Customer Reviews

The Evaluation and Optimization of Trading Strategies (Wiley Trading)

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

 

 

I use Tradestation for my day trading and thought I might learn something new from this book to help me better optimize my strategy ideas. Maybe my expectations were too high. The book is a basic concepts book about strategy optimization with nothing revolutionary (in my opinion). If you are new to Tradestation and are curious about Walk Forward Analysis or Optimization, just Google it... I really need to screen the books I am considering buying more at the bookstores before I buy them. grrrr

This book is precisely written and gives a great educational foundation on the concepts of trading system analysis and proper optimization. TradeStation, TradersStudio and the other testing platforms are tremendous tools and can be used to develop robust trading systems but at the same time they can be quite dangerous to the novice trader. With the computational power and data that it available today, a new system developer can easily get carried away and over curve fit their trading scheme. Bob tells how not to do this. The book also covers the most important performance metrics and how they should be used to determine the robustness of a trading plan. Also Bob has worked with Bill Dunn for many years and this is definitely an indicator that Bob knows what he is writing about. If you are interested in developing robust trading systems or analyzing one to purchase, you can't go wrong buying EOTS.

Pardo gives a comprehensive introduction in how to develop and test automated trade strategies, from the trade idea up to analysis and testing with different objective functions. The book is a good read for a beginner to strategy development. On the down side, the information density is quite thin. Pardo probably got from his publisher the requirement to write a 300+ pages book, which he only managed by repeating the same stories over and over.

Examples of real strategies are missing. Instead, about a third of the book is dedicated to what he calls "Walk Forward Analysis", which is the idea to test the strategy with price data that was not used for optimization. Certainly a good concept. But would you need 100 pages to describe it, or want to read 100 pages about the same simple idea formulated again and again in many different ways? This wasting of the reader's time reduces the rating of this otherwise useful book to 3 stars.

You would be better off watching the free trading videos on Trade Station to learn about creating trading systems and optimization. This book seems to be one long commercial for Pardos Group forward testing software which is no longer available. The book is basically useless since the premise is that in order to test a trading strategy you must first test it in out of sample data. This makes perfect sense but you need software and a data feed to do this otherwise time consuming testing.
The software recommended of coerce is Pardos group which they no longer sell.

I am enjoying the book so far. Author repeats self a lot though and seems to avoid concrete what to do tips. Hopefully those will come later--I am only half way through the book.

Excellent detailed book. Really lays out the process in an understandable way yet is loaded with the techno-speak to see how it all works. Used it a lot in designing a strategy. The importance of avoiding curve-fitting and over-optimizing was made very clear. Happened to have consulted with one of the people on the back jacket that praised the book before we even discovered this book. THAT really gave us confidence that the book would help and it did. Our system is through the moon!

the book is very intersting, maybe sometimes it appears too long regarding the content but it is OK