Tài liệu Professional Stock Trading System Design and Automation

Contents
PREFACE
CONTENTS
TABLE OF FIGURES
IX
XI
XVII
1 INTRODUCTION l
1.1 Acme Trading Systems 2
1.2 System Summary 4
1.3 Chart Indicators 5
1.4 A Trading Model 6
1.4.1 Portfolio 7
1.4.2 Trade Manager 12
1.4.3 The Trading System 19
1.4.4 Trade Filters 22
1.5 Performance 32
1.5.1 A Tale of Two Stocks 34
2 PAIR TRADING 39
2.1 The Spread 40
2.2 Spread Bands 41
2.3 Short Selling 44
2.3.1 NYSE Rules 44
2.3.2 Nasdaq Rules 45
2.4 Hedging 45
2.5 Pair Trading System (Acme P) 46
2,11 Long A Short B Rules 47
2.5.2 Short A Long H Rules 47
2.6 Examples 51
2.6.1 Activision - THQ Incorporated 51
2.6.2 THQ - Activision 52
2.6.3 Apache-Anadarko 54
2.6.4 Allstate-Progressive 55
2.6.5 Emulex-QLogic 56
2.6.6 RF Micro Devices-TriQuint Semiconductor 57
2.7 Pair Trading Strategies 58
2.7.1 Tips and Techniques 59
3 PATTERN TRADING 61
3.1 Market Patterns 62
3.1.1 Cobra (C) 62
3.1.2 Hook (H) 63
3.1.3 Inside Day 2 (I) 64
3.1.4 Tail (L) 64
3.1.5 Harami (M) 66
3.1.6 Pullback (P) 67
3.1.7 Test (T) 68
3.1.8 V Zone (V) 69
3.2 Pattern Qualifiers 70
3.2.1 Narrow Range (N) 70
3.2.2 Average (A) 71
3.3 Pattern Trading System (Acme M) 72
3.3.1 Long Signal 72
3.3.2 Short Signal 73
3.4 Examples 79
3.4.1 Abgenix 79
3.4.2 PMC-Sierra 80
3.4.3 Check Point Software 81
3.4.4 New York Futures Exchange 82
3.4.5 Comverse Technology 83
3.4.6 Nasdaq Composite Index 83
3.4.7 Computer Associates 84