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Professional Stock Trading: System Design and Automation Hardcover – July 1, 2002


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Product Details

  • Hardcover: 336 pages
  • Publisher: Acme Trader Llc (July 2002)
  • Language: English
  • ISBN-10: 0971853649
  • ISBN-13: 978-0971853645
  • Product Dimensions: 9.1 x 6 x 1.2 inches
  • Shipping Weight: 1.5 pounds
  • Average Customer Review: 4.1 out of 5 stars  See all reviews (33 customer reviews)
  • Amazon Best Sellers Rank: #1,178,147 in Books (See Top 100 in Books)

More About the Author

As Michael Douglas said in the sequel to Wall Street: "Prison is the best thing that ever happened to me." I ended up serving just over six years, with one year off for good time. I have paid 82% of my restitution so far and hope to pay off the remainder. It's rare these days to find a hedge fund manager who actually made it through prison. Some blow their brains out, and the rest spend the remainder of their lives in jail. As far as my former partner and co-author, he tape-recorded our conversation without telling me. To set the record straight, I turned myself in, while he concocted a story that he confronted me, so he could get off the hook. But one thing I can say for sure that he can't... I was never a rat.

So what about prison? Well, it works because I lived in a toilet for six years. Every night, I got to look in the mirror, point the finger, and ask: "How do you like it?" I was supposed to go to the camp, but the eye "doctor" decided that camp was a "vacation" and that I needed medical treatment for my brain tumor inside the fence. In 1996, I was diagnosed with a pituitary macroadenoma, which could be treated with a dopamine agonist. And guess what the side effects of a dopamine agonist are? Compulsive gambling and buying. So, I had no business running a hedge fund, even though I tried everything to dig out of a deepening hole, putting my heart and soul into it.

So what about the book? Well, I still think it's the best book about developing TradeStation systems in EasyLanguage after all these years. I actually started writing the book in September 2001 when the market closed for the week after the terrorist attacks in NYC. The big mistake with the book is not giving traders the exact parameters to generate the charts that were included in the book, so people had a hard time reproducing the results. And yes, in retrospect, the charts were cherry-picked to show the best examples.

What am I doing now? Well, I spent much of those six years in the prison library building a dream trading platform from scratch using machine learning techniques. Not only did I learn how to scrub drains, but I learned how to program in R, Python, and Ruby, writing hundreds of pages of software on lined paper. For obvious reasons, I was not allowed to program a computer. I spent my first month of "freedom" on an ankle bracelet and spent 16-hour days getting all the code onto a computer. It's still not done because of the thousands of pages of research and data to compile. I can't wait to get the new book written; there is so much cool stuff in the material that survived so many cell shakedowns over the years.

My first job was a math tutor for sixth graders in a poor public school system, and it was very rewarding. I tried to get a job in software, but corporate America shuts its doors on people with felonies, even though friends are willing to help. So, I started competing on Kaggle (currently 802nd / 181,255) and achieved a high ranking in the March Madness contest because of the years recording NFL and NCAA scores by hand. I was able to compile a lot of knowledge about sports data and betting but had to throw away half of it because of the increasing heat by the tattletales. The choice was keep the data and get locked up, or throw it out and save the software.

One thing for sure, you can never stop fighting, and let me tell you, freedom never felt so good. The first time I got that $1 cup of McDonald's coffee, I was like: "Thank you, God." You really learn to appreciate the little things. I am truly grateful for a second chance at life. If you can survive both prison and a brain tumor, then you're going to be all right.

Peace and Love -- MC

Customer Reviews

I will add to this review after I finished the book.
Allan Lee
I have not yet read the book but quickly discovered a couple of things of which you might want to be aware.
John Crumley
The book is a survey of trading systems wrapped in technical analysis within a software framework.
S.R. Easton

Most Helpful Customer Reviews

44 of 46 people found the following review helpful By Amazon Customer on December 17, 2003
Format: Hardcover
I like this book--even though I don't have TradeStation to actually try the source code out on. It's a great nuts-and-bolts look at the actual step-by-step coding of several different sample systems. I recommend this for any novice trading system developer using the TradeStation platform. For non-TradeStation owners, I don't particularly recommend it, as many of the useful tidbits found in the explanatory parts of the book are drawn from other famous trading books. Without TradeStation, most of the book is rendered useless. Still, I was able to make use of the book because I am a programmer and can convert the tons of provided source code into Wealth-Lab Developer or Amibroker's proprietary languages. And the sample systems gave me some great ideas on how I can improve my existing systems.
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24 of 24 people found the following review helpful By Gregory Smith on October 12, 2004
Format: Hardcover Verified Purchase
If you're looking for some light reading on trading systems, this is not the title for you. But if what you want are detailed, well fleshed-out trading systems to study as examples or even to use, this is an outstanding library of ideas that are fully implemented as code. The focus on TradeStation as the platform is only mildly distracting if you're using a different programming approach, there is enough detail here to go your own way with another language. It will take quite some time to dig through everything because the prose isn't quite as clear as it could be in spots, but the time spent will easily pay off to the serious student of trading systems.
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28 of 29 people found the following review helpful By Nigel on May 27, 2003
Format: Hardcover
I purchased this book several months ago and was initially overwhelmed by the code in the book, which is written in TradeStation's EasyLanguage. At its most basic level, the code consists of systems and indicators for finding traditional technical analysis patterns such as triple tops and pennants, but the book also presents some advanced concepts for combining and encoding these patterns on a chart, including a system using sentiment measures that is absolutely brilliant. The book contains many chart examples, but I would have been keen to see the specific parameters that were applied to each chart. You must be able to commit many hours experimenting with different combinations of input parameters and the so-called filters such as moving averages, volatility ratios, and other metrics. You cannot just plug the systems into your charts and expect stellar results for every symbol, as Conway & Behle explain in the first chapter; however, I think they present a good methodology for stock selection (I currently use RadarScreen to scan for trading candidates - you have to make sure all of the Acme indicators are enabled for RadarScreen). The chapters on pairs trading and float analysis were interesting because this content is rarely covered in other technical analysis books; however, I found the pairs trading difficult to backtest, so this system is probably the most subjective of all the systems. The authors present an intraday pairs system, but I would have been keen to see a daily system, so I'm trying to convert the code to do this. To summarise, this work has proven to be an extremely valuable book and put money in my pocket after much labour. I think some people will just give up if they think they can just plug a canned system into a chart, but this book proves there are many ways to skin a cat, and thus I highly recommend it.
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61 of 69 people found the following review helpful By J. Sun on October 16, 2007
Format: Hardcover
Massachusetts district court has sentenced former hedge fund manager Mark R. Conway to seven years in prison and three years of supervised release for defrauding investors out of $20 million.

The court also ordered Conway to pay a $1,300 fine and $20 million in restitution. On October 23, 2006, Conway pled guilty to 13 counts of wire and mail fraud in connection with his scam. According to the SEC, the District Attorney's office has taken $15 million from Conway's bank accounts to be returned to the roughly 50 investors who put money into his bogus Groundswell Partners and Groundswell Capital investments.

The Commission based a large portion of its case against Conway on a tape-recorded phone conversation with Conway's Groundswell partner, Aaron Behle. During the October 26, 2005 conversation, Conway admitted to Behle that he had used the fund to defraud investors from roughly 2000 or 2001 to October 2005.

Conway also admitted that he had taken a sizeable position in a stock and lost a large amount of the fund's money, and that he had changed his investment strategy without notifying investors. The original investment strategy was purportedly based on quantitative and mathematical algorithms that capitalized on daily price movements in order to earn incremental positive daily returns.

In the course of the taped conversation, Conway also told Behle that he concealed the huge losses incurred by the fund by altering financial statements, profit-and-loss spreadsheets, and account statements to investors, which falsely inflated the amount of assets in investors' accounts. Conway falsely told investors that the fund's assets were at roughly $43 million, when they were closer to $14 million.
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31 of 34 people found the following review helpful By S.R. Easton on October 13, 2003
Format: Hardcover
Where do I begin? The book is a survey of trading systems wrapped in technical analysis within a software framework. And that is the genius of the book: it ties everything together for the mechanical trader. While the text seemed familiar, it covered bits and pieces that I haven't seen before in other books. So, one can learn about pairs trading and float analysis but even better have a free code framework for multiple trading systems. For example, the programmer is able to select among several position sizing models taken from Tharp's book. Moreover, modules for trade management are provided to implement stop losses and profit targets.
Yes, the systems run out of the box, but I can see why some will be disappointed. These guys aren't handing over the Holy Grail, but then who does? That is not to discount a few of the systems in the book -- they were clearly designed by inventive programmer(s) with sound principles. In fact, two of the systems test very well historically. Given the proliferation of pattern-based trading, I believe this book advances the ball by providing more (yet not complete) accountability by authors of trading books.
So is this book for professional stock traders? Yes, in the sense that it presents a disciplined approach to trading multiple systems and unifying these systems through a common trade management model. The code is modular and could (may) have been written by a very good software engineer. The only deficiencies are the lack of system settings for each chart and comprehensive performance results for all of the systems. I recommend this book and am a satisfied customer.
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