Customer Reviews

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

5 star:		(3)
4 star:		(4)
3 star:		(2)
2 star:		(1)
1 star:		(7)

 

 

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.

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.

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.

Very easy reading. You will find this book quite useful if you are trading using a mechanized approach via a platform such as TradeStation. You will also find it useful if you are developing software like TradeStation that backtests trading strategies. This is why I read the book.

In part one, he describes his testing methodology and discusses the building blocks that make up the strategies that he discusses later. For example, moving averages, channel breakouts, momentum, etc. are discussed under trend following techniques and relative strength index stochastics, and MACD under price oscillators. Most importantly, he describes how to use statistical measurements to analyze the performance of a strategy.

In Part 2, he presents his results of testing the following strategies:

Channel Breakout
Dual Moving Average Crossover
Momentum
Volatility Breakout
Stochastics
Relative Strength Index
MACD

followed by some of his ideas and innovations that improve upon them. He uses 12 years of daily price data (1990 - 2001) and each strategy tests 29 different futures contracts along with 34 different stocks. He also discusses money management, which is must reading.

Although he does not provide any code (which I would have liked to have seen), he does give enough information so that you can implement any of these strategies in TradeStation or any other strategy back testing software, assuming that you have some knowledge of basic programming.

I would have liked to have seen some strategies dealing with pure price patterns. Other than that, a very well organized and thought out book. My rating for this book is 4.5 stars.

I agree with several others here. This book should be called "Technical Analysis with Backtesting". It is required reading for the CAIA, and that is unfortunate. I am going to write to the CAIA people and ask them to change it to Modern Investment Management by Litterman or something comparable.
If you are looking for quantitative buy-side ideas, please compare this to "Active Portfolio Management" by Grinold and Kahn, or "Modern Investment Management" by Litterman, or "Quantitative Equity Portfolio Management" by Qian, Hua, and Sorensen before buying.
If you are looking for a framework for possible alpha ideas, read those other books. You are unlikely to find it in this current book -- 1) the backtests here are not set up for alpha, and 2) consistent outperformance through actively varying market beta, as recommended, is unlikely and, even if you do outperform, leads to lower average Sharpe ratios with a wider dispersion, as compared to alpha strategies.
This book has all the usual suspects: the story about Richard Dennis and his training program, Gann, Welles Wilder, Larry Williams, Edwards and Magee. It is amusing when the author tries to link all this with organizations like Citadel and Renaissance. Jim Simons was one of the top geometers in the world - who thinks he is sitting out on Long Island counting 20 day breakouts? Ha!

First, the positive - this book is a very light read.

However, I must agree with others here that it has very little value for practitioners of quant trading. Not because it doesn't go into valuable trading strategies or PDEs, etc, but because it doesn't add to the reader's knowledge of how to employ rigorous statistical techniques to validate the results of various strategies. It touches on some important topics but just doesn't go into enough depth.

I read it as part of the CAIA curriculum and I suppose it could be a useful introduction to investors who have no familiarity with quant trading. But it seems more appropriate for a high school level intro to trading class.

Worth the money, as the book provides an in-depth explanation about money management and risk. It is also very well written with good illustrative examples and easy to follow.

It also provides great ideas to trading systems and very insigthful information on how to analyze trading performance. The great advantage of this book is that it actually explains the assembling of a trading system from concept to an actual trading tool. However, it lacks explanation on real-trading, commission and slippage issues.

I like the book due to a defined and well ordered stream of information. Perry Kauffman's trading system book is the complete opposite of Kestner's work. Despite Kauffman's solid knowledge, his writing is so hard to follow to the point that some sentences provide a double meaning interpretation. The information is also shuffled and disorganized to the point of addressing some unnecessary issues.

Kestner's work is much more enjoyable...

Not a quantitative trading strategies book, as mentioned by its title. It is as mentioned by other reviewers a technical analysis guidebook.

this book is required reading for the quant part of the CAIA. It really has nothing to quant trading strats. Dust off all your old grad math books in prob theory, review your calc and linear alg.. learn PDE, ODE, SDE.. and how this relates to huge number of assets and derivatives. At that point your ready to understand stuff thats been around since fischer black.. all the new stuff that works.. well you can always knock on Citadel's or SAC door and ask them if well give away there secrets to you.

I know this book because it is one of CAIA required reading for level 2 exam under the topic of quantitative trading strategies. I share other reviewer, this book is nothing but systematic reviews of some technical analysis techniques.