Customer Reviews

Beating the Financial Futures Market: Combining Small Biases into Powerful Money Making Strategies (Wiley Trading)

5 star:		(4)
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3 star:		(2)
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1 star:		(0)

 

 

The book is quite slim if you notice that there are many tables, and the TS code begins at page 205. The strategies are so simple that the TS code was only useful a few times for confirming the rules that were not completely clear in the text.
The book shows a series of "strategies" and some backtests.
The problem is that all these strategies are extremely simple and very similar to each other. They often involve daytrades, buying the open and selling at the close, or entering on stop at the open +- a buffer. For the majority of the strategies, no slippage and no commissions are taken into account. The problem is that in the real world, they often turn daytrading strategies from apparently good to losers. The author does point out slippage and commissions, but often forget about them in the second half of the book.
The author is easy to please. Many strategies give drawdown of more than 50% of the profit for the confirmation markets. I would not find that a validation, particularly after looking at the equity curve (I did test many of the strategies of the book across many markets).
Of course, robust often means simple, but another problem I find is that all the techniques in the book have been optimized for the period used and often for the selected indexes. For example, a system was reasonably performing from 2001 to 2005 in the book. I tested back from 1995, and the out of sample simulation did not give good results. Using European indexes did not show so nice result as well (I confess I am not as easy to please as the author). The author never looks at the difference between short and long signals. Of course, if the concept is strong, there should be no differences. For the indexes, the fact is the simulation of the combined indicators strategies show that longs are doing well in bull markets and bad in bear markets, the opposite for shorts, of course. Interestingly, the strategy appears to behave reasonably well (without slippage, commissions) only in the optimized time frame. Also, the analysis of the equity curve shows that, in some cases, most of the profits are made in a limited amount of time and the rest of the time it is not productive or counter productive. These very simple strategies heavily rely on optimization.
The concept of strategies aggregation to enhance the probability of success is of course good, though not new.

To summarize, I find the strategies quite weak (after slippage, commissions) and the tests too limited. However, the book is still a very good read for those really wanting to begin in mechanical trading. Many traps of mechanical trading are described. The author does not mislead the reader, though I find him easy to please for the test results.

There are two things I love about this book. One, the author backs every
contention with historic performance summaries. How many investment books
do that-like maybe one in a thousand? Second, you just know the author's
expertise is genuine. Read Art Collins' daily commentaries for Elite Trader
and Tiger Shark, or any of his magazine articles. He earns his living
trading-he's therefore, unlike most self-appointed gurus, actually walking
the walk.

This is really exciting stuff! I've already started testing his ideas
on my own.

This book takes 10 biases, explains their reasoning and gives quantitative back-up for how each does in a Tradestation simulated back-test. Art is a successful mechanical trader so you get a look into how he thinks and how he interprets the results. Each bias is relatively simple and demonstrated to have a small but definable edge across multiple markets.

The aspect to this book that is most interesting is how to integrate these various small biases into a master composite 'index'. As Bob Pardo writes in the Foreward section of this book "indexing can be very powerful... It can be a very effective way to 'summarize' large amounts of complex information."

I find that if I can take just 1 or 2 practical ideas from a book, it is a good book. This book did more than that -- it got me started on 'indexing' for individual stock lists and sparking new directions for me. I highly recommend this book to anyone -- but especially those with some kind of competence in quantitative methods to trading.

It's interesting how simple Art Collins' systems are, and yet, if we can believe his results, they produce impressive profits anyway. There's no reason to doubt them: Art not only offers verbal assurances, he invites us to test against his results for ourselves. He fully discloses every necessary rule and formula along the way. Some of this book might be hard for neophytes to follow, but with a little work, there should be plenty within the text that's workable for everyone. Maybe one of the best books of this type I've ever read.

I bought the book by mistake, please note that it is not a book on "futures" as in Forex but about stock trading systems. I found the book a bit boring with many setups that are all mechnical; this book might works for some but not for the discretionary traders...and if I ever hear another menacing words about fears and greeds just scare people into reading, I might as well close the book and throw it in the corner. All in all, this book might serves your purpose just like the 2 comments written above.

This book is full of good ideas, also none of these are new. The author's excellent work in back testing all the ideas in this book deserves praise.
THE BOOK IS GOOD VALUE.