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PART ONE
THE MOST IMPORTANT FACTOR
IN YOUR SUCCESS: YOU!
The Legend of the Holy Grail 3
The Holy Grail Metaphor 6
What’s Really Important to Trading 9
Modeling Market Geniuses 11
Summary 14
chapter 2
Judgmental Biases: Why Mastering the Markets Is So Difficult
for Most People 17
Biases That Affect Trading System Development 20
Biases That Affect How You Test Trading Systems 35
Biases That Affect How You Trade Your System 38
Summary 41
C_ha_pter- 3
Setting Your Objectives 45
Designing Objectives Is a Major Part of Your System Work 47
PART TWO:
CONCEPTUALIZATION OF YOUR SYSTEM
Chapter 4
Steps to Developing a System 61
1. Take an Inventory 61
2. Develop an Open Mind and Gather Market Information 63
3. Determine Your Objectives 66
4. Determine Your Time Frame for Trading 66
5. Determine the Best Historical Moves in That Time Frame and
Notice What Those Moves Have in Common 69
6. What’s the Concept behind Those Moves and How Can You
Objectively Measure Your Concept? 70
7. Add Your Stops and Transaction Costs 72
8. Add Your Profit-Exits and Determine Your Expectancy 73
9. Look for Huge Reward Trades 74
10. Optimize with Position Sizing 76
11. Determine How You Can Improve Your System 77
12. Worst-Case Scenari-Mental Planning 78
Chapter 5
Selecting a Concept That Works 81
Trend Following 82
Fundamental Analysis 86
Seasonal Tendencies 91
Spreading 99
Arbitrage 103
Neural Networks 110
There’s am Order to the Universe 120
Summary of Key Points 126
Chapter 6
Understanding Expectancy and Other Keys
to Trading Success 130
The Six Keys to Investment Success 130
The Snow Fight Metaphor 133
Looking at Expectancy under a Magnifying Glass 137
Expectancy and R Multiples 143
Expectancy Applied to the Market 148
Using Expectancy to Evaluate Different Systems 152
A Review of How to Use Expectancy 158
PART THREE:
UNDERSTANDING THE KEY PARTS
OF YOUR SYSTEM
Chapter 7
__-
Using Setups 165
The Four Phases of Entry 167
Setups for Stalking the Market 172
Filters versus Setups 179
Setups Used by Well-Known Systems 184
hnmary of Setups 196
Chapter 8
Entry or Market Timing 198
Trying to Beat Random Entry 200
Common Entry Techniques 202
Designing Your Own Entry Signal 220
An Evaluation of Entry Used in Some Common Systems 224
Sunmary 2 2 9
Chapter 9 chapter 13
Know When to Fold ‘Em: How to Protect Your Capital 233
What Your Stop Does 235
Using a Stop That Makes Sense 243
Summary: Preserving Capital 248
Stops Used by Common Systems 249
Chapter 10
How to Take Profits 254
Purpose behind Profit-Taking Exits 255
Just Using Your Stop and a Profit Objective 263
Simplicity and Multiple Exits 264
What to Avoid 265
Summary 266
Exits Used by Common Systems 266
Chauter 11
The Opportunity and Cost Factors 270
Several Approaches to Take 270
Factoring in Opportunity 273
The Cost of Trading Opportunity 275
Summary 278
Chapter 12
What Do You Mean Position Sizing? I Only Have $10,000
in My Account! 280
Position-Sizing Strategies 284
Model 1: One Unit per Fixed Amount of Money 286
Model 2: Equal Value Units for Stock Traders 290
Model 3: The Percent Risk Model 292
Model 4: The Percent Volatility Model 296
The Models Summarized 298
Examples of the Impact of Position Sizing 300
Summary 306
Position Sizing Used by Other Systems 307
Conclusion! 314
APPENDICES
Appendix I: Recommended Readings 325
Appendix II: Key Words Defined 328
Index 337
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