Trading Tactics in the Financial Market: Mathematical Methods to Improve Performance

Preface
Contents
1: Trading Tactics in Technical Analysis
	1.1 Why Artificial Data?
	1.2 Evidence-Based
	1.3 Science-Based
	1.4 Mathematics-Based
2: Market Turning Points
	2.1 Price Data
	2.2 Velocity
	2.3 Velocity Indicators
		2.3.1 Profit Zone and Loss Zone
	2.4 Sampling
		2.4.1 Sampling Can Affect the Profitability of a Trade
			2.4.1.1 Theoretical Calculation of Profit
		2.4.2 Loss in the Profit Zone
		2.4.3 Sure Profit Zone and Unsure Profit Zone
		2.4.4 Skipped Convolution
		2.4.5 Profit in the Loss Zone
		2.4.6 Multiple frequencies
	2.5 Acceleration
	2.6 Acceleration Indicators
3: Simple Moving Average
	3.1 Simple Moving Average (SMA)
		3.1.1 Simple Moving Average, N = 10
			3.1.1.1 Wrapped and Unwrapped Phase
			3.1.1.2 How Does the Wrapped and Unwrapped Phase Affect the Smoothed Output of a Signal?
		3.1.2 Simple Moving Average, N = 20
		3.1.3 Simple Moving Average, N = 100
	3.2 Trading Tactics Using Simple Moving Average
		3.2.1 Price - Simple Moving Average of Price, N = 10
			3.2.1.1 Computational and Theoretical Profit and Loss
			3.2.1.2 Sure Profit Zone and Unsure Profit Zone
		3.2.2 Price - Simple Moving Average of Price, N = 20
		3.2.3 Price - Simple Moving Average of Price, N = 100
		3.2.4 Comparison of Price - Simple Moving Average of Price, N = 10, 20 and 100
4: Exponential Moving Average
	4.1 Exponential Moving Average (EMA)
	4.2 Trading Tactics Using Exponential Moving Average
		4.2.1 Price - Exponential Moving Average of Price, M = 3
		4.2.2 Price - Exponential Moving Average of Price, M = 6
		4.2.3 EMA of Price, M = 3 - EMA of Price, M = 6
		4.2.4 EMAACCEL
5: Awesome Oscillator and Accelerator Oscillator
	5.1 Awesome Oscillator (AO)
	5.2 Accelerator Oscillator (AC)
6: Moving Average Convergence-Divergence and Its Histogram
	6.1 Moving Average Convergence-Divergence (MACD)
	6.2 Moving Average Convergence-Divergence Histogram (MACDH)
	6.3 MACDH1, MACDH with Price Replacing the Fast EMA
7: Trading Tactics in the Real Market
	7.1 S & P 500 Index
		7.1.1 MACDH
		7.1.2 MACD
		7.1.3 Price - EMA3
		7.1.4 Fast Fourier Transform and Inverse Fast Fourier Transform of S&P500 Index
	7.2 Hang Seng Index
		7.2.1 Price - SMA10
		7.2.2 Awesome Oscillator
		7.2.3 Accelerator Oscillator
		7.2.4 Fast Fourier Transform of the Hang Seng index
	7.3 FTSE 100 Index
		7.3.1 Price - EMA6
		7.3.2 MACDH
		7.3.3 Fast Fourier Transform of the FTSE 100 index
	7.4 CAC 40 Index
		7.4.1 MACDH
		7.4.2 MACDH1
		7.4.3 Fast Fourier Transform of CAC 40 index
	7.5 Comparison of Different Trading Tactics
8: Analysis of the Trading Tactics
	8.1 Profit Zone and Loss Zone
	8.2 Price - EMA of Price Compared to Price - SMA of Price
	8.3 Awesome Oscillator (AO) and Moving Average Convergence Divergence (MACD)
	8.4 Accelerator Oscillator (AC)
	8.5 MACDH
	8.6 Recommendations
9: Epilogue
Appendix A: Sure and Unsure Profit and Loss Zones
	A.1 Profit Zone
		A.1.1 Unsure Profit Zone
			Examples
			Plots
		A.1.2 Sure Profit Zone
	A.2 Loss Zone
		A.2.1 Unsure Loss Zone
			Example
			Plots
		A.2.2 Sure Loss Zone
Appendix B: Simple Moving Average
	B.1 Simple Moving Average (SMA)
	B.2 SMA(M) - SMA(N), Fast SMA - Slow SMA
	B.3 Price - SMA
Appendix C: Exponential Moving Average, Moving Average Convergence-Divergence
	C.1 Exponential Moving Average, EMA
	C.2 Moving Average Convergence-Divergence, MACD
	C.3 Price - EMA
	C.4 Comparison of SMA with EMA
Appendix D: MATLAB Programs
	D.1 accelosc
	D.2 acceloscsig
	D.3 awesig
	D.4 awesome
	D.5 buysellprice
	D.6 ema
	D.7 emaaccel
	D.8 emaaccelsig
	D.9 emamema
	D.10 emaseveral
	D.11 emasig
	D.12 fftcac40
	D.13 fftftse
	D.14 ffthangseng
	D.15 fftsinewave
	D.16 fftsp500
	D.17 hema
	D.18 macd
	D.19 macdh
	D.20 macdh1
	D.21 macdh1sig
	D.22 macdhsig
	D.23 macdsig
	D.24 pmema
	D.25 pmemasig
	D.26 pmsma
	D.27 pmsmapmema
	D.28 pmsmasig
	D.29 sinecos
	D.30 sma
	D.31 smasig
	D.32 smasig2
	D.33 tradeartif
	D.34 tradecac40
	D.35 tradefηtse
	D.36 tradehangseng
	D.37 tradesp500
	D.38 unsure
Bibliography
Index