Quantitative Trading Strategies: Harnessing the Power of Quantitative Techniques to Create a Winning Trading Program (McGraw-Hill Trader's Edge Series) [Hardcover]

Lars Kestner (Author)

Book Description

Publication Date: July 16, 2003 | ISBN-10: 0071412395 | ISBN-13: 978-0071412391 | Edition: 1

Harnessing the Power of Quantitative Techniques to Create a Winning Trading ProgramLars Kestner Quantitative Trading Strategies takes readers through the development and evaluation stages of today's most popular and market-proven technical trading strategies. Quantifying every subjective decision in the trading process, this analytical book evaluates the work of well-known "quants" from John Henry to Monroe Trout and introduces 12 all-new trading strategies. It debunks numerous popular misconceptions, and is certain to make waves--and change minds--in the world of technical analysis and trading.

Editorial Reviews

From the Back Cover

An In-Depth Look at Today's Top Technical Trading Strategies--And How You Can Incorporate Them into Your Personal Trading Program

By combining historical market performance with modern-day technology, technical traders often exhibit uncanny, seemingly intuitive abilities to control money-draining losses while letting profits run. Quantitative Trading Strategies reviews today's most popular and effective methods, and explains how to incorporate their quantitative strengths into your own trading system to dramatically improve both your entry and exit timing and risk management.

Exploring a wide range of systematic trading techniques and strategies for risk and money management, Quantitative Trading Strategies examines every vital aspect of today's technical trading arena to provide you with:

• Performance summaries of specific trading strategies
• All-new money management approaches based on optimal leverage
• Step-by-step directions for creating a system built around your own trading style

For decades, millions of successful traders have relied on technical analysis to not only improve the timing of their entries and exits but also to see and avoid dangerous trades and situations. Let Quantitative Trading Strategies introduce you to the best-of-the-best, and provide you with the knowledge and tools you need to create and implement a trading methodology designed to fit your trading strengths--and improve your performance in virtually any market environment.

"First and foremost, this book explores the ability of quantitative trading strategies to time the markets. My goal in writing it is to set the record straight with time tested statistics--not untested theories and market lore passed down through the ages."--From the Prologue

Technical traders study--and build their trading programs around--aspects of market and investor behavior that lead to regularly occurring patterns in stock prices. These patterns can help traders dramatically improve the timing of when, and when not to, place buys and sells. And while there is never a guarantee whether a given trade will generate a profit or a loss, quantitative tools can show technicians how to identify, measure, and act upon opportunities for both reward and risk.

Quantitative Trading Strategies examines today's most popular and proven technical trading strategies, explaining their pluses and minuses while providing the necessary data and research findings for determining which will work best for you. Drawing on current market research as well as strategies that are both statistically sound and rigorously backtested to determine their accuracy and effectiveness, this results-focused book features:

• 11 new techniques for trading stocks, futures, and the newly popular relative value markets
• Money management guidelines that can mean the difference between prospering--and going broke
• Methods for creating and implementing your own technical trading strategies

Technical traders know that what has occurred before is destined to occur again, and they use this knowledge to enhance their trading performance across the board. Quantitative Trading Strategies takes you through the development and evaluation stages of today's most popular technical trading techniques and--requiring nothing more than average market knowledge and math background--shows you how to accurately detect and exploit profitable patterns.

From deciding which markets to trade to developing personalized trading strategies and money management plans, Quantitative Trading Strategies will give you the quantitative foundation you need to accurately buy and sell financial assets while controlling the risk associated with those assets. Along the way, it debunks numerous myths and misconceptions, and provides a clear understanding of the many profitable benefits quantitative analysis can provide traders and investors in today's technically driven marketplace.

About the Author

Lars Kestner is a founding partner of proprietary trading firm Sabre II LLC and the former vice president of equity derivatives trading at Salomon Smith Barney.

Product Details

• Hardcover: 256 pages
• Publisher: McGraw-Hill; 1 edition (July 16, 2003)
• Language: English
• ISBN-10: 0071412395
• ISBN-13: 978-0071412391
• Product Dimensions: 9.6 x 7.7 x 1.2 inches
• Shipping Weight: 1.8 pounds (View shipping rates and policies)
• Average Customer Review: 2.7 out of 5 stars  See all reviews (17 customer reviews)
• Amazon Best Sellers Rank: #633,557 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

48 of 50 people found the following review helpful:

3.0 out of 5 stars Easy to follow, but not much insight., September 5, 2003

By 

"yin_luo" (Toronto, ON CANADA) - See all my reviews

This review is from: Quantitative Trading Strategies: Harnessing the Power of Quantitative Techniques to Create a Winning Trading Program (McGraw-Hill Trader's Edge Series) (Hardcover)

This is probably a book for ordinary investors, but certaily not for "Quant". The book is definitely very easy to follow. However, other than a few technical analysis tools, Kestner didn't really address quantitative investing. He just provided a few computer printouts for a few technical strategies - no fundamental data or "real" quantitative tools were ever used. If you don't have the math/statistics/finance backgroud, but want to learn how to systematically use technical analysis, buy this book. For serious Quants, don't worry about it.

82 of 94 people found the following review helpful:

1.0 out of 5 stars Don't buy this book, May 26, 2005

By 

Ir Balli (London) - See all my reviews
(REAL NAME)   

This review is from: Quantitative Trading Strategies: Harnessing the Power of Quantitative Techniques to Create a Winning Trading Program (McGraw-Hill Trader's Edge Series) (Hardcover)

I am trading since 10 years, lead two hedge funds and I am about to finish my study in Msc of Mathematical trading and Finance.

This is the first review I wrote, because I always found it helpfull if somebody prevented me from buying a useless book.

This is definitely useless book!

Lars Kestners 11 new trading strategies described as "new" are at least 20 years old (moving average crossover, MACD, stochastic crossover, momentum, 3 in a row to mention some). The author has the nerves even to document how negative this straegies performed. Hence his stragies are old and were already at that time useless. The infomation content is appart from the title, the name of theauthor and the price = zero. Any novice that is able to spell "technical analysis" knows more about trading systems than this book teaches you. I don't even to mention that the this book has nothing to do with quantitative except you declare a moving average, a log function or the ADX calculation as a quantitative method.

19 of 21 people found the following review helpful:

1.0 out of 5 stars Not substantive enough, October 18, 2005

By 

Atherton Reader (Atherton, CA) - See all my reviews

This review is from: Quantitative Trading Strategies: Harnessing the Power of Quantitative Techniques to Create a Winning Trading Program (McGraw-Hill Trader's Edge Series) (Hardcover)

I must agree with reviewer Ira Balli from London below. This book lacks substantive information regarding the quantitative methods and therefore is merely an introduction to quant ideas that have been discussed in the marketplace. Of course, anyone who might have proprietary and successful quant methods would be foolhardly to disclose them, so one should not expect that from any public writer.

As an alternative, some of the chapters covering quant strategies in "Trade Like a Hedge Fund : 20 Successful Uncorrelated Strategies & Techniques to Winning Profits" by James Altucher may be easier to read as introductory work.