Trader Vic on Commodities: What's Unknown, Misunderstood, and Too Good to Be True

Preface ix

Acknowledgments xiii

CHAPTER 1 The Basics 1

CHAPTER 2 You Can’t Win Them All 9

CHAPTER 3 Indicators and Tools 15

CHAPTER 4 2B or Not 2B: A Classic Rule Revisited 23

CHAPTER 5 An Introduction to the S&P DTI 35

CHAPTER 6 A Challenge to the Random Walk Theory 45

CHAPTER 7 The Rationale and Value of a Long/Short Futures Strategy 67

CHAPTER 8 Why the S&P DTI Is an Indicator 81

CHAPTER 9 The Fundamental Reason the S&P DTI Generates Core Returns 105

CHAPTER 10 The Nature of the S&P DTI Returns 115

CHAPTER 11 A Fundamental Hedge 133

CHAPTER 12 S&P DTI Subindexes: The S&P Commodity Trends Indicator and the S&P Financial Trends Indicator 139

Afterword 143

APPENDIX A S&P DTI Methodology and Implementation 147

APPENDIX B How to Interpret Simulated Historical Results 177

APPENDIX C Correlation Statistics 191

About the Author 195

Index 197