C. LeBeau, D. Lucas - Computer analysis of the futures market (WinWord_280 p).doc

280computer analysis of the futures marketcharles lebeau and david w.lucaseditors of technical traders bulletinirwinprofessional publishing . . , . . .,. :. . - .: ,1998- 304.isbn 5-89684-002-0 (.) isbn 1-55623-468-6 (.) - . -. , . , , . , , , , . , 339.13.017 65.42isbn 5-89684-002-0 (.) isbn 1-55623-468-6 (.) charles lebeau & david w. lucas, 1992 , . , 1998 , . , . . , , , : . - , , . - , , . , , . . , . . . , , . , , , . , , , k.i.s.s. (keep it simple, stupid! - !) . , . , , . . , , , . , , , . computrac software, inc. 15 . , , , . , . , , , , , , , - . , , , , . , , , - . , . , . . technical traders bulletin, . , , . 20- . $3000 . - , , , . , . , , , , . , , . , . , , . , , , . . , . , . , , . , , , . , . , . , , . , . . . , . , - . , , ( ) , , , , , , , , , , , , , , , , , , -, , , , -, , , , 0, , , , , , , , , , , , , , , , , , , , , , . technical traders bulletin futuresource. . computrac sofware, technical tools, omega reseach, pro-manage software. , , . . . () , , ( ), , , , . technical traders bulletin , . , . . 5 8 9 17 17 18 - 18 19 , 19 20 20 - 22 23 23 1 25 25 ? 25 26 , 27 1: 28 - 28 29 30 2: 31 31 34 3: 35 , , 35 36 36 4: 37 37 38 39 5: 41 41 42 43 44 46 6: 47 47 48 ? 48 50 7: 52 52 53 56 57 2 59 59 59 60 61 61 dmi (dmi - directional movement indicator) (adx - average directional movement index) 62 dmi 63 ( - directional movement) 63 adx 64 dmi 67 adx 68 adx 71 adx 74 adx: 75 adx: 76 adx 77 (bands), (envelopes) (channels) 78 1: 80 (bollinger bands) 81 82 85 86 2: 88 89 91 91 (cci - commodity channel index) 92 92 95 cci 96 cci 99 99 100 (divergence) 101 102 104 104 105 106 110 (momentum) (rate of change) 111 (roc - rate of change) 114 - 114 - 116 118 120 120 (moving averages) 122 122 125 125 128 130 131 132 (dma - displaced moving averages) 134 139 ? 141 ?141 - (macd - moving average convergence-divergence) 143 143 macd 145 / 146 macd 147 148 149 150 (parabolic) 152 152 154 af 156 156 156 157 r (percent r) 160 r (larry williams %r)? 160 160 162 164- (point and figure) 165 165 166 167 170 170 170 (rsi - relative strength index) 173 (failure swings) 174 rsi 175 175 175 rsi 176 rsi 179 rsi 179 (slow stochastics) 182 184 184 186 188 188 - 188 190 190 192 192 194 195 , 196 197 199 (volume and open interest) 200 200 202 204 206 208 3 213 213 ? 213 214 215 215 216 ? 217 217 218 219 222 222 224 224 224 224 225 (the sharpe ratio) 225 (the sterling ratio) 226 (the calmar ratio) 226 226 227 (net profit) 227 (number of trades in thetest sample) 228 (largest winning and largest losing trade) 228 (maximum consecutive winners and losers) 228 (peak-to-valley drawdown) 229 (percent winners) 230 (ratio of average win to average loss) 230 (total return andmaximum drawdown) 230 (volatility and probability of ruin) 231 , 233 233 234 235 236 236 237 238 238 (rsi - relative strength index)23