- Hardcover: 304 pages
- Publisher: Wiley; 1 edition (April 22, 2013)
- Language: English
- ISBN-10: 1118528743
- ISBN-13: 978-1118528747
- Product Dimensions: 6.3 x 1 x 9.3 inches
- Shipping Weight: 1.3 pounds
- Average Customer Review: 30 customer reviews
- Amazon Best Sellers Rank: #1,282,539 in Books (See Top 100 in Books)
Enter your mobile number or email address below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required.
To get the free app, enter your mobile phone number.
Building Reliable Trading Systems: Tradable Strategies That Perform As They Backtest and Meet Your Risk-Reward Goals Hardcover – April 22, 2013
The Amazon Book Review
Author interviews, book reviews, editors picks, and more. Read it now
Customers who bought this item also bought
Customers who viewed this item also viewed
From the Inside Flap
A tradable strategy is one that fits your own risk-reward goals and trades as well in real time as it performs in a development backtest. While it's not easy to create a tradable strategy, due to pitfalls ranging from excessive curve-fitting to greed, if done the right way, you can achieve a realistic level of success.
Nobody understands this better than author Keith Fitschena thought leader in trading system development whose most popular system, Aberration, has been named "One of the Top Ten Trading Systems of All Time" by Futures Truth. For more than twenty-five years, Fitschen has developed and actively traded his proven systems, and now he shares his extensive experience in this field with you.
Engaging and accessible, Building Reliable Trading Systems opens with a practical look at exactly what is achievable with a trading strategy. This includes documented performance from some of the best money managers in the world over the last five years, metrics that best characterize a trading strategy's performance, and a set of questions to help you define what would constitute a "tradable strategy" according to your personal risk-taking tolerance. It also addresses one of the biggest problems in developing a strategycurve-fittingand presents a unique methodology known as "Build, Rebuild, and Compare," or BRAC, that can be used to determine the degree of curve-fitting in your strategy development.
With this information in hand, Fitschen moves on to outline two tradable systems: one a short-term scalping system for stocks, and the other a mid-term trend-following strategy for commodities. Entries, exits, and trading filters are discussed as these systems are developed. By the end of the process, both are "tradable" as is, but in order to tailor them to a range of risk-reward profilesfrom large stock and commodity accounts to smallyou'll be introduced to some essential money management techniques. Fitschen also develops a money management overlay to trade the stock and commodity strategies together, which can yield a trading solution that is better than either alone.
And for those who want even more detail about the strategies developed in this book, the trades for both systems can be found on www.keithstrading.com. At the website, you can input your user name and password to find the TradeStation Easy Language code and daily signals for them.
Written with the serious trader in mind, Building Reliable Trading Systems contains information that you'll be hard-pressed to find elsewherefrom BRAC to bar-scoringand will put you in a better position to generate realistic trading returns over time.
From the Back Cover
Traders have long been drawn to the idea of developing a reliable trading system. But before you embark on this journey, you must first have a realistic understanding of what a "tradable strategy" must encompass.
For more than twenty-five years, author Keith Fitschenwhose most popular system, Aberration, has been named "One of the Top Ten Trading Systems of All Time" by Futures Truthhas continuously developed and actively traded his proven systems. Now, he shares his extensive experience in this field with you.
Building Reliable Trading Systems skillfully describes the critical steps a trader needs to follow to excel in today's dynamic markets. Along the way, Fitschen touches on exactly what it takes to build, test, and implement a profitable technical trading system. You'll become familiar with everything from the dangers of curve-fitting to the importance of knowing your personal risk tolerance. You'll also gain valuable insights on entries, exits, and trading filters; money management techniques for both large and small stock and commodity accounts; as well as advice on avoiding the influence of some misguided trading lore.
Written with the serious trader in mind, Building Reliable Trading Systems is an accessible guide to creating a system that will generate realistic returns over time.
Top customer reviews
There was a problem filtering reviews right now. Please try again later.
Data is used to show that stocks and commodities trade much differently. Research in the book shows that stocks are counter-trending, meaning that when a stock experiences a decrease in price (short term) it is likely to rebound. Whereas commodities are trend following and commodities that go down tend to keep going down for awhile.
There is analysis of both technical and fundamental factors. The author is highly knowledgeable about technical indicators and shows which ones perform the best over large samples over stocks for many years.
Practicality is emphasized throughout the book. The author uses a trading position size of $5,000 for many examples with the logic being you need to invest at least this much so commission costs do not eat away your profits.
One interesting section was about Monte Carlo tests and how the author believes they do not work well. In my own trading simulations I had been using Monte Carlo tests, which are recommended by many other authors. The analysis from these tests always left me wondering if I was missing some aspect of how to use them. Fitschen explained step by step why Monte Carlo tests are over-rated, and the explanation made intuitive sense.
A customized trading system was introduced in chapter 8 called "Bar-Scoring". The basic idea is to rank each potential trade on a number of factors and see which one gets the highest score. This was a well explained system for ranking which trades will do the best in real time.
Many trading gotchas are presented as to what techniques to avoid. There's even a chapter where the author goes through common wisdom in the trading world and destructs the arguments one by one.
I found the cost of the book to be high, but I am really glad I got this book as it was worth every penny. If you have interest in building a stock or commodity trading system this is definitely the one book to get.
This book, the author's first, doesn't claim to be the holy grail of all trading books nor to be the end-all authority on the right way to conduct back-test & look-forward simulation. This is a book where a vendor (& trader) I trust shares his idea development process, and a handful of his trade-able systems with me. I'm not trading these until I research enough, and modify them to fit my personality and my available trading universe here in Singapore. I will dish out US$46 bucks anytime for this and other books (authored by traders) that could do the same.
that the publishing investment business and trading systems marketers are inundated with. You are sure to improve your backtesting processes with this book, if you utilize primarily technical analysis tools. As a purchaser of many books, I would like to see Amazon raise the bar on disclosures for the reviewers, such as I am about to do - I don't know the author, paid for the book myself, and receive nothing for writing this review, and have been in the investment business for over 30 years.
But if you are ok with that point, you really need this book in your Trading book arsenal.
The author slowly and thouroughly guides the reader through all aspects of creating a Trading system.
I've been in the Trading business many years and I've been doing a lot of the same Work as described in the book.
I just wish I had gotten this book 10 years ago. It really collects nearly all neccesary topics.
Of the important topics in this book I can mention:
- Evaluating entry and exit strategies
- adding filters
- Using Money management
- Controlling risk
- Creating a robust portfolio of different systems
- And much much more
The book will probably need more than one reading, but believe me when I'm saying that I don't mind that at all.
This book has worked its way into the Top-10 on my investment-book-shelf
Most recent customer reviews
My book did not come with a CD of Easy Language Files.Read more
It's bad but really very bad.
I do trading for some years and It's first time I read so wrong ideas.Read more