robust trading, 6-7, 17, 22, 26-27 rollovers, 64, 65

RSS (residual sum squares), 181 rule of two, 251

sampling with replacement, 229, 230 S&P-500, 18-19, 43, 59,108,133,

141-142 Schwager, Jack D., 221 self-correcting system, 39, 53, 95 simple-moving average (SMA), 22, 47,

single-contract system, 215, 216 65sma-3cc model, 77, 79, 83, 84, 87,

94-95,99, 122, 197,218 with one-way entries, 195 and small drawdown, 220 tests of, 188 weaknesses of, 82, 85 slippage, 71, 72, 150, 174, 247 slow exit, 174 software, 40, 66-67, 71, 92, 165, 218 standard deviation, 31, 202

of equity changes, 198, 214, 220 of profits, 16, 82 standard error (SE), 35, 36, 195 and equity curve smoothness, 181,

182,217 for joint equity curve, 193 Stewart, Blair, 8 stochastic oscillator, 44, 46, 169 Stone, H. L., 8 stop orders, 66 Sweeney, John, 86 Swiss franc, 20, 34, 35 symmetrical trading system, 28 synthetic data, 229, 231, 232, 235,

237-238 system design, 141, 212, 244 system implementation, 242 system performance, 198, 220 system testing, 229, 241, 242 System Writer Plus, 32, 44, 45, 134, 186, 195

T-AT (trend-antitrend), 116-120, 121

Tech Tools, Inc., 65

10-year T-note market, 29, 35

test data, choosing, 64-66 testing patterns, 176 tests, 69-71, 116, 128, 130

in correlated markets, 131

of long-bomb, 174

of system, 64, 67-68 Tewles, Richard J., 8

tick barrier system, 102, 155, 156, 161

acting as filter, 164 tight stops, 53, 54, 55-56, 187 Tom Berry's Portfolio Analyzer soft­ware, 195

TOPS COLA, 7, 8, 122, 174 traceability, 246, 250 trader's psychology, 72 TradeStation, 67, 103, 105, 118, 174 trading beliefs, 12-13, 71, 242 trading frequency, 161, 164 trading plan, 248, 249 trading rules, 24 trading strategy, 40, 197 trading system, 3, 5

design of, 14-15, 17, 20-22, 52, 62,

tests of, 71, 72 trailing exit, 100, 152, 162

trailing stop, 61, 86, 108, 137, 149, 152,

162, 189, 199 trend changes, 131 trend-following systems, 69, 74, 75, 116, 120,137

strategies, 43, 44, 46, 47

long-term, 106, 109 trending market, 54, 107 t-test, 162, 166

2-percent of equity initial stop, 52 2-percent rule, 33

uncorrelated markets, 35 Union Carbide, 138 upside crossover, 46, 126 U.S. bond, 21, 43,89,91,95,106, 116, 127,156,220

variable-contract strategy, 172, 174, 216 volatility, 29, 30, 31,91 volatility-based barrier, 159 volatility-based stops, 57, 59, 60, 91, 92, 99, 153

Index 259

volatility-based system (VOL), 218, 219 whipsaw trades, 160

volatility exit, 152, 153, 154, 156, 164, Wilder Jr., J. Welles, 40, 94, 201

188 win-loss ratio, 170, 176

winning intervals, 198 whipsaw losses, 53-54 winning percentage, 209, 210 whipsaw signals, 96 winning trades, 68, 69, 80, 86, 111

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