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Preface to the Fifth Edition xv
CHAPTER 1 Introduction 1
The Expanding Role of Technical Analysis 1
Convergence of Trading Styles in Stocks and Futures 2
A Line in the Sand between Fundamentals and Technical Analysis 4
Professional and Amateur 5
Random Walk 6
Deciding on a Trading Style 8
Measuring Noise 10
Maturing Markets and Globalization 14
Background Material 16
Research Guidelines 18
Objectives of This Book 19
Profile of a Trading System 20
A Word about the Notation Used in This Book 23
And Finally . . . 23
CHAPTER 2 Basic Concepts and Calculations 25
About Data and Averaging 26
On Average 30
Price Distribution 33
Moments of the Distribution: Variance, Skewness, and Kurtosis 37
Standardizing Risk and Return 48
The Index 54
Standard Measurements of Performance 58
Probability 59
Supply and Demand 66
CHAPTER 3 Charting 79
Finding Consistent Patterns 80
What Causes the Major Price Moves and Trends? 82
The Bar Chart and Its Interpretation by Charles Dow 83
Chart Formations 92
Trendlines 94
One-Day Patterns 102
Continuation Patterns 113
Basic Concepts in Chart Trading 117
Accumulation and Distribution—Bottoms and Tops 118
Episodic Patterns 132
Price Objectives for Bar Charting 133
Implied Strategies in Candlestick Charts 139
Practical Use of the Bar Chart 144
Evolution in Price Patterns 148
CHAPTER 4 Charting Systems and Techniques 151
Dunnigan and the Thrust Method 152
Nofri’s Congestion-Phase System 155
Outside Days with an Outside Close 157
Inside Days 158
Pivot Points 158
Action and Reaction 159
Channel Breakout 167
Moving Channels 170
Commodity Channel Index 171
Wyckoff’s Combined Techniques 172
Complex Patterns 173
A Study of Charting Patterns 176
Bulkowski’s Chart Pattern Rankings 178
CHAPTER 5 Event-Driven Trends 181
Constructing a Swing Chart Using a Swing Filter 184
oint-and-Figure Charting 195
The N-Day Breakout 222
CHAPTER 6 Regression Analysis 235
Components of a Time Series 235
Characteristics of the Price Data 236
Linear Regression 238
Linear Correlation 248
Nonlinear Approximations for Two Variables 252
Transforming Nonlinear to Linear 256
Evaluation of Two-Variable Techniques 257
Multivariate Approximations 259
ARIMA 267
Basic Trading Signals Using a Linear Regression Model 273
Measuring Market Strength 276
CHAPTER 7 Time-Based Trend Calculations 279
Forecasting and Following 279
Price Change over Time 284
The Moving Average 284
Geometric Moving Average 292
Accumulative Average 293
Reset Accumulative Average 293
Drop-Off Effect 293
Exponential Smoothing 293
Plotting Lags and Leads 307
CHAPTER 8 Trend Systems 309
Why Trend Systems Work 309
Basic Buy and Sell Signals 314
Bands and Channels 320
Applications of a Single Trend 330
Comparison of Major Trend Systems 336
Techniques Using Two Trendlines 350
Multiple Trends and Common Sense 356
Comprehensive Studies 359
Selecting the Right Trend Method and Speed 359
Moving Average Sequences: Signal Progression 363
Early Exits from a Trend 366
Moving Average Projected Crossovers 366
CHAPTER 9 Momentum and Oscillators 369
Momentum 370
Divergence Index 384
Oscillators 385
Double-Smoothed Momentum 404
Velocity and Acceleration 412
Hybrid Momentum Techniques 416
Momentum Divergence 418
Some Final Comments on Momentum 426
CHAPTER 10 Seasonality and Calendar Patterns 427
A Consistent Factor 428
The Seasonal Pattern 429
Popular Methods for Calculating Seasonality 430
Seasonal Filters 456
Seasonality and the Stock Market 478
Common Sense and Seasonality 483
CHAPTER 11 Cycle Analysis 485
Cycle Basics 485
Uncovering the Cycle 494
Maximum Entropy 514
Cycle Channel Index 520
Short Cycle Indicator 521
Phasing 523
CHAPTER 12 Volume, Open Interest, and Breadth 527
A Special Case for Futures Volume 527
Variations from the Normal Patterns 529
Standard Interpretation 531
Volume Indicators 535
Breadth Indicators 546
Interpreting Volume and Breadth Systematically 554
An Integrated Probability Model 558
Intraday Volume Patterns 559
Filtering Low Volume 562
Market Facilitation Index 564
CHAPTER 13 Spreads and Arbitrage 565
Dynamics of Futures Intramarket Spreads 566
Carrying Charges 567
Spreads in Stocks 569
Spread and Arbitrage Relationships 570
Risk Reduction in Spreads 571
Arbitrage 572
The Carry Trade 596
Changing Spread Relationships 600
Intermarket Spreads 602
CHAPTER 14 Behavioral Techniques 617
Measuring the News 618
Event Trading 623
Commitment of Traders Report 635
Opinion and Contrary Opinion 641
Fibonacci and Human Behavior 648
Elliott’s Wave Principle 651
Price Target Constructions Using the Fibonacci Ratio 660
Fischer’s Golden Section Compass System 662
W. D. Gann—Time and Space 666
Financial Astrology 671
CHAPTER 15 Pattern Recognition 685
Projecting Daily Highs and Lows 687
Time of Day 689
Opening Gaps 699
Weekday, Weekend, and Reversal Patterns 711
Computer-Based Pattern Recognition 732
Artificial Intelligence Methods 735
CHAPTER 16 Day Trading 737
Impact of Transaction Costs 738
Key Elements of Day Trading 744
Trading Using Price Patterns 753
Intraday Breakout Systems 759
Intraday Volume Patterns 774
Intraday Price Shocks 775
CHAPTER 17 Adaptive Techniques 779
Adaptive Trend Calculations 779
Adaptive Variations 788
Other Adaptive Momentum Calculations 793
Adaptive Intraday Breakout System 796
An Adaptive Process 797
Considering Adaptive Methods 798
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