The Encyclopedia of Trading Strategies is for traders who want to take the next step to consistently profitable trading. The authors--themselves seasoned veterans of the futures trading arena--pinpoint the trading methods and strategies that have been shown to produce market-beating returns. Their rigorous and systematic backtesting of each method, using the same sets of markets and analytic techniques, provides a scientific, system-based approach to system development...to help you assemble the trading system that will put you on the road to becoming a more consistently profitable trader. (20000601)
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"This book gives futures and options traders hundreds of innovative ways to take profits out of the market and gain an edge on every trade." (Technical Analysis of Stocks & Commodities Magazine )
From the Back Cover
"The authors extract some sobering trading edicts the good old-fashioned way--analysis by the scientific method. Here we see the fruits of detailed and methodical research, both the long and short of it.... These results will certainly affect my own trading designs!" --Mark Jurik Editor, Computerized Trading "If you're the type of trader who wants to build his or her own systems, this book is for you!" --Murray Ruggiero, Jr. Contribuitng Editor, Futures magazine "I have known Jeff Katz for years. He has worked on a number of my projects, always exhibiting a high degree of professionalism, attention to detail, and thoroughness. The same craftsmanship is apparent throughout this book." --Robert Pardo President, Pardo Capital Limited
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Most Helpful Customer Reviews
107 of 111 people found the following review helpful
Format:Hardcover
The authors cover the ground of "Build a Trading Program" quite effectively. They have presented results using systems built around traditional technical indicators and their own "standard exit" method. These they use to show how to evaluate systems. This brief summary understates considerably the material presented on entries.
Differing entry techniques (limit, stop & market)are examined in the context of each "system." The reader is thus exposed to both the methodology of statistical evaluation and to "how it feels" to use this technique or that.
The authors actually start the book with an introduction to data types, availability and time frame; the bare-bones of needed statistical material; simulators (programs to simulate trading); and, optimizers and optimizing. I scanned the material, due to my own familiarity with it. It seems like good background. One point I've not seen elsewhere is the suggestion to optimize for high Student-t scores, an excellent idea.
Exits and exit techniques are dealt with, although less voluminously than entry techniques. One reason for that is the difference in amount written on the two. Everyone who wants to sell you a system, be it a book or a seminar, will emphasize entry technique. Very little has been written on exits, which are a more difficult sell. Katz & McCormick have presented the basic categories of exits. While "basic categories" doesn't sound like much, it is more than I can recall appearing elsewhere in print. These categories are the building blocks for the second most important part of a system: exits. (More important is money management.) Here, as throughout the book, C+ code is included, allowing one to implement one's own approaches.
Another section, also with code, is use of genetic algorithms in system design. This is one of the best sections on GA's in trading that I've seen. It is not exhaustive (thank heavens) but will get you started without forcing a reading of Goldberg's text on GA's. Another departure from the norm is a short presentation of using GA's to optimize for the elements of the system, not for the actual output, a superior idea.
As the authors point out, exits are far more important than entry. A test system I wrote recently entered almost randomly after it had determined volatility was sufficiently high. Although not sophisticated, the exits were other than random. Although less than 20% accurate, it produced very substantial profits. Actual implementation is a bit trickier; real markets don't always provide the smooth entry and exit of systems testing. Be that as it may, the essential point remains: exit and money management are where the profits are. Entries are for seminar junkies and would be traders.
If trading is what you want to do, and computer-driven systems are what you will use, this is a book that you should read. It is the best I've seen (and I've seen a few). The other pieces to the trading puzzle are psychology (Ruth Roosevelt) and money management (Ralph Vince - not perfect, but a necessary read).
63 of 64 people found the following review helpful
Format:Hardcover
Most books on trading assume either that the reader never got to college, or else that they never left. This one, however, is different, rapidly bringing the technical but non-specialist reader up to speed in the principled construction of automated trading engines.
If you have a reasonably numerate background, perhaps with some software development experience, and have found yourself drawn to the concept of constructing your own mechanical trading system, you owe it to yourself to read this text. Quite simply, it is superb. The authors begin by describing the core components of a sound system, including the application of statistical inference and the selection of appropriate sample sets for back-testing. They then go on to provide a set of normalised comparisons of various trading 'rules' for entry and exit (e.g., breakouts, MAVs, oscillators, neural net predictors, etc.) together with discussion of optimisation systems (such as simulated annealing and genetic refinement). The actual results of some 'respectable' rulesets you may find rather shocking! And if you are only dimly aware of what genetic algorithms can offer the modern trader, you should buy this book for that reason alone.
The style of the text is clear and unstuffy, with chapters of readable length and well-structured content. The reader who wants to learn more will find this book an ideal jumping off point, since many references to the literature are provided, but an excessive technical background is not assumed, and the work is for the most part self-contained.
The only minor issues are 1) the title is a somewhat misleading; you will not find an A-Z list of trading strategies here, but rather a more select discussion of the techniques (and the validity of certain *classes* of strategy) involved in building viable automated trading systems; and 2) there is some ugleeee typesetting of mathematical formulae in Fortran (!). However, neither points really count for more than nitpicking in contrast to the value of the text overall.
In summary, there is real content here - described and justified, if you are an engineer like me, through the sort of scientific analysis and rigour that creates more excitement than a million words of hype. Fed up with TradeStation? Writing your own system in C++? In need of a bit of inspiration and guidance? If this sounds familiar, you want this book, believe me.
IMHO, it's a classic. Buy it.
81 of 85 people found the following review helpful
Format:Hardcover
The Encyclopedia Of Trading Strategies provides a solid foundation for developing the skills and knowledge base to develop one's own set of quantifiable trading rules and for developing a reliable trading "system."
The book begins laying the foundation with a description of the tools necessary to construct a system. Data -- the cleaner, naturally, the better -- is the point of departure. A discussion of simulators -- software that allows you to simulate trading -- ensues and walks you through the mechanics of interpreting output and determining their reliability and power.
A discussion of optimizers, or tools that find the best possible solutions to a problem follows, critically describing the major types of optimization and products available and how to achieve success, or failure, in their implementation.
Statistics for systems analysis are the next tool detailed. Without statistics, there is no way of knowing whether the profits (or losses) resulting from a tested system are real, an artifact of sampling or chance.
With the tools required for systems testing in place, the book launches into the discussion of its primary focus, the study of entries and exits. Ultimately, and deceptively simply, a trading system is nothing more than a system of entries and exits (at a profit or at a loss).
The Encyclopedia of Trading Strategies is something of a misnomer in that the title leaves the impression that one will find a catalogue of trading strategies and methods that the reader can scrutinize to extract specific techniques and use as a reference guide. In fact, the book provides the framework and background-knowledge necessary to design, test and analyze one's own trading system and could have as easily been dubbed A Primer On Developing Trading Systems.
Most Recent Customer Reviews
Saved me (Self Quant) much effort on investigations
As a Quant I tested many systems on stock indexes using the daily close and I now moving to Intraday models on the forex markets using Meta trader 4. Read more
Published 3 months ago by DANIEL HASSON
none would work
the book is too diversified to be useful.
if it works, one is enough; more do not do any good.
the authors are good at publishing, and seem live on that.
if it works, one is enough; more do not do any good.
the authors are good at publishing, and seem live on that.
Published 3 months ago by Yanyan
Good book on backesting with a misleading title
I bought this book because I thought it would contain an overview of various trading systems, fundamental/technical/... but apparently I was wrong. Read more
Published 15 months ago by Straddle1985
Potentially very harmful: fairly useful section on exits
I hate reviewing books like this. It would be awesome to say, "this is total nonsense; never, ever read it. Read more
Published on February 8, 2010 by Scott C. Locklin
Good but outdated
This book needs a complete overhaul.
Markets have changed, tactics have changed and the whole internet and technology boom has had a tremendous effect on markets. Read more
Markets have changed, tactics have changed and the whole internet and technology boom has had a tremendous effect on markets. Read more
Published on September 10, 2009 by SBJ400
Deceiving name
As a software engineer I needed a book that will teach me some trading strategies that I can program and bought this book hoping to find a list/ideas of trading strategies, as you... Read more
Published on December 17, 2008 by Y. Weizman
A must read if you plan to trade
Anyone planing on or currently trading using technical analysis should read this book. The lessens inside can help prevent loss of savings. Read more
Published on August 26, 2008 by J.D.
A good starting point for a systems trader
The book should be compulsory reading for any aspiring systems trader.
The testing methodology is thorough, and they cover many of the more common approaches to systems... Read more
The testing methodology is thorough, and they cover many of the more common approaches to systems... Read more
Published on July 28, 2008 by spectre
I liked, but it could be better
I liked this book.
it presented many ideas and a right pragmatic approach to test a trading system. Read more
it presented many ideas and a right pragmatic approach to test a trading system. Read more
Published on March 24, 2007 by Guido
Too Technical for Me
The Encyclopedia of Trading Strategies is well written and is a good book if you are looking for something very technical and mechanical. I was disappointed with the book. Read more
Published on November 4, 2006 by T. Beard
Inside This Book
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First Sentence:
A determination of what works, and what does not, cannot be made in the realm of commodities trading without quality data for use in tests and simulations. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
profit target limit, local scratch variables, breakout thresholds, true range units, average loss per trade, order type case, average crossover model, specified order type, avoid placing orders, closing prices vol, portfolio equity growth, three order types, instruct simulator, step through bars, seasonal momentum, random entry model, money management stop, breakout models, brute force optimization, long iseed, money management exit, countertrend entries, fixed profit target, generate entry signals, profit target exit Key Phrases - Capitalized Phrases (CAPs): (learn more)
Japanese Yen, Light Crude, Live Hogs, Unleaded Gasoline, British Pound, Swiss Franc, Feeder Cattle, Canadian Dollar, Easy Language, Pork Bellies, Orange Juice, Soybean Meal, Live Cattle, Numerical Recipes, Scientific Consultant Services, Kansas Wheat, Short Turning Point, Soybean Oil, In-Sample Performance Broken Down, Minnesota Wheat, Object Pascal, Out-of-Sample Performance Broken Down, Tools of the Trade, Contract At Market, Cycle-Based Entries New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
A determination of what works, and what does not, cannot be made in the realm of commodities trading without quality data for use in tests and simulations. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
profit target limit, local scratch variables, breakout thresholds, true range units, average loss per trade, order type case, average crossover model, specified order type, avoid placing orders, closing prices vol, portfolio equity growth, three order types, instruct simulator, step through bars, seasonal momentum, random entry model, money management stop, breakout models, brute force optimization, long iseed, money management exit, countertrend entries, fixed profit target, generate entry signals, profit target exit Key Phrases - Capitalized Phrases (CAPs): (learn more)
Japanese Yen, Light Crude, Live Hogs, Unleaded Gasoline, British Pound, Swiss Franc, Feeder Cattle, Canadian Dollar, Easy Language, Pork Bellies, Orange Juice, Soybean Meal, Live Cattle, Numerical Recipes, Scientific Consultant Services, Kansas Wheat, Short Turning Point, Soybean Oil, In-Sample Performance Broken Down, Minnesota Wheat, Object Pascal, Out-of-Sample Performance Broken Down, Tools of the Trade, Contract At Market, Cycle-Based Entries New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 11
books:
See all 11 books this book cites
10
books
cite this book:
See all 10 books citing this book
- Numerical Recipes: The Art of Scientific Computing by William H. Press on 5 pages
- Handbook Of Genetic Algorithms by Lawrence David Davis on page 46, and Back Matter
- The Art of the Trade by R.E. McMaster in Front Matter
- New Concepts in Technical Trading Systems by J. Welles Wilder in Back Matter
- Schwager on Futures: Technical Analysis by Jack D. Schwager in Back Matter
See all 11 books this book cites
- Advanced Option Pricing Models by Jeffrey Owen Katz on 13 pages
- Mastering Technical Analysis: Using the Tools of Technical Analysis for Profitable Trading (McGraw-Hill Trader's Edge Series) by John C. Brooks in Front Matter
- Financial Models Using Simulation and Optimization II: Investment by Wayne Winston on page 69
- Quantitative Trading Strategies: Harnessing the Power of Quantitative Techniques to Create a Winning Trading Program (McGraw-Hill Trader's Edge Series) by Lars Kestner in Front Matter
- Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals by David Aronson in Back Matter
See all 10 books citing this book
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