"When I started my research on intermarket analysis in the early 90s, there were only very few analysts active in this field. John Murphy was the first to introduce Intermarket relationships and I was the first to publish mechanical trading strategies using them. Others have followed up over the years but with very little original research. This is the first book I have seen in years with new material, ideas and trading systems that helps advance the field of Intermarket analysis. I have read many books and articles during my career and I think that this book is one of the best on the subject and it will become a great reference for applications of Intermarket analysis and especially trading system development in today's volatile markets."
Murray Ruggiero, Vice President of Research and Development of TradersStudio software, contributing editor of Futures Magazine and author of several books on trading systems and Intermarket analysis
"It is clear from reading Intermarket Trading Strategies that Markos Katsanos has combined technical competence with common sense to bring a breath of fresh air to active investors. His examples are timely and well thought out, reflecting an awareness of our high-risk environment. He understands and explains the important principles underlying successful trading and offers his solutions. I can highly recommend it."
Perry Kaufman, trader and author of The New Trading Systems and Methods
"Before designing a trading system, it is absolutely necessary to gain a deep understanding of the markets. Markos Katsanos does an excellent job of explaining the relationships between different markets through the use of statistical tools, which he does in clear and simple language. Readers of this notable book will be better able to create trading systems that can conquer any market."
Jayanthi Gopalakrishnan, editor of Technical Analysis of Stocks & Commodities magazine
Inhaltsverzeichnis
Acknowledgments ix
Introduction xi
PART I 1
1 Intermarket Analysis 3
2 Correlation 17
3 Regression 33
4 International Indices and Commodities 41
5 The S&P 500 69
6 European Indices 85
7 Gold 93
8 Intraday Correlations 111
9 Intermarket Indicators 121
PART II 145
10 Trading System Design 147
11 A Comparison of Fourteen Technical Systems for Trading Gold 175
12 Trading the S&P 500 ETF and the e-mini 189
13 Trading DAX Futures 201
14 A Comparison of a Neural Network and a Conventional System for Trading FTSE Futures 215
15 The Use of Intermarket Systems in Trading Stocks 235
16 A Relative Strength Asset Allocation Trading System 247
17 Forex Trading Using Intermarket Analysis 261
18 Conclusion 293
Appendix A MetaStock Code and Test Specifications 297
Appendix B Neural Network Systems 357
Appendix C Rectangles 367
Glossary 371
Bibliography 385
Index 391
