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Book: Design, Testing, and Optimization of Trading Systems :: Trading Software|Software| :: Book
Date: Thursday, 08 January, 2009 :: 09:31
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Design, Testing, and Optimization of Trading Systems
List Price: USD $75.00
from USD $75.00
Product Group: book
Manufacturer: Wiley
Studio: Wiley
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Editorial Review: Product Description
A practical, hands-on guide to setting up, adjusting, and trading mechanical systems that requires no computer or programming skills! Here?s everything you?ll need to develop and verify each stage of a profitable trading strategy, from formulation through testing to real-time trading. Armed with the author?s battery of easily accomplished testing and optimization techniques ? many never before published ? you?ll design a workable trading strategy, reliably measure its profit potential and risk, and then test it to see if it works in real-time trading. No matter what your level of trading expertise, now you can swiftly isolate and eliminate the causes of trading failure and make the decisions essential to profitable computerized trading. You?ll discover:- The seven major components of mechanical trading strategies and their uses
- When and how to use fast, accurate, and realistic computer simulations to evaluate a strategy?s trading performance without risking precious capital
- The best ways to tailor a trading strategy to fit the unique personalities of widely different markets
- What to expect from a trading model in real-time trading
- How to judge trading performance with respect to historical testing performance
Design, Testing, and Optimization of Trading Systems helps you develop, evaluate, and apply a winning computer trading system that suits your specific needs.
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Reviews:
Average Customer Review: 
1 of 2 people found the following review helpful:
Summary: The best book I've read about trading system design and development
Date: 2007-07-12 -
Comment: The book is well written and easy to read. I have learned a great deal from it. So far, it is the best book I've read about trading system design and development. I recommend it to anybody who is serious about trading systems.
8 of 10 people found the following review helpful:
Summary: A good introduction to trading system development
Date: 2007-02-03 -
Comment: Let me state my biases up front. I've always been rather suspicious of so-called "mechanical" trading strategies, although I'm a strong supporter of a technical approach to the market.
Technical analysis, for me, has always been about individual market participants, as a group, are likely to respond to price action to further their interest for profits, or to conserve capital. Market players are not mindless robots who are as predictable as coin flips, but people pursuing goals, and who learn from history. How the market reacts to news and fundamental info is extremely important from this point of view.
While there are things that can be learned from looking at price action, any algorithm that can extract profits from markets is likely to be short lived. With the advent of cheap, powerful computers, it is all too easy to "test" a system on historical data, only to have it fail in real time. Proper system testing is difficult to do.
Even if testing is done properly, it is likely to have been found by a significant number of smart, well-capitalized people long before you or I ever came onto the scene, making historical test results misleading, possibly unprofitable.
The fact is, markets change, and the context of price action in the past may be totally different to the current market environment. How do market systems account for market change, while still producing valid results?
This book allayed some of my fears. Since system testing IS hard to do, it is unlikely that a significant percentage of people will discover the signals of a profitable system, making the method unprofitable.
Even a skeptic such as myself will admit that proper historical testing can, at the very least, encourage thought about future market conditions, and prepare for various scenarios.
Most important (to me), system testing provides a reasonable method for adapting to changing markets. As new data comes in, the model can, and should, change.
This book teaches you how to do proper system testing, so you can have confidence in your results.
I deduct 1 star from the emphasis on the use of a frequentist statistical methodology. It is becoming clear in economics that talk of "long run frequencies" makes little sense for historical events that occur in a particular place, or a particular time, and are not likely to be repeated.
The use of Bayesian methods based on a subjective interpretation of probability (ie. degrees of belief), are growing in usage, and can provide more appropriate answers to certain questions that the "frequentist" methods do not.
For experienced technicians, I can recommend it.
2 of 4 people found the following review helpful:
Summary: Classic book for trading systems
Date: 2006-11-08 - 
Comment: Very well written (simple English) that help to organize thoughts of trading. and it help to improve your level of thinking about trading in general. little book, but very useful. It is very good start to learn how to make a mechanical trading system based on the ideas that you think "should work in the market" then you can back test and forward test those ideas. in this way you will see the weakness and the strength of your way of approaching the market. that will lead to one or more step ahead on you journey to achieve your goals in trading. it is simple and makes you do this tough task with the least possible amount of time.
0 of 13 people found the following review helpful:
Summary: Boring
Date: 2006-05-01 - 
Comment: I agree in part with the reviewer that has given 1 star to this book. I have not finished this book yet, and in fact I bought this book because of the numerous 5 stars reviews.
Many definitions appear only after they are mentioned in the text, so that perhaps you need to read and reread for this book to be useful.
15 of 61 people found the following review helpful:
Summary: Worst Book I've Ever Read On The Topic
Date: 2005-04-19 - 
Comment: I have never written a comment about a book, but hopefully other people will at least be warned. This is the one of the worst books I've ever read. I have read several Wiley books; most of them are poorly written and lacking substance. This one is unbelievably bad.
This book deserves a negative five stars. (Who wrote those other reviews?)
If you have never read a book on trading systems, then this book is may tell you something. Otherwise, save your money. There's nothing here.
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