Intermarket Trading Strategies

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.

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