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Full Description
An award winning system developer explains how to create, test, and implement a profitable trading system Traders have long been drawn to the idea of translating their strategies and ideas into trading systems. While successful trading systems have been developed, in most cases, they work very well for a period of time in specific markets, but perform less well across all markets in all time frames. Nobody understands this better than author Keith Fitschen a thought-leader in trading system development and now, with Trading Strategy Generation + Website, he shares his extensive experience in this field with you. Trading Strategy Generation skillfully explains how to take market insights or trading ideas and develop them into a robust trading system. In it, Fitschen describes the critical steps a trader needs to follow, including: translating the market insight into a rules-based approach; determining entry and exit points; testing against historical data; and integrating money management and position sizing into the system.* Written by an award winning system developer who has actively traded his systems for thirty years * Introduces new ideas on money management and position sizing for different markets * Details exactly what it takes to build, test, and implement a profitable technical trading system * A companion Website contains supplementary material, including Excel spreadsheets designed to rate the strength of entry signals and provide money management guidance based on market volatility and portfolio correlations Written with the serious trader in mind, Trading Strategy Generation is an accessible guide to building a system that will generate realistic returns over time.
Contents
Preface vii Chapter 1 What Is a Tradeable Strategy? 1 Chapter 2 Developing a Strategy So it Trades Like it Back-Tests 7 Chapter 3 Find the Path of Least Resistance in the Market You Want to Trade 31 Chapter 4 Trading System Elements: Entries 45 Chapter 5 Trading System Elements: Exits 65 Chapter 6 Trading System Elements: Filters 89 Chapter 7 Why You Should Include Money Management Feedback in Your System Development 107 Chapter 8 Bar-Scoring: A New Trading Approach 119 Chapter 9 Avoid Being Swayed by the Well-Chosen Example 133 Chapter 10 Trading Lore 153 Chapter 11 Introduction to Money Management 175 Chapter 12 Traditional Money Management Techniques for Small Accounts: Commodities 191 Chapter 13 Traditional Money Management Techniques for Small Accounts: Stock Strategy 215 Chapter 14 Traditional Money Management Techniques for Large Accounts: Commodities 221 Chapter 15 Traditional Money Management Techniques for Large Accounts: Stocks 233 Chapter 16 Trading the Stock and Commodity Strategies Together 241 Appendix A Understanding the Formulas 245 Appendix B Understanding Futures 251 Appendix C Understanding Continuous Contracts 265 Appendix D More Curve-Fitting Examples 273 Index 277
