Markos Katsanos 
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.

Table of Content

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 Meta Stock Code and Test Specifications 297

Appendix B Neural Network Systems 357

Appendix C Rectangles 367

Glossary 371

Bibliography 385

Index 391

About the author

About the author

Markos Katsanos is an expert in technical analysis and trading systems and inventor of two new technical indicators. In showing the relationship of volume to price movement, his Finite Volume Element (FVE) and Volume Flow Indicators (VFI) have become popular tools used by traders and the code was incorporated in almost all Technical Analysis and trading software. He has a Bachelors degree in Civil Engineering and a Masters degree in Structural Engineering, and is a member of the Technical Securities Analysts Association of San Francisco (TSAASF). He has traded stocks and commodities since 1987, starting with fundamental analysis. With his engineering training he quickly gravitated to technical analysis of the market. With more than two decades of experience in computerized analysis of stocks and futures, he has spent years refining his methods to come up with some of the most profitable strategies for choosing trades. He specializes in mechanical systems and has constructed dozens of systems for his clients and his own use. Markos Katsanos has contributed several articles to Technical Analysis of Stocks & Commodities and other financial publications. He is currently in the process of setting up his own financial consulting company.