Profitability and Systematic Trading: A Quantitative Approach to Profitability, Risk, and Money Management
$15.81
| Author(s) | |
|---|---|
| Pages |
206 |
| Format |
|
| Published Date |
2008 |
In Profitability and Systematic Trading, Michael Harris exposes the reader to a few very important concepts. In order to overcome certain obstacles and make more informed decisions in today’s markets, you need to use the appropriate models and apply careful analysis. Nobody understands this better than author Michael Harris. And now, with Profitability and Systematic Trading, he reveals how to achieve this goal, by discussing some of the most important trading concepts he’s worked on during twenty years of research and development in this field.
Author’s Introduction:
My view is that most trading systems failures are due to a wrong application of system development and risk management principles. Traders know that the most important function of a trading system is the timing of entry and exit signals. But that is exactly where most technical analysis methods have deficiencies. This deficiency arises because of the time lag between price action and the reaction of technical analysis methods.
Specifically, the majority of technical analysis indicators lag price movement because they consider only past prices in their calculations, and this allows fast traders to capitalize on this deficiency, position themselves in the market early, and then profit by satisfying the demand created by technical traders whose systems respond too late. Thus, use of appropriate models and their careful analysis is of paramount importance to the success of a technical trader trying to survive in a highly competitive trading game.
This success depends on the development and application of models that offer a competitive advantage, combined with the use of risk and money management methods that minimize the risk of ruin while maximizing returns. This is the name of the game in a nutshell, and this book will explore this game in depth. This book is divided into three sections.
- Part I, “Foundations,” provides the essential knowledge a trader must posses before attempting to develop winning trading methodologies. At the same time, this part attempts to confront some popular misconceptions about the markets.
- Part II, “Profitability and Risk,” offers a quantitative assessment of profitability and risk and money management. In my opinion, a mastery of these concepts is required before a trader can proceed with the development of trading systems.
- Part III, “Systematic Trading,” focuses on the process of trading system development. Going through this process is essential for every systematic trader and success depends greatly on the trader’s understanding of the intricate details involved and the hidden traps.
Contents:
- The Market
- The Zero-Sum Game of Trading
- Trading Methods and Time Frames
- The Profitability Rule
- Risk and Money Management
- Analysis of Trading Systems
- Synthesis of Trading Systems
Profitability and Systematic Trading By Michael Harris pdf
4 reviews for Profitability and Systematic Trading: A Quantitative Approach to Profitability, Risk, and Money Management
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Wren Patrick (verified owner) –
After reading other books on system trading, my opinion of this book’s usefulness changed. Harris summarizes certain realities of trading like the zero sum game, martingale and anti-martingale betting strategies, and the repercussions of commissions on one’s trading performance to name a few. In my opinion, a beginner may find many of this book’s explanations enlightening while not realizing there is much more to uncover about the practicalities of systematic trading. That’s what happened to me. While I was pleased with Harris’s treatment of the pitfalls of back testing and intrigued by how price patterns can be used to create a trend following approach with multiple timeframes, I was often left yearning for more detail. For example, how exactly does one go about back testing? What is a good trading program? How do my trading beliefs affect the core of my trading system and ability to implement it? How do I analyze equity curves? Is it really true that there are no robust trend-trading indicators or systems? This is just a sampling of the questions that crossed my mind, and for the answers a reader may have to look elsewhere to find (didn’t mean for that to rhyme but it happens all the time). Finally, I am uncertain about why there are so many pages of computer code at the end of this book. Perhaps “there is gold them thar hills”, but for a mathematically challenged person with little programming experience like me, the code section and math formulas scattered throughout the text added no immediate value to my reading experience. Maybe it will all make sense in the long run, but for now this book gets 3 stars.
Derrick Carpenter (verified owner) –
I thought that this book was a very well written and engrossing book on the subject of automated trading. It’s not a how too, although there are a lot (about 40) pages in the appendix full of example code which reflects on what was discussed earlier in the book.
My only complaint is that this author did not write a larger book as I am sure he could have kept going. The content in the book is tightly written and written well so the short 140 pages of actual text do go by quickly.
The author does give you the logic behind what you need to do to make a profitable system, how to synthesis a system. You have to go find another source to find how to actually implement the code for your system. But is that really bad? I don’t think so, that keeps the text applicable for the future into different and new programming languages traders will be useing.
This all said, and I really did like this book, I just don’t know if it would be worth spending nearly $200 on this book, as it stands thats what it’s listed for.
Misael Roberson (verified owner) –
I was really disappointed in this book, especially the part of the book that is supposed to discuss systematic trading. I’ve read several other books on system design and I was expecting something of a similar quality. I felt the chapter on backtesting was very much oriented towards the beginner level. But the main reason I was disappointed is that almost half of the book is about the author’s software which can generate and backtest trading systems. This was interesting but it seemed much too much like an advertisement for the software which I imagine most readers will not purchase due to its cost. Without the software there is little else of use for those wishing to design and implement their own trading systems. The book is quite short and to make matters worse a full 42 pages of the book simply contained source code that was generated from the software.
Overall if you are new to trading and you are curious about this software and do not want to design your own trading system then the book could be interesting for you. But if you want to design your own system there are many other books that cover this topic in greater detail.
Lilly Middleton (verified owner) –
Been reading this book recently. i guess one has to move forward. it’s completely useless, confusing and time wasting. Doesn’t worth a dime.