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The Encyclopedia of Trading Strategies Hardcover – March 21, 2000
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"This book gives futures and options traders hundreds of innovative ways to take profits out of the market and gain an edge on every trade."
From the Back Cover
"The authors extract some sobering trading edicts the good old-fashioned way--analysis by the scientific method. Here we see the fruits of detailed and methodical research, both the long and short of it.... These results will certainly affect my own trading designs!" --Mark Jurik Editor, Computerized Trading "If you're the type of trader who wants to build his or her own systems, this book is for you!" --Murray Ruggiero, Jr. Contribuitng Editor, Futures magazine "I have known Jeff Katz for years. He has worked on a number of my projects, always exhibiting a high degree of professionalism, attention to detail, and thoroughness. The same craftsmanship is apparent throughout this book." --Robert Pardo President, Pardo Capital Limited
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The good: the section on exits is quite good. It could be better, but I can't think of anything out there which actually is better. Selecting an exit strategy is *most* of a trading strategy. It matters a lot less when you buy than when you sell if you're into, like making a profit. I actually bought the book based on the recommendation of someone smarter than me, specifically for the chapters on exits, and I was not disappointed in this part. The sections on technical analysis and standard indicators aren't bad either, though like most treatments of this sort of thing, TA comes off looking like magic rather than what it properly should be thought of; which is to say, lousy non stationary filters which might inform other traders you should be trading against. His statistics aren't exactly right, but they're not always completely insane either.
The bad: this book is mostly an exercise in data mining and hindsight bias. Genetic algorithms? Optimizers? Give me a break! He doesn't deal with real issues in doing this sort of trading; for example, signal to noise ratios of various kinds. He doesn't properly deal with issues of overfitting (yes, you must test out of sample, but there is a whole lot more you can do to reassure yourself you haven't just fit to a bunch of noise). There is a chapter on fitting to solar and lunar cycles, which is, of course, data mining lunacy. The software he uses is of course all antiquated stuff which was out of date before I could legally drink alcoholic beverages; no help there. Risk management? Money management? These are also crucial pieces of any trading strategy: they're not covered at all here. I guess the book is oriented towards data mining punters who don't care so much about such niceties, but, well, I find such things important. I'm not sure I'd trust what the author had to say about such things, but it's something everyone with money on the line should be worrying about. Also: this is hardly anything resembling "an Encyclopedia of Trading Strategies" -so don't expect it to be, and you might not be disappointed.
So, this book can be useful if you already know enough to know which parts are nonsense. I guess this is an issue with all books and papers dealing with this subject; you can often take a chapter here and a section there, but books of this nature seem to have a lot of red herrings. Sometimes it's hard to tell if they are there on purpose, or as filler to sell the good sections. I dunno. Anyway, don't try to make a zillion dollars using genetic algorithms like they talk about in this book: you will fail.
I appreciate this book because it saved me a lot of research especially what does not work (Moving averages models..)
I am trading a breakout model now on NZD and improved already my actual results changing my entry orders from market price to some limit price.
If you are like me - a deep researcher buy it. It shall help you save time and open your mind to very practical ideas.
Two points bothered me:
One is use the TrueRange (meaning votality) as a stop take profit parameter. I prefer not to take into accounr votality for stops and take profits. It works better.
Second is always having a TakeProfit. I prefer to take the risk of losing some of my profits and not adding another parameter which reduced the models realibility.
Other issues such as statistical testing and optimization are also covered. However, this book does not provide details, such as statistical background, theory on genetic optimization, neural nets, etc. But then I guess that would be asking for a lot in one book.
If you are developing a trading system I would suggest you start with this book as it will save you a lot of time..........................
The testing methodology is thorough, and they cover many of the more common approaches to systems trading as well as a few that many will find a tad too esoteric. My only complaint is that the book could present us with more detailed stats on the tested systems. In e.g Way of the turtle (a much less comprehensive text) the author does an excellent job of presenting stats on any tested system, including a number of important measures you will not find in the Encyclopedia. Overall, I still believe it is a must read. For beginners I also recommend the following books (for starters):
Way of the Turtle (Faith)
Evidence Based Technical Analysis
Design, testing and optimization of trading systems (Pardo)
Also, check out the Trading Blox forum at tradingblox.com for
tons of useful info on systems trading.
* s p e c t r e *
it presented many ideas and a right pragmatic approach to test a trading system.
I found tough the statistics part, but it's not an author's fault: it's statistics.
in the final part I found many repetition (many pages might be saved just writing: " hey, for this system we apply the same said at pag. xyz..").
Only two things remained a mistery to me (but I'm not much intellingent..): why didn't the author make any test for longer horizons? in the end, the strategies never approached a longer term trading strategy: usually the trades last few days.
maybe it's not worth? the author doesn't tell us
ah, and it's not an encyclopedia: why did he choose this name?
this is the second mistery...
Most recent customer reviews
if it works, one is enough; more do not do any good.
the authors are good at publishing, and seem live on that.
Markets have changed, tactics have changed and the whole internet and technology boom has had a tremendous effect on markets.Read more