- Absolute return, 410
- Absolute value,
- Account w/distributions, 92
- Accountability void, 15–16
- Accumulated/summed term,
- Achelis, Steven, 11
- Active management, 410
- Active vs. passive management, 409–412
- Adaptive trend, 289–292, 333, 394–396
- Advance/declines, 291–292, 305–306
- Advances, 446
- Against the Gods (Bernstein), 12, 62
- Alpha, , 26, 67, 372
- Alternatives, 410
- Amateur hour, 371
- Ambiguity aversion, 72
- American Association of Individual Investors survey, 402
- American Stock Exchange (AMEX), 300
- Analog charts, 155
- Analysis vs. reporting, 155
- Anchoring, 72–73
- Anderson, Gary, 63
- Appel, Gerald, 275–276
- Arbesman, Samuel,
- Arithmetic average, 270
- Arithmetic mean (AM), 35
- Arithmetic moving average, 270–271
- Arithmetic/simple moving average,
- Arrow, Kenneth, 50, 62
- The Art of Low Risk Investing (Zahorchak), 142
- Asimov., Isaac, 149
- Asset allocation, 357
- Asset class analysis,
- Asset classes, 18, 21, 124
- Asset commitment tables, 353–354
- Astute Behavior (Nurock.ed.), 446
- Availability, 73
- Average, 50, 88, 244
- deception of the, 51–55
- deviation, 172
- max, 243
- simple,
- Average drawdown
- Average return per year, 287
- Average true range (ATR), , 96
- Average U/D, 173
- Avg Ex 29, 88, 244
- “Awed by Equations” (Bialik), 65
- Azimov, Isaac, 58
- Batra, Ravi, 59
- Bear markets, 43, 86–90, 103, 237
- definition,
- magnitude and duration, 90–92
- response to, 18
- stages of, 402
- and withdrawals, 92–96
- Beck, Melinda, 55
- Behavioral biases
- ambiguity aversion, 72
- anchoring, 72–73
- availability, 73
- calendar effects, 73
- communal reinforcement, 73
- confirmation bias, 74
- disposition effect, 74
- halo effect, 74–75
- herding, 75
- hindsight bias, 75
- loss aversion/risk aversion, 75
- overconfidence, 76
- overreaction, 76
- prospect theory, 76–77
- recency, 77
- representativeness, 77
- selective thinking, 77
- self-attribution, 77
- self-deception, 78
- status quo bias, 78
- underreaction, 78
- Behavioral finance,
- Behavioral investing, 71–72
- Believable misinformation, 3–6, 15
- Bell curve, 28
- Bell curve statistics, 26
- Belsky, G., 77
- Benchmark huggers, 409
- Benchmarking, 372–374
- Bernstein, Peter, 12, 49, 62, 67, 101
- Bernstein, William, 401
- Best period return, 380
- Beta, 336
- Bialik, Carl, 65
- Bias tracks for investors, 78–79
- Big board, 300
- Binary, 278
- Binary indicator, 277–278
- Binary measure, 277
- Black, Fischer, 60
- Black art, 399
- Black Monday and Tuesday (October 27–28, 1929), 35
- Black Monday (October 19, 1987), 28–29, 31, 34–35
- Bloomberg, 12
- Breadth
- Breadth analysis, 445
- Breadth combination measure, 295–296
- Breadth data, 394
- Breadth indicators, 392, 445–446, 453
- Breadth measure
- Breadth-based indicators, 291–297
- Bull markets
- bull markets, 84–86
- calendar vs. market myth, 83
- confirmation measure, 309–311
- definition,
- highly volatile periods, 101
- market volatility, 96–100
- price dispersion, 101–102
- secular bull markets, 106–109
- stock exchange holidays, 83–84
- understanding the past, 84
- Buy and hold, , 409
- Buy rules, 350
- Calendar effects, 73
- Calendar vs. market myth, 83
- Callan Period Table of Returns, 24
- Capital Asset Pricing Model (CAPM), 28, 43
- Capitalization,
- Cartesian coordinate system, 44
- Cash flows, 49
- Caution, 277–278
- Centers for Disease Control (CDC), 55
- Chart identification, 160–162
- Chart School, 154
- Charting, 399
- Chicago Board Options Exchange (CBOE), 98
- Coefficient of determination (R2), 7–8, 44–45, 180
- Cognitive dissonance, 71, 73
- Commodity trendiness, 196
- The Commodities Futures Game (Teweles), 147
- Communal reinforcement, 73
- Compound measures, 279–280
- Compounded annual returns while invested, 287
- Compounding a wonder, 23–24
- The Complete Guide to Market Breadth Indicators (Morris), 396, 445
- Conclusions
- Confirmation bias, 74
- Conflating science and advocacy, 64
- Controversial practices. See Statistics, misuse of
- Conventional certitudes, 64
- Copper drawdown, 262–264
- Coppock, Edwin Sedgwick “Sedge,” 145
- Core Rotation Strategy (CRS), 344
- Coriolis Effect,
- Correlation, , 18, 338
- CPI data, 12
- Cramer, Jim, 59
- “Create a Hybrid Indicator” (Ritter), 320
- Cumulative drawdown, 233–235
- Cumulative drawdown for S&P, 242
- Cumulative return, 380
- Curve fitting, 148
- CXO Advisory Group LLC, 63
- Cycles, types of, 104
- Cyclical events, 156
- Cyclical market performance, 299–300
- Da Vinci, Leonardo, 147–148
- Dahlquist, Julie, 143
- Daily vs. weekly market breadth, 448
- Dalbar, 80
- Dance with Chance (Makridakis), 62
- Dance with the Trend
- with other asset classes, 384
- over a full market cycle, 377–383
- performance and risk comparison, 375–377
- performance comparison, 384
- return analysis, 384
- rules-based, 375
- strategy, 374–375, 377, 380, 384, 390
- Dancing with the Trend Model
- about, 355–356
- benchmarking, 373–374
- discipline, 363
- full cycle analysis, 374
- investing with weight of evidence, 361–363
- mean shifting, 389–390
- model in action, 365–367
- mutual fund performance, 372
- ranking and selection, 363
- results from rule based trend following strategy, 374–386
- risk statistics, 367–372
- sell criteria, 364
- turnover and taxes, 373
- tweaking the model, 364–365
- watching tactical strategy over short term, 373
- weight of evidence, 356–361
- Data, 12–14
- Data with history prior to 1980, 205
- Data with history prior to 1990, 205
- Data with history prior to 2000, 205
- De Kempenaer, Julius, 122, 124
- Decile, 135
- Decline(s), 231, 236, 447
- magnitude and duration, 90–92
- Defensive components, 121
- Defined Contribution, 391
- Deflation, 104
- Demand, 159
- Derman, Emanuel, 60
- Detrend, , 322
- Discipline, 144, 363
- Discount rate, 49
- Discounted cash flow (DCF) model, 49–50
- Disposition effect, 74
- Distribution
- Divergence,
- Divergence indicator, 275
- Diversification, 43
- Dobell, Rolf, 68
- Doctor Copper, 262
- Doherty, Jud, 391, 397
- Dollar cost averaging (DCA), 21–23, 410
- Domestic trendiness, 196
- Dominant index, 303–305
- “Don’t Let the Math Pull the Wool Over Your Eyes” (Bialik), 65
- Dow 36,000 (Glassman and Hassett), 60
- Dow 40,000 (Elias), 60
- Dow 100,000 (Kadlec), 60
- Dow Industrials, 12
- Dow Jones Industrial Average (DJIA), 86, 251–257, 357
- Down, 173, 180
- Down capture, vs. market, 380
- Down market, 369–370
- Down spikes, 454
- Downside risk, 380
- Downtrending market, 273
- Drawdown, 344
- average, 330–331, 377
- average max, 236
- average months in, 236
- decline, 231
- decline of S&P 500, 236–237
- definition, , 43, 88
- duration, 231, 237–238
- effects of, 394
- greater than 20 percent (bear markets), 244–246
- magnitude, 231
- maximum, 240, 377
- message, 238–239
- range, 236
- recovery, 231, 237
- terminology, 231–232
- Drawdown analysis, 330
- cumulative drawdown, 233–235
- DJIA, 251–257
- drawdown intensity evaluator (DIE), 264–266
- drawdown terminology, 231–232
- gold drawdown, 262
- Japanese Nikkei 225 drawdown, 262–264
- mathematics of drawdown and equivalent return, 233
- S&P 500 drawdown analysis, 235–246
- S&P total return analysis, 247–250
- Drawdown intensity evaluator (DIE), 264–266
- Dueling certitudes, 64
- Dystant, Ralph, 273
- Early trend measures, 311
- Earnings season, 66–67
- Easterling, Ed, 65, 101, 103–104, 110
- Economic Inquiry, 60
- Efficiency ratio, 328–330
- Efficient frontier, 47–48
- Efficient Market Hypothesis, 43
- 1885-2012 arithmetic mean, 35
- Einstein, Albert, 23
- Elias, David, 60
- Elliot Wave theory, 150
- Emotional cycle, 79
- Emotional discipline, 401
- Endowment effect, 71, 78
- Equities,
- Equity market sectors,
- Erf (error function), 32
- Evening star, 151–152
- Exchange-traded funds (EFTs), 319, 363
- Expense ratio, 372
- Expert Political Judgment (Tetlock), 64
- Exponential moving average, , 271–273
- Fama, Eugene, 29
- Farrell, Robert, 401–402
- Farrell’s 10 rules for investing, 401–402
- Fat tails, 30–31
- Fear and greed, 402
- Feyman, Richard, 60
- Fibonacci numbers, 150–151
- Fibonacci ratio, 151
- Fictions told to investors
- accountability void, 15–16
- believable misinformation, 15
- compounding a wonder, 23–24
- dollar cost averaging, 21–23
- hiding behind statistics, 16–17
- protection through diversification, 18–21
- relative performance, 24–26
- remaining invested, 17–18
- Filtered water,
- Filtered Waves, 163–164
- Final observations, 406–407
- Financial advice, 400–401
- Financial advisors’ value, 67–68
- Financial theory, flaws in
- 60/40 myth, 47–49
- about, 27–28
- discounted cash flow (DCF) model, 49–50
- high sigma days, 34–35
- improper process, 34
- linear analysis, 44–45
- linear regression and correlation, 45–47
- modern portfolio theory and bell curve, 28–31
- modern portfolio theory assumptions, 28
- risk and uncertainty, 42–43
- rolling returns and Gaussian statistics, 35–42
- standard deviation (sigma) and shortcomings, 31–33
- volatility and risk, 42–43
- Fisher, Ken, 141
- Flash crash of May 6, 2010, 405–406
- The Flaw of Averages (Savage), 55
- Forecasting. illusions of
- about, 57–59
- earnings season, 66–67
- financial advisors’ value, 67–68
- gurus/experts, 63–65
- intellectual void, 65–66
- investment professional’s dilemma, 61–63
- market prediction by economists, 68
- news is noise, 68–69
- reign of error, 59–61
- Fortune (magazine), 58
- The Fortunate Sellers (Sherden), 57
- The Foundation of Statistics (Savage), 55
- French, Kenneth, 29
- Full cycle analysis, 374
- Full moon, 156
- Fundamental cycles, 104
- Future Days (Azimov), 58
- Galaxies, 32
- Galbraith, John Kenneth, 61–62
- Gaussian (bell-curve) statistics, 31, 41, 400
- Gaussian distribution, 29, 32
- Generational market, 103
- Geometric mean, 172
- GICS summary, 223
- Gilovich, Thomas, 77
- Global Industry Classification Standard (GICS), 223
- Goepfert, Jason, 281
- Gold drawdown, 262
- Goldberg, J., 76
- Golden ratio, 150
- Good ones, 455
- Goodness of fit, 44
- Graham, Benjamin, 22–23
- The Great Depression of 1990 (Batra), 59–60
- Growth, 50
- Growth charts, 55–56
- Growth vs. value component, 301
- Guidelines, 352
- Gurus/experts, 63–65
- Halo effect, 74–75
- Harmonic mean, 172
- Hassett, Kevin, 60
- Haurlan, Pete, , 271
- Head and shoulders top pattern, 151
- Herding, 75, 146, 230
- Heuristics, 71
- Hiding behind statistics, 16–17
- High sigma days, 34–35
- 1885-2012 arithmetic mean, 35
- Black Monday and Tuesday (October 27–28, 1929), 35
- Black Monday (October 19, 1987), 35
- High-low validation measure, 454–456
- Highly volatile periods, 101
- Hindsight, 57
- Hindsight bias, 75
- Hirshleifer, David, 75
- Hoaxes, 61
- Humans, 33
- Humor, 13
- Hunt brothers, 61, 262
- Hurst, J. M., 270
- Hussman, John, 65
- ICB (Industry Classification Benchmark), 214
- Improper process, 34
- in sample data, 284
- Independent variable, 180
- Indicators
- Indicators, uses of
- caution, 277
- compound measures, 279–280
- moving average convergence divergence (MACD), 275–276
- moving averages and smoothing, 269–273
- RSI (relative strength index), 274–275
- stochastics, 273–274
- Indices, list of, 166–168
- Indices analysis summary, 189–193
- Infinity, 33
- Inflation, changes in,
- Information, actionable vs. observable, 14, 16
- Initial action items, 352
- Initial trend measures (ITM), 311–314, 353, 357
- Intellectual void, 65–66
- Interest-sensitive securities, 393
- International trendiness, 196
- Investing with weight of evidence, 361–363
- Investment professional’s dilemma, 61–63
- Investor behavior, 402
- Investor emotions, 79
- Investor(s)
- Investors
- Investor’s Guide to Fidelity Funds (Martin), 328
- Issue, 278
- Jabar, Kareem Abdul, 65
- January effect, 73
- The Janus Factor (Anderson), 63
- Japanese candle patterns, 151–153
- Japanese Nikkei 225 drawdown, 262–264
- JdK RS-momentum, 123
- JdK RS-ratio, 123
- Kadlec, Charles W., 60
- Kahneman, Daniel, 73, 75–77
- Kaufman, Perry, 328
- Kerviel, Jerome, 61
- Kinnell, Russell, 80
- Kirkpatrick, Charlie, 143
- Kurtosis, 172
- Lack of discipline, 80
- Lagging, 446
- Lane, George, 273
- Largest trade lost, 287
- Leading indicators, 68
- Lee, Adrian
- Les Miserables (Hugo), 151
- Lesson, Nick, 61
- Leverage, 402
- Linear analysis, 44–45
- Linear regression and correlation, 45–47
- Liquidity, 448
- Little Book of Behavioral Investing (Montier), 72
- Long Term Capital Management (LTCM), 60–61, 355
- Long term measure (LTM), 308–309
- Long-term averages, 50
- Look-back periods, 39–41
- Look-forward periods, 39–40
- Loss aversion, 75, 78
- Loss avoidance, 394
- Loss of capital, 43
- Loss protection (stop loss), 24
- Lost decade, 125–128
- Mad Money (Cramer), 59
- Makridakis, Spyro, 62
- Mandatory measures, 346
- Mandelbrot, Benoit, 28–29, 400
- Manski, Charles, 64
- Market breadth
- Market fiction, 1–2
- Market forecasts, 58
- Market measuring. See Measuring the market
- Market prediction by economists, 68
- Market returns, 130–134
- Market risk, 21
- Market sectors, 118–122
- defensive components, 121
- offensive components, 121
- Market trend analysis
- chart identification, 160–162
- indices analysis summary, 189–193
- supply and demand, 159–160
- trend analysis, 163–172
- trend analysis in secular bear markets, 230
- trend analysis on S&P GICS Data, 193–198
- trend vs. mean reversion, 162–163
- why markets trend, 159
- Market valuations
- definition,
- secular bear composite, 116
- secular bear valuation, 114–116
- secular bull composite, 116–117
- secular bull valuation, 116
- Market volatility, 96–100, 356
- Markets trending, 159
- Markowitz, Harry, 30, 50
- Marks, Howard, 57
- Martin, Peter, 328
- “Masking an Intellectual Void” (Bialik), 65
- Mathematics of drawdown and equivalent return, 233
- Mauthe, Peter, 410
- Maximum, 88, 172, 244
- Maximum drawdown, 287, 380
- McClellan, Sherman, 396, 449
- McClellan, Tom, 358, 396, 449
- McGinley, John, 448
- McGough, Will, 391, 397
- McMillan, Larry, 449
- Mean, 171
- Mean percent return, 31
- Mean reversion, 162, 401
- Mean shifting, 389–390
- Measuring the market
- breadth-based indicators, 291–297
- bull market confirmation measure, 309–311
- cyclical market performance, 299–300
- dominant index, 303–305
- indicator evaluation periods, 283–284
- initial trend measures (ITM), 311–314
- long term measure (LTM), 308–309
- optimism, 283
- price-based indicators, 284–291
- relative strength, 300–303
- slope of moving average, 297
- trend capturing measure, 305–308
- trend gauge, 314–317
- weight of evidence measures, 281–283
- Median, 90, 172, 244
- Mega trend plus, 314–315
- Memo (Wald), 400
- Meriwether, John, 60
- Merrill, Arthur, , 163
- Merton, Robert, 60–61
- Microsoft Excel, 33
- Minimum, 88, 172, 244
- Misinformation
- believable, 3–6
- indicators and terminology, 6–11
- The (Mis)Behavior of Markets (Mandelbrot), 28–29
- Models
- Modern Portfolio Theory (MPT)
- assumptions, 28
- and bell curve, 28–31
- Black Monday (October 19, 1987), 28–29
- inputs to, 54
- nonsystematic risk, 43
- tails wagging the dog, 29–31
- Momentum, 347, 410
- Montier, James, 65, 72–74, 76, 78, 81, 402–403, 406
- Montier’s advice and seven laws of investing, 402–403
- Morningstar, 24
- Morris’ rules, 403
- Moving average convergence divergence (MACD), 275–277
- Moving averages, 83
- Moving averages and smoothing
- MSCI, 214
- Multicollinearity, 154–156
- Mutual fund performance, 372
- Nasdaq, 393
- Nasdaq Composite, 301
- National Inquirer, 58
- Neil, Trevor, 122, 124
- Net asset value (NAV), 240
- New highs, 294–295, 447, 454–456
- New lows, 294–295, 447, 454–456
- New York Stock Exchange (NYSE), 300, 393
- News is noise, 68–69
- News story, 372
- No buy days, 350
- Noise, 11–12
- Nonsystematic risk, 43
- Normal distribution, 29
- North, Norm, 281
- “The Numbers Guy” (Bialik), 65
- Nurock, Robert, 446
- Ockham, William of, 355
- Offensive components, 121
- Optimism, 283
- Option Pricing Theory, 43
- Oscillators,
- Out of sample, 284
- Overbought/oversold,
- Overbought/oversold indicator, 273, 277
- Overconfidence, 76
- Overlay,
- Overreaction, 76
- Oversold, 162
- Pacioli, Luca, 148
- Pair analysis, 342–346
- Parameter, 287
- Paretian curve, 31
- Paretian distributions, 30
- Pascal, Blaise, 13
- Passive management, 409–410
- Peak,
- Percent Participation Index, 296
- Percentage, 9–10, 135
- Percentage of time invested, 287
- The Physics of Wall Street (Weatherall), 29
- Pinnacle Data, 12
- Plateaus, 283
- “Policy Analysis with Incredible Certitude” (Manski), 64
- Polls and surveys, 155–156
- Popper, Karl, 62
- Power laws, 400
- Power score, 327–328
- Prechter, Robert, 400
- Predictor variable, 180
- Price
- Price behavior, 163
- Price component, 306
- Price dispersion, 101–102
- Price earnings (PE) data, 12
- Price earnings (PE) ratio, , 103
- Price momentum, 324
- Price performance, 324–325
- Price-based indicators
- Pring, Martin, 106–107, 143
- Probability, 15
- Probable Outcomes (Easterling), 103
- The Professional Tape Reader (Weinstein), 281
- The Profit Magic of Stock Transaction Timing (Hurst), 270
- Prospect theory, 76–77
- Protection through diversification, 18–21
- Pseudoscientists, 62
- Pullback rally analysis, 339–342
- R2. See Coefficient of determination (R2)
- Rally phase, 342
- Random walk, 43
- Random walk doctrine, 30–31
- Randomness, 31
- Range-based indicator, 273
- Rank, 173, 180
- Ranking and selection, 346–347, 363
- Ranking measures
- about, 319–320
- adoptive trend, 333
- average drawdown, 330–331
- beta, 336
- correlation, 338
- efficiency ratio, 328–330
- momentum and, 347
- power score, 327–328
- price momentum, 324
- price performance, 324–325
- relationship to moving average, 336–338
- relationship to stop, 326
- relative average drawdown, 331–332
- relative performance, 326–327
- slow trend, 334
- Sortino ratio, 334–336
- trend, 320
- trend diffusion, 322–325
- trend rate of change (ROC), 321–322
- Ulcer Index, 334
- weighted parameters, 333–334
- worksheet, 347
- Rate of change, 10, 123
- Ratio, 10
- Real, 10, 105
- Real time vs. history, 71
- Rebalancing, 373
- Recency, 77
- Recent African Ancestry theory, 33
- Recovery
- average gain to, 237
- data, 243
- of drawdown, 231
- Regression, 10, 44
- Reign of error, 59–61
- Relationship to stop, 326
- Relative performance, 24–26, 326–327, 363, 373
- Relative strength
- breadth vs. price component, 301–302
- growth vs. value component, 301
- relative strength compound measure, 302–303
- small cap vs. large cap component, 300–301
- Relative strength index (RSI), 277
- Remaining invested, 17–18
- Representativeness, 77
- Resistance line, 153
- Response variable, 180
- Retirement account, 92
- Retracements, 151
- Return, 380
- Return analysis,
- Return distribution,
- Reversal and continuation patterns, 151–152
- Reversion to the mean, 401
- Richards, Tim, 72–74
- Risk
- as defined by volatility, 42
- nonsystematic, 43
- vs. probability, 17
- systematic, 43
- and uncertainty, 42–43
- vs. volatility, 43
- Risk adjusted return measures, 363
- Risk price trend, 289
- Risk statistics
- Risk tolerance, 28
- Ritholz, Barry, 58–59
- Ritter, Jim, 320
- Rogue traders, 61
- Rolling returns and Gaussian statistics, 35–42
- RSI (relative strength index), 274–275
- R-Squared vs. market, 380
- Rukeyser, Louis, 446
- Rule based trend following strategy, results from, 374–375
- Rules and guidance
- Farrell’s 10 rules for investing, 401–402
- Montier’s advice and seven laws of investing, 402–403
- Morris’ rules, 403
- Rules and guidelines
- Rules based trend following, 13
- Rules of thumb, 71, 77
- Rules-based trend analysis, 391
- Rules-based-trend-following model in October 1987, 404–405
- Russell, Richard, 449
- Russell 2000 Index, 300, 393
- Rynecki, Dave, 58
- S&P
- sectors, industry groups and industries, 214
- total return analysis, 247–250
- S&P 500 drawdown analysis
- about, 235–236
- alternative method, 239–240
- average drawdown S&P, 240
- cumulative drawdown for S&P, 242
- distribution of drawdowns S&P 500, 240–242
- drawdown decline of S&P 500, 236–237
- drawdown duration, 237–238
- drawdown message, 238–239
- drawdown recovery, 237
- drawdowns greater than 20 percent are bear markets, 244–246
- S&P 500 index excluding 1929 bear market, 242–244
- S&P 500 Index, 12, 100, 301, 393
- excluding 1929 bear market, 242–244
- GICS sectors, 159
- Samuelson, W., 78
- Savage, Leonard J., 55
- Savage, Sam, 55
- Scatter diagrams, 44
- Scatter plot, 176
- Scholes, Myron, 60–61
- Seasonal effects, 73
- Seasonality, 156
- Secrets for Profiting in Bull and Bear Markets (Weinstein), 281
- Sector
- Secular bear markets
- Secular bear valuation, 114–116
- Secular bull data, 108
- Secular bull markets, 106–109
- Secular bull valuation, 116
- Secular markets
- cycles, 104
- definition,
- and efficiency ratio, 403–404
- Security, 278
- Selection approach
- Selective thinking, 74, 77
- Self-attribution, 77
- Self-deception, 78
- Sell criteria, 364
- Semi-log, 10
- Sentiment Trader, 281
- Sewell, Martin, , 74
- Sharpe, William, 367
- Sharpe ratio, 336, 344, 367–368, 380
- Shefrin, Hersh, 72, 74, 76–77
- Sherden, William, 57–58
- Shiller, Robert, 75, 109, 113
- Short, Doug, 114
- Sigma. See Standard deviation (sigma)
- The Signal and the Noise (Silver), 149
- Signal line, 276
- Silver, Nate, 149
- 60/40 myth, 47–49
- 60/40 portfolio, 49
- Skewness, 172
- Slow trend, 334
- Small cap vs. large cap component, 300–301
- Smoothing, 10
- Smoothing techniques, 269
- Sortino, Frank, 368
- Sortino ratio, 334–336, 368
- “Soup on the shelf” rule, 350
- Specular bear market composite, 110–111
- Speculation Index, 300
- Spike, 283
- Stadion, 391, 393
- Standard & Poor’s, 214
- Standard & Poor’s Sector Investing (Stovall), 118
- Standard deviation (sigma), 34, 40–41, 135, 172, 265, 380
- Statistical elements, 44
- Statistics, 244
- Statistics, misuse of
- deception of the average, 51–55
- growth charts, 55–56
- “The Red Coats” case, 55
- Statman, Meir, 74, 402
- Status quo bias, 78
- Std. Dev. See Standard deviation (sigma), 244
- Stochastics, 273–274
- Stock exchange holidays, 83–84
- Stock market indices, 447
- Stocks & Company, 320
- Stops
- Stovall, Sam, 118, 121, 232, 402
- Strategic asset allocation, 409
- Style boxes, 24
- Supply, 159
- Supply and demand, 159–160
- Support and resistance, 11, 153–154
- Support line, 153
- Sweeney, John, 148
- Swenlin, Carl, 449
- Symmetric distribution, 31
- Systematic risk, 43
- Tactical asset management, 410
- Tactical unrestrained management, 373
- Tails wagging the dog, 29–31
- Taleb, Nassim, 60, 75
- Technical analysis
- Technical Analysis from A to Z (Achelis), 11
- Technical Analysis (Kirkpatrick and Dahlquist), 143
- Technical cycles, 104
- Technical indicators, 147–148
- “10 Stocks to Last the Decade” (Rynecki), 58
- Tetlock, Philip, 64
- Teweles, Richard, 147
- Thaler, Richard, , 74, 78
- the curb, 300
- The Guardian, 68
- “The Red Coats” case, 55
- 30-minute window, 372
- Thomson Reuters, 12
- Thurow, Lester, 60
- Tie-breaker measures, 346
- Time series that does not trade, 153
- Total issues, 447
- Total volume, 447
- Tracking error, 26, 67, 372
- Trade up rules, 351–352
- Trades per year, 287
- Trading Lesson 16 (Jabar), 65
- Trading rules, 371–372
- Trailing stops, 326
- Trend, 320
- Trend analysis
- about, 163–173
- all trendiness analysis, 184
- in secular bear markets, 230
- trend table selective analysis, 184–189
- trendiness one rank and trendless rank comparison, 180–184
- trendlines determination method one, 172–173
- trendlines determination method two, 173–176
- trendlines methods compared, 176–180
- Trend analysis on S&P GICS Data, 193–198
- Trend capturing compound measure, 306–308
- Trend capturing measure, 305–308
- advance decline component, 305
- price component, 306
- trend capturing compound measure, 306–308
- up volume/down volume component, 306
- Trend continuation, 162
- Trend diffusion, 322–325
- Trend following, 162
- breadth measure model, 393
- with momentum, 392
- Trend gauge, 314–317
- Trend price performance, 363
- Trend rate of change (ROC), 321–322
- Trend stop, 371
- Trend strength, 315–317
- Trend table selective analysis, 184–189
- Trend vs. mean reversion, 162–163
- Trend-following interview, 386–397
- Trendiness
- Trendless analysis, 180
- Trendlines, 11
- Treynor ratio, 336
- Trimmed mean (20 percent), 172
- Trough, 11. See also Peak
- Turnover and taxes, 373
- Tvesky, Amos, 73, 75–77
- Twain, Mark,
- Tweaking the model, 364–365
- 20/20 hindsight, 163
- U/D ratio, 171
- Ulcer index, 287, 334, 344, 377, 394
- Unconstrained tactical models, 373
- Underreaction, 78
- Understanding the past, 84
- Unexpected Returns (Easterling), 103
- Unweighted index (ZUPI), 342
- Up, 173, 180
- Up and down capture, 368
- Up capture, vs. market, 380
- Up market, 369
- Up rank, 173
- Up spikes, 454
- Up volume/down volume, 292–294, 447
- Up volume/down volume component, 306
- Upside volatility, 41
- Uptrendiness Wtd/Avg., 173
- Uptrending market, 273
- Valuations (earnings), 105
- Valuations. returns and distributions
- Value indexing, 347
- Volatility, , 11, 41, 265, 402
- Volatility Index (VIX), 98, 100
- Von Nitsch, R., 76
- Wald, Abraham, 400
- Wall Street Journal, 22, 55, 65
- Wall Street Week, 146, 446
- Washington, George,
- Watch Investors Intelligence, 402
- Watching tactical strategy over short term, 373
- Weatherall, James, 29
- Weekend effect, 73
- Weems, Mason Locke,
- Weight of the evidence (WoEv), 173, 281–283, 353–354, 356–361
- Weighted parameters, 333–334
- Weinstein, Stan, 281
- Whipsaws, 273, 386
- Wilder, Welles, 274
- Wilkinson Microwave Anistropy, 33
- Williams, Larry, 64–65
- Winning on Wall Street (Zweig), 344
- Winning years, 287
- Wishful extrapolation, 64
- Withdrawals, 92–96
- Wolfram Alpha, 32–33
- Wong, Ted, 29, 314
- World market climate, 299
- World of finance, 11, 27, 373
- Worst period return, 380
- Zahorchak, Michael, 142
- Zeckhauser, R., 78
- Zweig, Jason, 22, 49
- Zweig, Martin, 342, 344
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