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A stop order will never miss a significant trend (in a trend-following model), and entry will never occur without contirmation by movement in favor of the trade; the disadvantages are greater slippage and less favorable entry prices A limit order will get the best price and minimize transaction costs, but important trends may be missed while waiting for a retracement to the limit price In countertrend models, a limit order may occasionally worsen the entry price: The entry order may be filled at the limit price, rather than at a price determined by the negative slippage that sometimes occurs when the market moves against the trade at the time of entry! TEST METHODOLOGY In all tests that follow, the standard portfolio is used.





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The application manifest file is a XAML file that Visual Studio creates when it creates the Silverlight project. The application manifest file mainly includes a list of assembly files that need to be downloaded upon application startup by defining the Deployment object. The application manifest file of the chapter3 Silverlight application is as follows: <Deployment xmlns="http://schemas.microsoft.com/client/2007/deployment" xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml" EntryPointAssembly="chapter3" EntryPointType="chapter3.App" RuntimeVersion="4.0.50401.0"> <Deployment.Parts> <AssemblyPart x:Name="chapter3" Source="chapter3.dll" /> <AssemblyPart x:Name="System.ComponentModel.DataAnnotations" Source="System.ComponentModel.DataAnnotations.dll" /> <AssemblyPart x:Name="System.Windows.Controls.Data.DataForm.Toolkit" Source="System.Windows.Controls.Data.DataForm.Toolkit.dll" /> <AssemblyPart x:Name="System.Windows.Controls.Data" Source="System.Windows.Controls.Data.dll" /> <AssemblyPart x:Name="System.Windows.Controls.Data.Input" Source="System.Windows.Controls.Data.Input.dll" /> <AssemblyPart x:Name="System.Windows.Controls" Source="System.Windows.Controls.dll" /> <AssemblyPart x:Name="System.Windows.Controls.Input" Source="System.Windows.Controls.Input.dll" /> <AssemblyPart x:Name="System.Windows.Controls.Toolkit" Source="System.Windows.Controls.Toolkit.dll" /> <AssemblyPart x:Name="System.Windows.Data" Source="System.Windows.Data.dll" /> <AssemblyPart x:Name="System.Reactive" Source="System.Reactive.dll" /> </Deployment.Parts> </Deployment> Here the main Deployment element contains attributes such as RuntimeVersion, which defines the Silverlight runtime version required on the client machine, and EntryPointAssembly and EntryPointType, which point toward the Silverlight application startup assembly. The AssemblyPart element can appear one or more times as a child element of Deployment.Parts. Each AssemblyPart element includes information about an assembly (with the x:Name and Source attributes) that is part of the Silverlight XAP application package. In our case, the first AssemblyPart element defines the startup chapter3 application assembly chapter3.dll. The other optional assemblies, such as System.Windows.Controls.dll and System.Windows.Controls.Toolkit.dll, are Silverlight SDK component libraries, and for this project they are part of the XAP application package. See the complete list of added assemblies in the previously mentioned application manifest file. Now if you select the Reduce XAP size by caching framework extension assemblies option shown in Figure 17-8, all the assemblies except the startup application assembly (chapter3.dll) become external assemblies and packaged as zip files (with <assembly name>.zip naming format) and each are added as ExtensionPart in the application manifest file, as shown here. <Deployment xmlns="http://schemas.microsoft.com/client/2007/deployment" xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml" EntryPointAssembly="chapter3" EntryPointType="chapter3.App" RuntimeVersion="4.0.50303.0"> <Deployment.Parts> <AssemblyPart x:Name="chapter3" Source="chapter3.dll" /> </Deployment.Parts>

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The number of contracts to buy or sell on entry, in any market, at any time, was chosen to approximate the dollar volatility of two S&P 500 contracts at the end of 1998 Exits are the standard ones All tests are performed using the C-Trader toolkit The portfolios, exit strategies, and test platform are identical to those used previously, making all results comparable The tests are divided into trend-following and counter&end ones They were run using a script containing instructions to set parameters, run.

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The HTML object element enables us to embed the Silverlight plug-in in the HTML web page. The following code snippet demonstrates the Silverlight control added in the chapter3TestPage.html file or chapter3TestPage.aspx file to host the application that will be developed in 14: <div id="silverlightControlHost"> <object data="data:application/x-silverlight-2," type="application/x-silverlight-2" width="100%" height="100%"> <param name="source" value="ClientBin/chapter3.xap"/>

dashed line represents a high-amplitude signal, while the solid line represents a lower amplitude signal. So, how could this be used in the data communications realm Simple: Let s let a high-amplitude signal represent a digital zero and a low-amplitude signal represent a digital one. If I then send four high-amplitude waves followed by four low-amplitude waves, I have actually transmitted the series 00001111. This technique is called amplitude modulation (AM); modulation simply means variation. This is how AM radio works and why it s called AM. Frequency Modulation Frequency modulation (FM) is similar to amplitude modulation except that instead of changing the loudness of

optimizations, and generate output for each combination of moving average type, model, and entry order. The code below is more complex than for breakouts: Instead of a different routine for each combination of moving average, entry rule, and trading order, there is one larger routine in which parameters control the selection of system elements. This technique is required when systems are genetically evolved. Although no genetics are used here, such algorithms are employed in later chapters. This code uses parameters to control model elements, making it easier to handle all the combinations tested in a clean, systematic way.

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