Cmt Level III 2018: The Integration of Technical Analysis

ISBN-13: 9781119474579 / Angielski / Miękka / 2018 / 928 str.

Wiley

Spis treści

About the CMT Association ix

What Is the CMT® Program? xi

How This Book Was Created xiii

Preface xv

SECTION I Risk Management 1

Chapter 1 System Design and Testing 3
Charles D. Kirkpatrick II and Julie R. Dahlquist

Chapter 2 Money and Portfolio Risk Management 31
Charles D. Kirkpatrick II and Julie R. Dahlquist

Chapter 3 System Evaluation and Testing 53
Perry J. Kaufman

Chapter 4 Practical Considerations 126
Perry J. Kaufman

Chapter 5 Risk Control 169
Perry J. Kaufman

Chapter 6 Statistical Analysis 238
David Aronson

Chapter 7 Hypothesis Tests and Confidence Intervals 283
David Aronson

SECTION II Asset Relationships 315

Chapter 8 Regression 317
Markos Katsanos

Chapter 9 International Indices and Commodities 325
Markos Katsanos

Chapter 10 The S&P 500 351
Markos Katsanos

Chapter 11 European Indices 366
Markos Katsanos

Chapter 12 Gold 374
Markos Katsanos

Chapter 13 Intraday Correlations 390
Markos Katsanos

Chapter 14 Intermarket Indicators 399
Markos Katsanos

Chapter 15 A Unique Way to Visualize Relative Strength 421
Julius de Kempenaer and Mathew Verdouw, CMT, CFTe

SECTION III Portfolio Management 457

Chapter 16 Fact, Fiction, and Momentum Investing 459
Clifford S. Asness, Andrea Frazzini, Ronen Israel, and Tobias J. Moskowitz

Chapter 17 Analyzing the Macro–Finance Environment 484
Robert A. Weigand

Chapter 18 Portfolio Risk and Performance Attribution 518
Robert A. Weigand

SECTION IV Behavioral Finance 565

Chapter 19 Behavioral Biases 567
Michael M. Pompian

Chapter 20 Investor Psychology 584
Mark Andrew Lim

Chapter 21 Are Two Heads Better Than One? 596
James Montier

Chapter 22 The Anatomy of a Bubble 604
James Montier

Chapter 23 De–Bubbling: Alpha Generation 616
James Montier

Chapter 24 Behavioral Techniques 638
Perry J. Kaufman

SECTION V Volatility Analysis 669

Chapter 25 The VIX as a Stock Market Indicator 671
Russell Rhoads

Chapter 26 Hedging with VIX Derivatives 687
Russell Rhoads

Chapter 27 Advanced Techniques 701
Perry J. Kaufman

SECTION VI Classical Methods 749

Chapter 28 Pattern Recognition 751
Perry J. Kaufman

Chapter 29 Multiple T ime F rames 777
Perry J. Kaufman

Chapter 30 Candlestick Analysis 789
Mark Andrew Lim

Chapter 31 Progressive Charting 838
Steve Nison

Chapter 32 Bringing It All Together: Real–World Charts 879
Steve Nison

Chapter 33 Conclusions 905
Richard J. Bauer Jr. and Julie R. Dahlquist