Journal of Technical Analysis - Market Technicians Association

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Journal Editor & Reviewers 1 2 3 4 5 6 7 The Boundaries of Technical Analysis Milton W. Berg, CFA Price & Volume, Digging Deeper Buff Dormeier, CMT Jo u r n a l of Technical Analysis • 2008 • Issue 65 Table of Contents Inferring Trading Strategies from Probability Distribution Functions John Ehlers An Empirical Study of Rotational Trading Using the %b Oscillator H. Parker Evans, CFA, CFP, CMT Ichimoku Kinko Hyo Véronique Lashinski, CMT Using Style Momentum to Generate Alpha Samuel L. Tibbs, Ph.D. Stanley G. Eakins, Ph.D. William DeShurko, CFP Benner’s Prophecies of Future Ups and Downs in Prices Samuel Benner The Organization of the Market Technicians Association, Inc. Jo u r n a l of Technical Analysis • 2008 • Issue 65 1 3 5 19 26 35 42 50 56 59
2 Julie Dahlquist, Ph.D., CMT University of Texas San Antonio, Texas J. Ronald Davis Golum Investors, Inc. Portland, Oregon Production Coordinator Timothy Licitra Marketing Services Coordinator Market Technicians Association, Inc. Journal Editors & Reviewers Editor Connie Brown, CMT Aerodynamic Investments Inc. Campobello, South Carolina Associate Editor Michael Carr, CMT Cheyenne, Wyoming Manuscript Reviewers Cynthia Kase, CMT Kase and Company, Inc. Albuquerque, New Mexico Philip J. McDonnell Sammamish, Washington Jo u r n a l of Technical Analysis is published by the Market Technicians Association, Inc., (MTA) 61 Broadway, Suite 514, New York, NY 10006. Its purpose is to promote the investigation and analysis of the price and volume activities of the world’s financial markets. Jo u r n a l of Technical Analysis is distributed to individuals (both academic and practitioner) and libraries in the United States, Canada and several other countries in Europe and Asia. Jo u r n a l of Technical Analysis is copyrighted by the Market Technicians Association and registered with the Library of Congress. All rights are reserved. Jo u r n a l of Technical Analysis • 2008 • Issue 65 Michael J. Moody, CMT Dorsey, Wright & Associates Pasadena, California Kenneth G. Tower, CMT Covered Bridge Tactical, Inc. Yardley, Pennsylvania Publisher Market Technicians Association, Inc. 61 Broadway, Suite 514 New York, New York 10006
Page 1: ® Professionals Managing Market Ri
Page 5 and 6: 1. All submitted manuscripts must b
Page 7 and 8: 6 Roll of the Dice Let us compare t
Page 9 and 10: 8 Chart 1 Chart 2 displays an arrow
Page 11 and 12: 10 We have displayed the right tail
Page 13 and 14: 12 Technical Analysis Redefined Com
Page 15 and 16: 14 Appendix 3 All Signals Listed Jo
Page 17 and 18: 16 Appendix 5 Jo u r n a l of Techn
Page 19 and 20: 18 Acknowledgement All charts have
Page 21 and 22: 20 Chart 1 VPC = VWMA- SMA short-te
Page 23 and 24: 22 It’s important to note when us
Page 25 and 26: 24 is an uneven match. The VPCI use
Page 27 and 28: 26 Inferring Trading Strategies Fro
Page 29 and 30: 28 Because the turning points have
Page 31 and 32: 30 Annualized performance of the tr
Page 33 and 34: 32 Conclusions The PDF has been sho
Page 35 and 36: 34 About the Author John Ehlers is
Page 37 and 38: 36 Rotational Trading Rotational tr
Page 39 and 40: 38 Figure number two is a profit di
Page 41 and 42: 40 Figure 4 plots a weekly comparat
Page 43 and 44: 42 Ichimoku Kinko Hyo Véronique La
Page 45 and 46: 44 The position of the market relat
Page 47 and 48: 46 Finally, due to a much larger ti
Page 49 and 50: 48 Figure 11: Tk4, example on coppe
Page 51 and 52: 50 Using Style Momentum to Generate
Page 53 and 54:
52 Performance of 12,1 Style Index
Page 55 and 56:
54 Sharpe ratio is calculated as fo
Page 57 and 58:
56 Benner’s Prophecies of Future
Page 59 and 60:
58 2 [Ed. note… Giving Benner plu
Page 61 and 62:
60 2009 Charles H. Dow Award The co
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