Introduzione: cosa è un sistema di trading
Sezione1
Esempi di segnali di entrata [a]
Esempi di segnali di entrata [b]
Esempi di segnali di entrata [c]
Regole di stop-loss e di stop-profit
Esempio. Parte I: progettazione di un sistema di trading
Sezione2
I dati da usare per l'analisi dei sistemi di trading
L'ottimizzazione dei parametri del sistema
Osservazioni sulla metodologia dell'ottimizzazione
Osservazioni sul significato dell'ottimizzazione
La simulazione in forward testing
Uso combinato dell'ottimizzazione in back testing e del forward testing
"Fine tuning" del sistema di trading
Esempio. Parte II: il test di un sistema di trading
Sezione3
La validazione del sistema: rendimento e rischio
Analisi della distribuzione del MDD
Un raffinamento dell'analisi del MDD
I sistemi di trading
Bibliografia
| Arrington, George R. | (1993) | The JSA Moving Average | TASC October 1993 |
| Baillie R., Bailey R. | (1984) | International Currency Speculation Market Stability and efficiency in the 1920s: a time series approach | Journal of Macroeceonomics vol.6 |
| Balan, Robert | (1992) |
Elliott Wave Principle Applied to the Foreign Exchange Markets | BBS Financial Publications |
| Balzara, Nauzer J. | (1992) | A Guide to Pyramiding | TASC October 1992 |
Blasic, John C. |
(1992) | The Gann Method | TASC June 1992 |
| Brown, Connie | (1993) | Neural Networks with Learning Disabilities | TASC May 1993 |
| Carling, Alison | (1992) | Introducing Neural Networks |
Sigma Press |
| Cassetti, Marlowe D. | (1993) | A Neural Network System for Reliable Trading Signals | TASC June 1993 |
| Chande, Tushar S. | (1992) | Adapting Moving Averages to Market Volatility | TASC March 1992 |
| Cornell W., Kimball D. | (1978) | The efficiency of the market for foreign exchange under floating exchange rates | Review of Economics and Statistics, vol.60 |
| Devaney, Robert L. | (1990) | Caos e frattali | Addison Wesley |
| Dorsey, Donald | (1992) | The Mass Index | TASC June 1992 |
| Dorsey, Donald | (1993) | The Relative Volatility Index | TASC June 1993 |
| Dunis C., Feeny M. (eds) | (1989) | Exchange Rate Forecasting | Woodhead-Faulkner |
| Ehlers John | (1990) | Profit Mapping | TASC April 1990 |
| Ehlers, John | (1992) | MESA | Manual |
| Ehlers, John | (1992) | 3D Manual 3D Prodotti | Manual |
| Eliason, Peter | (1989) | Tactical Stock Trading | TASC March 1989 |
| Frost A.J., Prechter R. | (1985) | Elliott Wave Principle | New Classic Library |
| Gallacher, William R. | (1994) | Winner Take | All Probus |
| Giddy I., Dufey G | (1975) | The random behavior of flexible exchange rates: implications for forecasting | Journal of International Business Studies |
| Goodhart, C. | (1988) | The Foreign Exchange Market: a Random Walkwith a Dragging Anchor | Economica Nov 1988 |
| Hertz J., Krogh A., Palmer G.R. | (1991) | Introduction to the Theory of Neural Computation | Addison Wesley |
| Kargenian, Bob | (1992) | The 4% Model: Using the Value Line Composite | TASC March 1992 |
| Kase, Cynthia A. | (1992) | Low Risk Trading: | Manual and Workshop Exercises |
| Katz, Jeffrey O. | (1992) |
Developing Neural Network forecasters for Trading | TASC April 1992 |
| Kaufman, Perry J. | (1987) | The New Commodity |
Trading Systems and Methods |
| Kean, John | (1992) | Chaos Theory and Neural Network Analysis | TASC June 1992 |
| Kean, John | (1993) | Treasury Bond Yields: a Neural Net Analysis Approach | TASC April 1993 |
| Kritzman, Mark | (1994) | About Time Diversification | Financial Analyst Journal Jan/Feb 1994 |
| Law A.M., Kelton D.K. | (1982) | Simulation Modeling and Analysis | McGraw-Hill |
| Levich, R. | (1979) | The International Money Market | JAI Press |
| Logan, Hugh L. | (1989) | Tactical Stock Trading | TASC December1989 |
| Logue D., Sweeney R. J. | (1977) | "White noise" in imperfect markets: the case of the franc-dollar exchange rate | Journal of Finance vol. 32 |
| Mandelbrot, Benoit B. | (1987) | Gli oggetti frattali | Einaudi |
| McKallip, Curtis Jr. | (1992) | The Damping Index | TASC July 1992 |
| Mendelsohn, Lou | (1993a) | Neural Network Development for Financial Forecasting | TASC September 1993 |
| Mendelsohn, Lou | (1993b) | Preprocessing Data for neural Networks | TASC October 1993 |
| Miner, Robert | (1993a) | A Spreadsheet for Price Ratio Projection Analysis | TASC June 1993 |
| Miner, Robert | (1993b) | A Spreadsheet for Time ratio Analysis | TASC October 1993 |
| Murfin A., Ormerod P. |
(1984) | The forward rate for the US dollar and the efficient market hypothesis |
Manchester School of Economic and Social Studies, vol. 52 |
| Peters, Edgar E. | (1991) | Chaos and Order in the Capital Markets | Wiley |
| Pring, Martin J. | Technical Analysis Explained |
John Wiley | |
| Ruelle, David | (1991) | Hasard et Chaos | Editions Odile Jacob |
| Rumelhart D.E., McClelland J.L. |
(1986) | Parallel Distributing Processing | The MIT Press Schroeder, |
| Manfred | (1991) | Fractals, Chaos Power Laws | Freeman |
| Schwager, Jack | (1992) | Selecting the Best Futures Price Series for Computer Testing |
TASC October 1992 |
| Schwager, Jack D. | (1990) | Market Wizards Harper | Perennial |
| Schwager, Jack D. | (1993) | The Market Wizard of Interviews: An interview Jack Schwager by Thom Hartle | TASC August 1993 |
| Shannon, Claude E. | (1948) | A Mathematical Theory of ommunication | Bell System Technical Journal October 1948 |
| Sweeney, John | (1992) | Reversing your Losses | TASC April 1992 |
| Sweeney, John | (1993) | Where to put your Stops | TASC Bonus Issue 1993 |
| Taylor, W. | (1984) | Fourier Spectral Analysis | Technical Analysis July/August |
| Vince, Ralph | (1990) | Portfolio Management Formulas | Wiley |
| Wilder, J.Welles | (1990) | Predicting Market Order with the Delta Phenomenon | TASC April 1990 |
* La sigla TASC si riferisce alla rivista "Technical Analysis of Stocks and
Commodities".
I sistemi di trading
Una rassegna delle principali metodologie utilizzate in analisi tecnica e dei loro pro e contro. L'articolo illustra anche una semplice metodologia per lo sviluppo di sistemi di trading automatici. Una versione ridotta di questo ampio (60+ pagine) articolo, è stata pubblicata sulla rivista "Bancaria" nel 1995.
A cura di Francesco Ceci