http://as.wiley.com/WileyCDA/WileyTitle/productCd-047126847X.html Get the bestselling guide to trading systems, now updated for the 21st century. For more than two decades, futures traders have turned to the classic Trading Systems and Methods for complete information about the latest, most successful indicators, programs, algorithms, and systems. Perry Kaufman, a leading futures expert highly respected for his years of experience in research and trading, has thoroughly updated this bestselling guide, adding more systems, more methods, and extensive risk analysis to keep this the most comprehensive and instructional book on trading systems today. His detailed, hands-on manual offers a complete analysis, using a systematic approach with in-depth explanations of each technique. This edition also includes a CD-ROM that contains the TradeStation EasyLanguage program, Excel spreadsheets, and Fortran programs that appear in the book.
第3版下载链接（可用FlashGet下载）： ed2k://|file|Trading%20Systems%20and%20Methods.pdf|35239680|117657435AC5DC5E8A238D95CCAB03AF|/
Introduction ------------ This CD contains TradeStation EasyLanguage programs, Excel spreadsheets, and Fortran programs that appear in New Trading Systems and Methods, Fourth Edition. It also contains programs based on formulas and rules discussed in the book. There are a few additional programs based on concepts discussed but not shown in the book. Most functions that are readily available in TradeStation are not included here unless a special feature was added. In most cases, there is a brief description of the program and comments that will help to interpret the code. There is also in-line documentation to explain the program steps for larger pieces of code. ======================================================================== CD-ROM Contents --------------- The CD contains one folder for each chapter and appendix in the book and contains all programs and spreadsheets discussed in that chapter. In each folder is a TradeStation ELS file containing all the TradeStation programs in that folder. This can be used to import the programs directly into TradeStation. Each file contains a key indicating the type of program: (F) TradeStation function (I) TradeStation indicator (S) TradeStation "signal" or system (O) Fortran program (E) Excel spreadsheet or text file with Excel instructions *.ELS, TradeStation import file ======================================================================== Minimum System Requirements --------------------------- Each program is presented as a text file whenever possible. These can be read with any text reader. TradeStation ELS files are intended to be imported into TradeStation 2000. With minor changes they can be used with TradeStation 7. ELS files cannot be imported into a version of TradeStation prior to TradeStation 2000. Excel files require Microsoft Excel to be read or an import program must be used to convert an XLS file to another spreadsheet program. Some Excel files are shown as text files. These contain the code that appears in the book and must be pasted into the spreadsheet following the instructions. ======================================================================== How to Install the Software onto Your Computer ---------------------------------------------- No installation is necessary. Files can be read directly by a text reader, Excel, or imported into TradeStation 2000. ======================================================================== Applications ------------ The following applications are on the CD: Excel Viewer Excel Viewer is a freeware viewer that allows you to view, but not edit, most Microsoft Excel spreadsheets. Certain features of Microsoft Excel documents may not work as expected from within Excel Viewer. ======================================================================== Disclaimer ---------- Shareware programs are fully functional, trial versions of copyrighted programs. If you like particular programs, register with their authors for a nominal fee and receive licenses, enhanced versions, and technical support. Freeware programs are copyrighted games, applications, and utilities that are free for personal use. Unlike shareware, these programs do not require a fee or provide technical support. GNU software is governed by its own license, which is included inside the folder of the GNU product. See the GNU license for more details. Trial, demo, or evaluation versions are usually limited either by time or functionality (such as being unable to save projects). Some trial versions are very sensitive to system date changes. If you alter your computer抯 date, the programs will "time out" and no longer be functional. ======================================================================== Customer Care ------------- If you have trouble with the CD-ROM, please call the Wiley Product Technical Support phone number at (800) 762-2974. Outside the United States, call (317) 572-3994. You can also contact Wiley Product Technical Support at http://www.wiley.com/techsupport. John Wiley & Sons will provide technical support only for installation and other general quality control items. The author offers no warranty, obligation, or liability for the contents of this disk. These programs are to be used as examples only and not to be taken as profitable trading systems. The author is not responsible for trading losses incurred by the reader using this work. The author does not represent that these programs are error-free. This code is for instructional purposes only. Each reader must verify the correctness of the programs and their applicability. These programs are not warranteed to be error-free; however, the author would be pleased to try to correct any errors that might be found. Please send an email to perry@perrykaufman.com with a full explanation of the problem. To place additional orders or to request information about other Wiley products, please call (877) 762-2974.
请传到这里： http://www.hylt.net/vb/showthread.php?t=11413 我过几天也会拿到原书和光盘，到时把整张光盘传上去。 看来又要装一次TradeStation 2000。
http://rapidshare.com/files/82873996/__37329___27611___29454___29356_.rar.html 我没有原版光盘，这个可能不完整， 先看看吧 不着急的 就等黄兄的光盘吧
Contents PREFACE: CLOSING THE GAP BETWEEN EXPECTATIONS AND REALITY xiii 1 INTRODUCTION 1 Technical versus Fundamental 1 Professional and Amateur 2 Random Walk 3 Background Material 4 Research Skills 5 Objectives of This Book 6 Profile of a Trading System 6 A Word on Notation Used in This Book 8 2 BASIC CONCEPTS 9 About Data and Averaging 9 On the Average 11 Distribution 13 Dispersion and Skewness 16 Standardizing Returns and Risk 20 The Index 22 Probability 23 Supply and Demand 29 3 REGRESSION ANALYSIS 30¬ Characteristics of the Price Data 30¬ Linear Regression 38 Method of Least Squares 39 Linear Correlation 42 Nonlinear Approximations for Two Variables 45 Second Order Least Squares 46 Evaluation of 2 Variable Techniques 48 Multivariate Approximations 51 ARIMA 55 Linear Regression Model 60 4 TREND CALCULATIONS 62 Forecasting and Following 62 Least Squares Model 63 The Moving Average 65 Geometric Moving Averages 68 Drop Off Effect 71 viii Exponential Smoothing 75 Relating Exponential Smoothing and Standard Moving Averages 81 5 TREND SYSTEMS 89 Basic Buy and Sell Signals 89 Bands and Channels 90 Applications of Single Trends 95 Comparison of Major Trend Systems 100 Techniques Using Two Trendlines 116 Comprehensive Studies 120 Selecting the Right Moving Average 120 Moving Average Sequences: Signal Progression 122 Living with a Trend Following Philosophy 123 6 MOMENTUM AND OSCILLATORS 126 Momentum 126 Oscillators 133 Double Smoothed Momentum 144 Adding Volume to Momentum 14¬ Velocity and Acceleration 149 Other Rate of Change Indicators 152 Momentum Divergence 154 Momentum Smoothing 15¬ Some Final Comments on Momentum 158 7 SEASONALITY 160 A Consistent Factor 160 The Seasonal Pattern 161 Popular Methods for Calculating Seasonality 161 Weather Sensitivity 1 4 Seasonal Filters 1 6 Common Sense and Seasonality 188 8 CYCLE ANALYSIS 189 Cycle Basics 189 Uncovering the Cycle 193 Maximum Entropy 208 Cycle Channel Index 209 Phasing 210 9 CHARTING 213 Finding Consistent Patterns 214 Interpreting the Bar Chart 215 Chart Formations 217 Basic Trading Rules 218 Tops and Bottoms 221 Gaps 225 Key Reversal Days 226 Episodic Patterns 227 Price Objectives for Bar Charting 228 ix Candlestick Charts 232 Using the Bar Chart 234 10 VOLUME, OPEN INTEREST, AND BREADTH 237 Contract Volume versus Total Volume 237 Variations from the Normal Patterns 238 Standard Interpretation 239 Volume Indicators 240 Interpreting Volume Systematically 249 An Integrated Probability Model 250 Intraday Volume Patterns 251 Filtering Low Volume 253 Market Facilitation Index 254 Sources of Information 255 11 POINT AND FIGURE CHARTING 256 Plotting Prices Using the Point and Figure Method 257 Chart Formations 259 Point and Figure Box Size 261 The Problem of Risk 263 Trading Techniques 264 Price Objectives 268 A Study in Point and Figure Optimization 272 12 CHARTING SYSTEMS 281 Swing Trading 281 William Dunnigan and the Thrust Method 290 Nofri's Congestion Pbase System 292 Outside Days with an Outside Close 293 Action and Reaction 294 Channel Breakout 298 Moving Channels 300 Combining Techniques 300 Complex Patterns 302 13 SPREADS AND ARBITRAGE 305 Spread and Arbitrage Relationships 307 Arbitrage 307 Changing Spread Retationships 316 Carrying Charges 320 Technical Analysis of Spreads 322 Volatility and Spread Ratios 329 Leverage in Spreads 332 14 BEHAVIORAL TECHNIQUES 334 Measuring the News 334 Event Trading 338 Commitment of Traders Report 344 Opinion and Contrary Opinion 346 Fibonacci and Human Bebavior 350 Elliott's Wave Principle 353 X Constructions Using the Fibonacci Ratio 361 Fischer's Golden Section Compass System 363 W.D. Gann Time and Space 366 Financial Astrology 371 15 PATTERN RECOGNITION 382 Projecting Daily Highs and Lows 383 Time of Day 384 Opening Gaps and Intraday Patterns 394 Three Studies in Market Movement Weekday, Weekend, and Reversal Patterns 400 Computer Based Pattern Recognition 416 Artificial Intelligence Methods 417 16 DAY TRADING 419 Impact of Transaction Costs 419 Applicability of Trading Techniques 423 Market Patterns 428 17 ADAPTIVE TECHNIQUES 436 Adaptive Trend Calculations 436 Adaptive Momentum Calculations 444 An Adaptive Process 446 Considering Adaptive Methods 447 18 PRICE DISTRIBUTION SYSTEMS 449 Using the Standard Deviation 449 Use of Price Distributions and Patterns to Anticipate Moves 451 Distribution of Prices 453 Steidlmayer's Market Profile 458 19 MULTIPLE TIME FRAMES 465 Tuning Two Time Frames to Work Together 465 Elder's Triple Screen Trading System 466 Robert Krauszs Multiple Time Frames 468 A Comment on Multiple Time Frames 470 20 ADVANCED TECHNIQUES 471 Measuring Volatility 471 Trade Selection 482 Price Volume Distribution 483 Trends and Noise 484 Expert Systems 485 Fuzzy Logic 488 Fractals and Chaos 490 Neural Networks 492 Genetic Algorithms 498 Considering Genetic Algorithms, Neural Networks, and Feedback 502 21 TESTING 503 Expectations 504 Identifying the Parameters 505 xi Selecting the Test Data 506 Searcbing for the Optimal Result 508 Visualizing and Interpreting the Results 510 Step Forward Testing and Out of Sample Data 517 Changing Rules 519 Arriving at Valid Test Results 520 Point and Figure Testing 525 Comparing the Results of Two Systems 527 Profiting from the Worst Results 530 Retesting Procedure 531 Comprehensive Studies 533 Price Shocks 546 Anatomy of an Optimization 547 Data Mining and Overoptimization 548 Summary 554 22 PRACTICAL CONSIDERATIONS 555 Use and Abuse of the Computer 555 Price Shocks 562 Gambling Tecbnique The Theory of Runs 565 Selective Trading 572 System Trade Offs 574 Trading Limits A Dampening Effect 579 Going to Extremes 582 Similarity of Systems 583 23 RISK CONTROL 587 Risk Aversion 587 Liquidity 589 Capital 590 MeasuringRisk 591 Leverage 596 Diversification 598 Individual Trade Risk 603 Ranking of Markets for Selection 609 Probability of Success and Ruin 614 Compounding a Position 617 Equity Cycles 619 Investing and Reinvesting Optimal f 623 Comparing Expected and Actual Results 626 APPENDIX 1 STATISTICAL TABLES 631 Probability Distribution Tables 631 Table of Uniform Random Numbers 633 APPENDIX 2 METHOD OF LEAST SQUARES 634 Operating Instructions 634 Computer Programs 634 Least Squares Solution for Corn Soybeans 640 Least Squares Solution for Soybeans Only 645 A APPENDIX 3 MATRIX SOLUTIONS TO LINEAR EQUATIONS AND MARKOV CHAINS 651 Direct Solution and Convergence Method 651 General Matrix Form 651 Direct Solution 651 Convergence Method 657 APPENDIX 4 TRIGONOMETRIC REGRESSION FOR FINDING CYCLES 659 Single Frequency Trigonometric Regression 659 Two Frequency Trigonometric Regression 663 APPENDIX 5 FOURIER TRANSFORMATION 669 Fast Fourier Transform Program 669 APPENDIX 6 CONSTRUCTION OF A PENTAGON 673 Construction of a Pentagon from One Fixed Diagonal 673 Construction of a Pentagon from One Side 674 BIBLIOGRAPHY 676 INDEX 687