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Intermarket Trading Strategies

Description:    This book shows traders how to use Intermarket Analysis to forecast future equity, index and
                commodity price movements. It introduces custom indicators and Intermarket based systems using
                basic mathematical and statistical principles to help traders develop and design Intermarket trading
                systems appropriate for long term, intermediate, short term and day trading. The metastock code
                for all systems is included and the testing method is described thoroughly. All systems are back
                tested using at least 200 bars of historical data and compared using various profitability and
                drawdown metrics.



Contents:       PART I

                1. Intermarket Analysis

                1.1 Determining Intermarket relations

                1.2 Using Intermarket Correlations for Portfolio Diversification

                2. Correlation

                3. Regression

                3.1 The regression equation

                3.2 Multiple Regression

                3.3 Assumptions

                3.4 Non Parametric Regression

                4. International Indices and Commodities

                4.1 The DAX

                4.2 The CAC 40

                4.3 The FTSE

                4.4 The Dow Jones Stoxx 50 and Euro Stoxx 50

                4.5 The NIKKEI

                4.6 The HANG SENG

                4.7 Trading Hours, Symbols and Volatility

                4.8 The Dollar Index

                4.9 The XOI and the OIX

                4.10 The CRB Index

                4.11 The Goldman Sachs Commodity Index (GSCI)

                4.12 The XAU and the HUI
4.13 The VIX

5. THE S&P-500

5.1 Correlation with International Indices

5.2 Interest rates, Commodities, FOREX and the VIX

5.3 Correlation between the S&P-500 and stocks

6. European Indices

6.1 The Dax

6.2 Correlation with Stocks.

6.3 European Futures

6.4 Time factor

6.5 Intraday

7. GOLD

7.1 Correlations with Equity and Commodity assets

7.2 Leading or Lagging?

7.3 Which Time Frame?

8. Intraday Correlations

8.1 Relationships Between Different time frames.

8.2 Intermarket regression

8.3 Which Time Frame?

8.4 Lagging or Leading?

9. Intermarket Indicators

9.1 Relative Strength

9.2 Bollinger Band Divergence

9.3 Intermarket Disparity

9.4 Intermarket LRS Divergence

9.5 Intermarket Regression Divergence

9.6 Divergence Momentum Oscillator

9.7 Z-Score Divergence

9.8 Multiple Intermarket Divergence

9.9 Multiple Regression Divergence

9.10 Intermarket Moving Average

9.11 Congestion Index
PART II

10. Trading System Design

10.1 Back-testing

10.2 Evaluating Profitability

10.3 Drawdown and other Risk metrics

10.4 Stop-Loss

10.5 Profit Targets

10.6 Money Management

10.7 Neural Networks

10.8 Fuzzy Logic

11. A comparison of fourteen technical systems for trading gold

11.1 Test Specifications

11.2 Test Design

11.3 Regression Systems

11.4 Relative Strength

11.5 The Bollinger Band Divergence System

11.6 The Z-Score

11.7 The Linear Regression Slope Method

11.8 Disparity

11.9 Discussion of test results

12. Trading the S&P ETF and the e-mini

12.1 Daily System

12.2 E-mini Intraday System

13. Trading DAX futures

13.1 Intermarket Divergence System

13.2 Moving Average Crossover System

14. A Comparison of a Neural Network and a conventional system for trading FTSE futures

14.1 Correlation with International Indices

14.2 Setting up the tests

14.3 Summary of Conditions

14.4 Evaluation of results
14.5 A Neural Network system for trading the FTSE

14.6 Conclusion

15. The Use of Intermarket systems in trading Stocks

15.1 Testing Method

15.2 A System for trading Oil stocks

15.3 Evaluation of the Oil stock model

15.4 Trading Gold stocks

16. A relative strength asset allocation trading system

16.1 Testing Procedure

16.2 Discussion of results

17. Forex Trading Using Intermarket Analysis

17.1 Forex Fundamentals

17.2 The Carry Trade

17.3 Trading the Japanese Yen

17.4 The Euro

17.5 Trading the Euro

17.6 Evaluation of Results

17.7 The Australian dollar

Conclusion

APPENDIX A

Metastock code and Test Specifications

A.1 Metastock code for the Indicators described in Chapter 9

A.2 Metastock code for the Gold Comparison Tests in Chapter 11

A.3 Metastock code for the S&P systems described in Chapter 12

A.4 Metastock code for the DAX systems described in Chapter 13

A.5 Metastock code for the FTSE systems described in Chapter 14

A.6 Metastock code for the Oil and Gold stock systems in Chapter 15

A.7 Metastock code for the Futures and ETF systems in Chapter 16

A.8 Metastock code for the Forex systems described in Chapter 16

APPENDIX B

Neural Network Systems

Includes a detailed procedure for recreating the Neural Network systems described in Chapter 14,
            using NeuroShell Trader.

            APPENDIX C

            Rectangles

            Provides the metastock code and evaluation of an exploration to detect rectangle formations.



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