 Robustness tests......Page 448
15.5 Conclusions ......Page 455
Index......Page 458