Article Archive For
MAR1996
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A Price- and Volume-Based System by Alex Saitta
ARTICLE SYNOPSIS ...TRADING TECHNIQUES
A Price- And
Volume-Based System
Traders often use moving averages of just price to signal trends. Here's a moving
average system that uses price and volume for trading signals.
by Alex Saitta
N ot a month goes by that a trading magazine or technical analysis journal doesn't publish an article introducing a
new and more sophisticated technical idea or tool. As a result, there's a widespread assumption that old ideas and
simple tools are no longer applicable to today's markets - an erroneous assumption. The drive for ever-more
sophisticated concepts and indicators notwit...
AUTHOR: Alex SaittaDATE: MAR1996
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Covered Call Writing by Steven Schinke, Ph.D.
ARTICLE SYNOPSIS ...DERIVATIVES
Covered Call Writing
Here's a primer on writing options to boost return on investment.
by Steven P. Schinke, Ph.D.
Options derivatives for stocks and commodities come in two types: One is bought and sold in transactions
between two parties directly, while the other is traded on exchanges. The first, over-the-counter (OTC) options, are
often complex in their mechanisms and pricing, and so are negotiated between institutions with counterparty backing. Because of their singular properties, OTC options are usually not transferred. In contrast, exchange-traded options
are priced in...
AUTHOR: Steven Schinke, Ph.D.DATE: MAR1996
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Letters to S&C
ARTICLE SYNOPSIS ...Letters To S&C
TECHNICAL ANALYSIS IN AUSTRALIA
Editor,
I received my November 1996 issue of STOCKS & COMMODITIES magazine and noted the addresses of the
various professional organizations in the Letters to S&C column. Missing from the list was the Australian Technical
Analysts Association, GPO Box 2774, Sydney, NSW 2001, Australia. President: Merril Armstrong
(+61-2-2310011); public relations: Tony Reeves (+61-2-299-7858). The fax number is +61-2-6347772. We have
branches in each state, a fantastic monthly newsletter, monthly meetings and annual conferences. We extend an
invitation to any m...
AUTHOR: Technical Analysis, Inc.DATE: MAR1996
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Measuring System Performance by Lars N. Kestner
ARTICLE SYNOPSIS ...TRADING TECHNIQUES
Measuring System Performance
Want to improve the evaluation of your trading systems? Here's a new
performance measure that uses some statistics to measure profitability through
time.
by Lars N. Kestner
Starting with an idea and developing a trading system is a relatively simple and straightforward process. Because
it is a simple process, it is possible to create numerous systems in a short time. Since trading is a profit-oriented process, our interest lies in the performance of the best systems created, not the number of systems created. How,
then, can performance be de...
AUTHOR: Lars N. KestnerDATE: MAR1996
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New Highs and New Lows by Tim Hayes
ARTICLE SYNOPSIS ...INDICATORS
New Highs And New Lows
The number of new highs and new lows is a classic stock market indicator, and
here are ways that this market statistic can be modified to build a number of
market indicators. By Tim Hayes, CMT
Market breadth and the health of the broad market as a whole can be measured in many ways. You can use
advance/decline lines and other indicators based on the number of advancing and declining stocks. You can use
indicators based on advancing and declining volume. And you can use the number of stocks reaching new highs and
new lows. All are very useful, but let's foc...
AUTHOR: Tim HayesDATE: MAR1996
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SIDEBAR: Indicators and Formulas
ARTICLE SYNOPSIS ...INDICATORS AND FORMULAS
Bollinger bands are channel lines plotted two standard deviations above and below a 20-day simple moving average.
A 20-day lookback period is also used for the standard deviation measurement. The formula for standard deviations
is as follows:
...
Standard deviation measures the difference between each day in the lookback period and the moving average,
squares the differences so that they are all positive values, sums the differences and divides by N . The square root
is then calculated of this ratio....
AUTHOR: Technical Analysis, Inc.DATE: MAR1996
AUTHOR: Technical Analysis, Inc.DATE: MAR1996
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SIDEBAR: The K-ratio TradeStation Code
ARTICLE SYNOPSIS ...THE K-RATIO TRADESTATION CODE
The K-ratio system includes no buy or sell signals. When run simultaneously with other trade-generating systems, it prints
the K-ratio of the trade-generating system to the print log window.
System Name : K-ratio
VAR: Observation(0), Count(0), SumXY(0), SumX(0), SumY(0), SumXSqr(0);
VAR : Beta0(0), Beta1(0), SumResidSqr(0), SigmaRegress(0), StandardErrB1(0);
VAR: StandardErrB1Denom(0), YProjected(0), KRatio(0);
ARRAY: Equity[5000](0);
Observation = Observation+1;
Equity[Observation] = NetProfit + OpenPositionProfit; ......
AUTHOR: Technical Analysis, Inc.DATE: MAR1996
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The Knight-Ridder CRB Index by Raymond T. Murphy
ARTICLE SYNOPSIS ...STATISTICS
The Knight-Ridder Crb Index
The Knight-Ridder-Commodity Research Bureau Index - the CRB to you and me
- has been updated to reflect today's commodity markets. Here's an explanation
of the changes to this industry barometer.
by Raymond T. Murphy
The Knight-Ridder-Commodity Research Bureau (CRB) Index has been the premier barometer of commodity
prices since 1956, tracking tradables such as wheat and corn, crude and heating oil. Over the years, the index has
evolved into a comprehensive commodity benchmark covering a wide range of actively traded commodity futures
contracts. As fu...
AUTHOR: Raymond T. MurphyDATE: MAR1996
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Top Down Investing with S&P's Sam Stovall by Thom Hartle
ARTICLE SYNOPSIS ...INTERVIEW
Top Down Investing
with S&P's Sam Stovall
Some wander onto Wall Street by mistake, while others seem destined to find
their way there. Sam Stovall is a member of Standard & Poor's Investment
Policy Committee, editor of S&P's Industry Reports and author of Standard &
Poor's Guide to Sector Investing. Stovall spoke with STOCKS &
COMMODITIES Editor Thom Hartle on December 20, 1995, via telephone
interview about market cycles, sector investing and relative strength, among
other topics.
I had all this data on industry indices, and anybody can find out when economic constractions and ex...
AUTHOR: Thom HartleDATE: MAR1996
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Traders' Tips
ARTICLE SYNOPSIS ...TRADERS' TIPS
TRADESTATION
Alex Saitta's simple method of confirming a price cross of the moving average with an increase in volume (""A price-and
volume-based system,"" elsewhere in this issue) is equally simple to test with both SuperCharts and
TradeStation. The code below should be written in the quickeditor. Type the corresponding line of code into the
condition box of the editor and select the enter or exit on close order; be sure to define the two inputs. The first input
of length will have a default of 20 to represent the length of the moving average, while the second input is length2...
AUTHOR: Technical Analysis, Inc.DATE: MAR1996
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Trendlines as a Technical Tool by Joe Luisi
ARTICLE SYNOPSIS ...NOVICE TRADER
Trendlines As A Technical
Tool
Applying trendlines to charts is a classic form of analysis. Here are some of the
basics of using this tool.
by Joe Luisi
Trendlines, which are one of the most basic techniques in chart analysis, are lines drawn to portray market
direction and even project where the market is going. A trendline? connects either a series of highs or a series of
lows in a trend. It can represent either support?, as in an uptrend line, or resistance?, as in a downtrend line.
(Consolidations are marked by horizontal trendlines.) Trendlines can provide visually orie...
AUTHOR: Joe LuisiDATE: MAR1996
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V.14:3 Developing a Trading System by Greg Morris
ARTICLE SYNOPSIS ...NOVICE TRADER
Developing A Trading System
On the road to using technical analysis for trading, developing a trading system is
a logical step to take along the way. Here are some guidelines to develop a basic
system.
by Greg Morris
Beginners in the art of technical analysis using indicators should not recoil at the mention of a trading system,
because a trading system is built upon one or more indicators used in a systematic fashion. The advantage is the user
can take the indicators beyond a seat-of-the-pants approach, develop some rules and test applications. Here, we will
deal with the d...
AUTHOR: Gregory L. MorrisDATE: MAR1996
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Zen and Emotional Control by Richard D. McCall
ARTICLE SYNOPSIS ...TRADING PSYCHOLOGY
Zen And Emotional Control
This occupational psychologist explains that trading combines market knowledge
and emotional discipline and that through meditation techniques, a trader can
develop better emotional control.
by Richard D. McCall
Traders in the futures and commodities markets can probably empathize with Mike Hoban, an aspiring basketball
player from Strongsville, OH. In early 1995, fate dealt Mike an opportunity when his name was drawn from among
millions of other contestants in the Footlocker ""Million-Dollar Shot"" sweepstakes. Winning the drawing entitled the...
AUTHOR: Richard D. McCallDATE: MAR1996