Designing stock market trading systems : with and without soft computing

Intro -- Contents -- Preface -- Acknowledgements -- Introduction -- Chapter 1: Designing Stock Market Trading Systems -- 1.1 Introduction -- 1.2 Motivation -- 1.3 Scope and data -- 1.4 The efficient market hypothesis -- 1.5 The illusion of knowledge -- 1.6 Investing versus trading -- 1.6.1 Investing -- 1.6.2 Trading -- 1.7 Building a mechanical stock market trading system -- 1.8 The place of soft computing -- 1.9 How to use this book -- Chapter 2: Introduction to Trading -- 2.1 Introduction -- 2.2 Different approaches to trading -- 2.2.1 Direction of trading -- 2.2.2 Time frame of trading -- 2.2.3 Type of behaviour exploited -- 2.2.3.1 Trend-based trading -- 2.2.3.2 Breakout trading -- 2.2.3.3 Momentum trading -- 2.2.3.4 Mean reversion trading -- 2.2.3.5 High frequency trading -- 2.3 Conclusion -- 2.4 The next step -- Chapter 3: Fundamental Variables -- 3.1 Introduction -- 3.1.1 Benjamin Graham and value investing -- 3.2 Informational advantage and market efficiency -- 3.3 A note on adjustments -- 3.4 Core strategies -- 3.4.1 Intrinsic value estimates -- 3.4.2 Fundamental filters -- 3.4.3 Ranking filters -- 3.5 The elements of a fundamentals-based filter -- 3.5.1 Wealth of a firm and its shareholders -- 3.5.1.1 Book value -- 3.5.1.2 Current assets vs. current liabilities -- 3.5.1.3 Leverage metrics -- 3.5.2 Earnings capacity -- 3.5.3 Ability to generate cash -- 3.6 Fundamental ratios and industry comparisons -- 3.7 A final note on cross-country investing and research -- 3.8 The next step -- 3.9 Case Study: Analysing a variable -- 3.9.1 Introduction -- 3.9.2 Example - P/E Ratio -- 3.9.3 Wealth-Lab -- 3.9.4 SPSS -- 3.9.5 Outliers -- Chapter 4: Technical Variables -- 4.1 Introduction -- 4.1.1 Charting -- 4.1.2 Technical indicators -- 4.1.3 Other approaches -- 4.2 Charting and pattern analysis -- 4.3 Technical indicators -- 4.3.1 Intermarket analysis.