An Introduction to Automated Trading -- 2010




  


在Ishare上看到一段话，觉得不错，把它放在这里：
“投资领域永远是90%的人养活10%的人。如果你不想养活别人，那么必然要有超乎一般人的地方。如果书只能等着翻译，情况估计就不太妙了。 ”--- liulangnmg

Contents
1 Introduction -What This Ebook is All About 5
2 Sharing This Ebook 5
3 Truths You Should Know. Realities About Automated Trading. 6
3.1 You Say Profit... I Say Draw Down . . . . . . . . . . . . . . . . . 6
3.2 Can You Trade Automated Trading Systems Successfully ? . . . . 7
3.3 Ten Reasons why People Fail to Live From Automated Trading . . 9
3.4 The Three Commandments of the Successful Forex System Trader 12
3.5 Trading Reality and Automated Trading : Realistic Profit Expectations,
Looking at the Barclay Currency Traders Index . . . . . . 15
3.6 Protecting Your Account Against Inflation - A Concern For Long
Term Forex Investors . . . . . . . . . . . . . . . . . . . . . . . . 17
3.7 The Ability To Make Money : The True Reward of Forex Trading 19
3.8 Ten Reason why using Scalping systems is NOT a Good Idea . . . 21
3.9 Profits for Today or Profits for a Lifetime... Think Differently . . . 24
3.10 Deepest Pocket Wins ... Argumenting for Once and for ALL why
Martingales CANNOT be traded Profitably in the Long Term . . . 26
3.11 Messing with an Expert Advisor... Five ReasonsWhy you Should
NOT Intervene . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
3.12 TheMarket Fights Back : FiveWays inWhich theMarket Protects
Itself from Massive Mechanical Exploitation . . . . . . . . . . . . 30
4 Expert Advisor Evaluation 32
4.1 Trading on the Edge of the Charts...Why Visual Backtesting Does
Not Work . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
4.2 Knowing Before Knowing, The dangers in Hindsight . . . . . . . 33
4.3 Curve Fitting Trading Systems... Can it be Avoided ? . . . . . . . 34
4.4 The Testing Time Problem... For How Long Should I Demo Test ? 36
4.5 The Trick of Tricks... Deceit by Multiple Testing . . . . . . . . . 38
4.6 What is Accurate Data ? Talking About Simulations in Forex
Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
4.7 Unreliability of Backtesting Data... Why you should ONLY use
the Alpari Downloaded Mt4 for Backtesting . . . . . . . . . . . . 41
4.8 Jumping to Conclusions... The Neglect of Statistical Significance . 44
4.9 And you say you have a strategy ? . . . . . . . . . . . . . . . . . 46
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4.10 Evaluating Trading Systems : Characteristics and Quality . . . . . 48
5 Losing Periods and Automated Trading System Psychology 50
5.1 Getting the Right Mind Set : Distinguishing Between Expenses
and Failures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
5.2 When the Expected Draw Downs Come - Dealing With Loses
When you Live from Trading . . . . . . . . . . . . . . . . . . . . 52
5.3 The Reality is,Most People are Terrible Losers... Are you a Good
or a Bad Loser ? . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
5.4 Are there any Bad Market Conditions in Forex Trading ? . . . . . 56
5.5 Looking at Losing Accounts - 5 Tips to Get Through Draw Down
Periods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
5.6 The Draw Down Obsession... Why Stubborn Systems are VERY
Dangerous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
5.7 Trader Psychology : Being a Loser... Knowing How to Deal with
Losing Periods . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
6 Understanding Indicators 62
6.1 The indicator series... Going back to the basics ! . . . . . . . . . . 62
6.2 The Indicator Series... The Moving Averages . . . . . . . . . . . 63
6.3 The Indicators Series : The MACD, the Market’s Speedometer . . 66
6.4 The Indicator Series : The Momentum Indicator . . . . . . . . . . 68
6.5 The Indicator Series : The ADX, beyond a trend/range filter . . . 70
6.6 The Indicator Series... The Stochastic Oscillator . . . . . . . . . . 72
6.7 Indicator Series : The Fractal Indicator . . . . . . . . . . . . . . . 74
6.8 The Indicator Series : Understanding Bollinger Bands . . . . . . . 75
7 Trading System Design 78
7.1 Looking at the Future Through the Past : The Key to Successful
Entry Logic Design . . . . . . . . . . . . . . . . . . . . . . . . . 78
7.2 Five Common Mistakes in System Optimization . . . . . . . . . . 80
7.3 Making Automated Trading Systems - 6 Tips for Successful System
Design . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
7.4 Steps to Design a Likely Long Term Profitable Trading System . . 85
7.5 Mathematical Expectancy of Entries... A Basic Powerful Concept
in System Design and Development . . . . . . . . . . . . . . . . 88
7.6 Reversing Strategies... It Almost Never Works ! . . . . . . . . . . 90
7.7 The Truth is... There is No Insider Secret . . . . . . . . . . . . . 91
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7.8 Intelligent Trading : Answering Every "What if" . . . . . . . . . . 93
8 Where can I Learn More ? 95
9 Finally... 95