The Encyclopedia of Trading Strategies

Katz and McCormick continue to add to their already impressive contributions in the field of Trading Strategies with this exhaustive piece of work. It presents an entire foundation on the subject that will be keenly absorbed by both neophyte and aficionado alike. Their findings are are most enlightening and will help any “systems trader” focus or refocus their research. Doesn’t require a Ph.D. in Mathematics (ala Kauffman) and their use of C++ overcomes the significant limitations of other authors almost slavish devotion to Tradestation. The single most important book on this subject that I have read. Buy it!

This is the best trading book I have ever read, number one in my trading library. This book not only tells why most trading systems fail, but also shows the best way how to develop winning trading systems. Its honest handling of the truth, its methodical, scientific approach to solving the traders’ dream makes this book the king of all.

I was new to the topic of automated trading systems when I purchased this book. If it is your case, I can tell you that this is the place you want to start. why? Because it will teach you the truth about system development and give you a scientific perspective on the topic. No promises, no blabla you will be rich in 2 weeks. You will realize that there is a lot of work to do to get there, and the book will help you enter this great subject with smooth.

In short: no promises, only scientific realities on how to take out profits from the markets.

Wow! For the research oriented person, this book is great! Not only does it go over large variety of different approaches to the commodities market, but the authors let you know the pitfalls and traps to various methods of evaluating the markets.
The book is written in a concise manner that allows quick naviagation and further study of any desired topics. The authors have documented their sources well and really covered a lot of ground! A *must* read for traders! *

Most books on trading assume either that the reader never got to college, or else that they never left. This one, however, is different, rapidly bringing the technical but non-specialist reader up to speed in the principled construction of automated trading engines.
If you have a reasonably numerate background, perhaps with some software development experience, and have found yourself drawn to the concept of constructing your own mechanical trading system, you owe it to yourself to read this text. Quite simply, it is superb. The authors begin by describing the core components of a sound system, including the application of statistical inference and the selection of appropriate sample sets for back-testing. They then go on to provide a set of normalised comparisons of various trading ‘rules’ for entry and exit (e.g., breakouts, MAVs, oscillators, neural net predictors, etc.) together with discussion of optimisation systems (such as simulated annealing and genetic refinement). The actual results of some ‘respectable’ rulesets you may find rather shocking! And if you are only dimly aware of what genetic algorithms can offer the modern trader, you should buy this book for that reason alone.
The style of the text is clear and unstuffy, with chapters of readable length and well-structured content. The reader who wants to learn more will find this book an ideal jumping off point, since many references to the literature are provided, but an excessive technical background is not assumed, and the work is for the most part self-contained.
The only minor issues are 1) the title is a somewhat misleading; you will not find an A-Z list of trading strategies here, but rather a more select discussion of the techniques (and the validity of certain *classes* of strategy) involved in building viable automated trading systems; and 2) there is some ugleeee typesetting of mathematical formulae in Fortran (!). However, neither points really count for more than nitpicking in contrast to the value of the text overall.
In summary, there is real content here – described and justified, if you are an engineer like me, through the sort of scientific analysis and rigour that creates more excitement than a million words of hype. Fed up with TradeStation? Writing your own system in C++? In need of a bit of inspiration and guidance? If this sounds familiar, you want this book, believe me.
IMHO, it’s a classic. Buy it.

As a software engineer I needed a book that will teach me some trading strategies that I can program and bought this book hoping to find a list/ideas of trading strategies, as you expect from Encyclopedia. Unfortunately this is the most not practical book I have ever read, if you think you’ll be able to trade after reading this book you’re wrong!
It has academic theoretical discussions about trading systems by testing the most simple and basic setups just to tell you that they don’t work if you trade them automatically (crossing MAs, breakouts etc). I’m sorry but you don’t need to have Phd to know that, they don’t even try to come up with a strategy that work!

Who can benefit from this book? If you are in your Master/Phd studies and looking for theoretical trading academic book, no doubt this is for you, all the rest try something else…

Little more than a list of names. Did not provide a clear understanding of individual strategies. Not useful.

covers a lot of material and mechanisms of traading with analytic views from mechanical trading

As a Quant I tested many systems on stock indexes using the daily close and I now moving to Intraday models on the forex markets using Meta trader 4.

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.

The Encyclopedia Of Trading Strategies provides a solid foundation for developing the skills and knowledge base to develop one’s own set of quantifiable trading rules and for developing a reliable trading “system.”
The book begins laying the foundation with a description of the tools necessary to construct a system. Data — the cleaner, naturally, the better — is the point of departure. A discussion of simulators — software that allows you to simulate trading — ensues and walks you through the mechanics of interpreting output and determining their reliability and power.
A discussion of optimizers, or tools that find the best possible solutions to a problem follows, critically describing the major types of optimization and products available and how to achieve success, or failure, in their implementation.
Statistics for systems analysis are the next tool detailed. Without statistics, there is no way of knowing whether the profits (or losses) resulting from a tested system are real, an artifact of sampling or chance.
With the tools required for systems testing in place, the book launches into the discussion of its primary focus, the study of entries and exits. Ultimately, and deceptively simply, a trading system is nothing more than a system of entries and exits (at a profit or at a loss).
The Encyclopedia of Trading Strategies is something of a misnomer in that the title leaves the impression that one will find a catalogue of trading strategies and methods that the reader can scrutinize to extract specific techniques and use as a reference guide. In fact, the book provides the framework and background-knowledge necessary to design, test and analyze one’s own trading system and could have as easily been dubbed A Primer On Developing Trading Systems.

This book provides an solid intro into trading system design. It covers al the major strategy principles. A must….!!!

I hate reviewing books like this. It would be awesome to say, “this is total nonsense; never, ever read it.” However, there is actually good stuff in it, which makes me work at reviewing it.
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 pages 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.