Book description
An award winning system developer explains how to create, test, and implement a profitable trading system
Traders have long been drawn to the idea of translating their strategies and ideas into trading systems. While successful trading systems have been developed, in most cases, they work very well for a period of time in specific markets, but perform less well across all markets in all time frames. Nobody understands this better than author Keith Fitschen—a thought-leader in trading system development—and now, with Trading Strategy Generation + Website, he shares his extensive experience in this field with you.
Trading Strategy Generation skillfully explains how to take market insights or trading ideas and develop them into a robust trading system. In it, Fitschen describes the critical steps a trader needs to follow, including: translating the market insight into a rules-based approach; determining entry and exit points; testing against historical data; and integrating money management and position sizing into the system.
Written by an award winning system developer who has actively traded his systems for thirty years
Introduces new ideas on money management and position sizing for different markets
Details exactly what it takes to build, test, and implement a profitable technical trading system
A companion Website contains supplementary material, including Excel spreadsheets designed to rate the strength of entry signals and provide money management guidance based on market volatility and portfolio correlations
Written with the serious trader in mind, Trading Strategy Generation is an accessible guide to building a system that will generate realistic returns over time.
Note: The ebook version does not provide access to the companion files.
Table of contents
- Cover
- Half Title Page
- Title Page
- Copyright
- Contents
- Preface
- Chapter 1: What Is a Tradeable Strategy?
- Chapter 2: Developing a Strategy So It Trades Like It Back-Tests
- Chapter 3: Find the Path of Least Resistance in the Market You Want to Trade
- Chapter 4: Trading System Elements: Entries
- Chapter 5: Trading System Elements: Exits
- Chapter 6: Trading System Elements: Filters
- Chapter 7: Why You Should Include Money Management Feedback in Your System Development
- Chapter 8: Bar-Scoring: A New Trading Approach
- Chapter 9: Avoid Being Swayed by the “Well-Chosen Example”
-
Chapter 10: Trading Lore
- The Exit Is More Important than the Entry
- Defining Money Management
- Monte Carlo Analysis: The Best Way to Determine the Ultimate Trading Statistics of a Strategy
- Artificial Data
- Never Add to a Loser
- Add to Winners
- Nobody Ever Got Hurt Taking a Profit
- Thirty Trades Are Enough
- The best system statistic is:
- Buy the Dogs of the Dow
- The Market Trends 5/10/20/30 Percent of the Time
- Conclusion
- Chapter 11: Introduction to Money Management
- Chapter 12: Traditional Money Management Techniques for Small Accounts: Commodities
- Chapter 13: Traditional Money Management Techniques for Small Accounts: Stock Strategy
- Chapter 14: Traditional Money Management Techniques for Large Accounts: Commodities
- Chapter 15: Traditional Money Management Techniques for Large Accounts: Stocks
- Chapter 16: Trading the Stock and Commodity Strategies Together
- Appendix A: Understanding the Formulas
- Appendix B: Understanding Futures
- Appendix C: Understanding Continuous Contracts
- Appendix D: More Curve-Fitting Examples
- Index
Product information
- Title: Building Reliable Trading Systems: Tradable Strategies That Perform As They Backtest and Meet Your Risk-Reward Goals
- Author(s):
- Release date: April 2013
- Publisher(s): Wiley
- ISBN: 9781118528747
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