Building Reliable Trading Systems

Building Reliable Trading Systems: Tradable Strategies That Perform As They Backtest and Meet Your Risk-Reward Goals (Wiley Trading)
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.

Table of Contents

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