Building Reliable Trading Systems: Tradable Strategies That Perform As They Backtest and Meet Your Risk-Reward Goals 1st Edition

This is one of the best trading books I have encountered yet. Many different types of strategies are employed on both stocks and commodities. For each strategy there are back-tests in the form of equity graphs, and the author diligently explains the logic behind each strategy.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 provides all you could possibly need to understand what goes into system development. The author provides a solid framework to use through the development process and provides a tremendous amount of supporting data to show why those decisions were made. Additionally he opens up new areas to investigate for even more system development ideas. Bar-scoring is where I will be spending most of my future development time due to the tremendous potential.You get two tradable systems with the book and he even provides the daily trades for those systems through his website if you don't have the means of generating them yourself.The author clearly put a tremendous amount of time and effort into this book and I'm thankful that he decided to share his knowledge and experience with the rest of us.The other reviews accurately point out the aspects of the book so I will not rehash them here. However what I will say is the author is actually accessible via his website and he answers his phone himself.In my opinion when you have someone with the experience and success of the author it would simply be insane not to try to tap into that experience.I've had the pleasure of talking to a few people that have developed systems for many years including the author of this book. The small nuggets of information they pass on is worth far more than the price of a book and this book is full of those nuggets. For instance, just this last week I had a conversation with the author (yes he really is accessible) and he made a comment about the markets in general which is also in the book. Upon investigating what he said I immediately trimmed my maximum draw down by 6.4% on my systems with an insignificant reduction in profits. This lead to a significant improvement in the gain to pain ratio and a potential saving of over $32,000 in drawdown based on my account size.Do yourself a favor and buy the book and read it multiple times. I'll be referencing this book for years to come.A few words of caution though. All systems fail eventually. It is just a matter of time and changing market conditions. System development is a never ending process and this book provides a fantastic methodology for that never ending process. To combat the eventual failures use multiple systems that use different methodologies and are preferably uncorrelated. This approach has already saved me once.

I recently decided to develop my own trading system (inspired by the excellent Unholy Grails - A New Road to Wealth by Nick Radge) and have spent several months reading many books articles & websites on the subject.This is without doubt the best book of the lot and I actually built a tradeable system whilst reading it for the second time. My first system back tests well and is certainly a good base for further development and hopefully some profitable trading!I found the book to be an easy read and full of original thoughts and ideas compared to many others which I felt just reworked old material and filled their pages with example charts.The author expresses several views which are bravely contrary to most other texts and I suspect may provoke their authors to become somewhat over critical of this work. Although I do not have enough experience yet to judge on matters such as Monte Carlo testing I am grateful for being presented with an alternative methodology to consider.In short, if you are considering building a trading system for a large or small account you could do no better than read this.