Magazine article Modern Trader

The Encyclopedia of Trading Strategies

Magazine article Modern Trader

The Encyclopedia of Trading Strategies

Article excerpt

The Encyclopedia of Trading Strategies By Jeffrey Owen Katz and Donna L. McCormick McGraw-Hill (2000) 376 pages, $60

This book will appeal to every serious student of systematic trading. The testing is methodologically sound, the findings are expertly documented, and the text is engagingly written. The authors succeed in their goal of introducing more scientific rigor to the design and testing of trading systems.

Katz and McCormick methodically examine a range of entry and exit strategies to determine conclusively which technical signals perform well across a diversified portfolio of futures markets. To this end, they undertake a massive amount of computationally intensive testing.

The lion's share of the text is devoted to entry techniques. The authors examine 13 types of entry signal including breakouts, moving averages, oscillators, seasonal and cyclical trends, even lunar and solar patterns (full moons, sunspots, etc.). They also undertake several innovative applications in artificial intelligence. Each class of entry signal treated has numerous variants, and each variant has sub-variants. All of the myriad permutations are evaluated rigorously. So that others can replicate their findings, Katz and McCormick share their original C++ programming code.

But more than learning which analysis methods work best, readers will see step-by-step how to use statistical testing to promote robustness. If you've ever wondered how a genetic algorithm works or how a neural network is structured, you'll find clear explanations here. …

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