Quantitative Trading Strategies (The Irwin Trader's Edge Series)

Book Description

Harnessing the Power of Quantitative Techniques to Create a Winning Trading ProgramLars Kestner Quantitative Trading Strategies takes readers through the development and evaluation stages of today's most popular and market-proven technical trading strategies. Quantifying every subjective decision in the trading process, this analytical book evaluates the work of well-known "quants" from John Henry to Monroe Trout and introduces 12 all-new trading strategies. It debunks numerous popular misconceptions, and is certain to make waves--and change minds--in the world of technical analysis and trading.

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Customer Reviews:

Not substantive enough.......2005-10-19

I must agree with reviewer Ira Balli from London below. This book lacks substantive information regarding the quantitative methods and therefore is merely an introduction to quant ideas that have been discussed in the marketplace. Of course, anyone who might have proprietary and successful quant methods would be foolhardly to disclose them, so one should not expect that from any public writer.

As an alternative, some of the chapters covering quant strategies in "Trade Like a Hedge Fund : 20 Successful Uncorrelated Strategies & Techniques to Winning Profits" by James Altucher may be easier to read as introductory work.

Don't buy this book.......2005-05-26

I am trading since 10 years, lead two hedge funds and I am about to finish my study in Msc of Mathematical trading and Finance.

This is the first review I wrote, because I always found it helpfull if somebody prevented me from buying a useless book.

This is definitely useless book!

Lars Kestners 11 new trading strategies described as "new" are at least 20 years old (moving average crossover, MACD, stochastic crossover, momentum, 3 in a row to mention some). The author has the nerves even to document how negative this straegies performed. Hence his stragies are old and were already at that time useless. The infomation content is appart from the title, the name of theauthor and the price = zero. Any novice that is able to spell "technical analysis" knows more about trading systems than this book teaches you. I don't even to mention that the this book has nothing to do with quantitative except you declare a moving average, a log function or the ADX calculation as a quantitative method.

professional.......2005-04-02

This book is written by a market professional. And it is obvious from the start. There is no hype, and the whole approach is based on maths and probability. The book is concise, and it would be very difficult to make the text shorter than it is.

Strategies presented in the book are well discussed. There is also a valuable and interesting discussion on the system's cycle. Author also presents his method of money management. And there are some ideas on quantitative investing, as opposed to trading. This may be a good way to diversify.

In general, this book is good value for money. It contains eighteen trading systems, tested on variety of instruments, fully disclosed. Some (more often useless than not) trading systems are sold for several times the price of this book. It is fun to read and gives many ideas for developing your own systems.

Nice introduction to quantitative trading.......2004-04-26

Very easy reading. You will find this book quite useful if you are trading using a mechanized approach via a platform such as TradeStation. You will also find it useful if you are developing software like TradeStation that backtests trading strategies. This is why I read the book.

In part one, he describes his testing methodology and discusses the building blocks that make up the strategies that he discusses later. For example, moving averages, channel breakouts, momentum, etc. are discussed under trend following techniques and relative strength index stochastics, and MACD under price oscillators. Most importantly, he describes how to use statistical measurements to analyze the performance of a strategy.

In Part 2, he presents his results of testing the following strategies:

Channel Breakout
Dual Moving Average Crossover
Momentum
Volatility Breakout
Stochastics
Relative Strength Index
MACD

followed by some of his ideas and innovations that improve upon them. He uses 12 years of daily price data (1990 - 2001) and each strategy tests 29 different futures contracts along with 34 different stocks. He also discusses money management, which is must reading.

Although he does not provide any code (which I would have liked to have seen), he does give enough information so that you can implement any of these strategies in TradeStation or any other strategy back testing software, assuming that you have some knowledge of basic programming.

I would have liked to have seen some strategies dealing with pure price patterns. Other than that, a very well organized and thought out book. My rating for this book is 4.5 stars.

it's ok.......2004-04-23

I agree with the reviewer below. This book did not give many pure mathematical ideas. He gave some good examples that may be helpful to some but not to people who are looking for good solid mathematical strategies.

If you are just getting interested in quantitative strategy development I would suggest the book.

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NOTHING about trading strategies

This book is equally important to sell-side portfolio trading desk and buy-side traders.

Transaction cost Minimization

Well-written but be warned

Outstanding

Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk
Robert Kissell , and Morton Glantz
Manufacturer: AMACOM/American Management Association
ProductGroup: Book
Binding: Hardcover

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ASIN: 0814407242

Book Description

Everyday financial professionals are required to make important decisions regarding how best to execute an investment decision. The process entails estimating transaction costs, forecasting market impact and risk, evaluating alternative strategies, developing optimal trading strategies, choosing agency transaction or principal bid, and selecting the most suitable broker-dealer. Investors know all too well that trading too aggressively will cause too high market impact cost, but trading too passively will expose the fund to more risk, which may result in even higher costs. Investors need to find an appropriate balance between cost and risk, given the goals and objectives of the fund. Improper implementation will effectively erode much of the value added during the investment process and may ultimately cause investors to lose profits and funds to lose investors.

How can you maximize value instead? The answer lies in the proactive management of transaction costs and selection of trading strategy, the process to which this book is dedicated. Optimal Trading Strategies presents well-developed methodologies for managing and reducing costs throughout all stages of the investment cycle. You will find:

· Quantitative techniques for estimating, analyzing, and managing transaction costs
· A framework for forecasting market impact and risk
· Methodologies to develop optimal trading strategies
· A process to achieve best execution
· Metrics for measuring costs and evaluating performance

Consider this: Two money managers invest in and hold identical portfolios but one manager consistently outperforms the other by as much as 50 to100 basis points per quarter. The more successful manager is inevitably the one who better manages trading costs. In a highly competitive environment where every basis point counts, it is critical to seize every foreseeable advantage for your investors. By using the framework and techniques presented in this book, you will better position yourself to achieve higher portfolio returns.

Customer Reviews:

NOTHING about trading strategies.......2007-03-08

This book has absolutely NOTHING to do with trading strategies as most people understand the term. This is purely a book about transaction costs in the world of equity. There's something about a 7-part cost component breakdown and then the book just discusses each part in some detail. There are tons of typos and absolutely nothing about how you can make money through trading. If anything, you might learn a thing or two about "implicit" trading costs but this knowledge will NOT help you become a trader.

This book is equally important to sell-side portfolio trading desk and buy-side traders........2005-12-20

Transaction cost modeling, along with good alpha models and risk models, is essential for fund performance. This book provides a structured framework to analyze and model transaction costs. The authors also discussed various trading strategies (blind bid and VWAP). It's well written but there are a lot of typos. More importantly, most techniques discussed in this book is more suitable for large-cap liquid stocks. We still need to work hard to find a empirically justified and theoretically sound modeling approach for small-cap and less liquid names.

Transaction cost Minimization.......2005-09-20

This book is for large players who have to balance liquidating their position too fast and moving the market, and liquidating slower and having the market move against them.

Not for players who want to optimize the risk of their portfolios by asset/risk allocation Or who want to optimize the parameters of their technical systems. Certainly irrelevant to small traders who can execute their trades in a market order without moving the market. A well writen book, with a misleading title.

Well-written but be warned.......2005-05-07

The book is well-written and its nice structure and intuitive approach very attractive. However, it will lead you down the wrong path.

As folks in the quantitative portfolio management world have discovered that if the information coefficients are low, the variability in the results is too large for practical use. The three key ingredients necessary for the book's approach to work: market-impact estimates, volatility forecasts and covariance estimates for the trade list all have high standard-errors.

Volume variability and decay of temporary market-impact are very important and not adequately discussed.

I have seen a number of trading desks put a whole infrastructure based on this approach. The sad part is the managers never understood the weaknesses of this approach. The results are very mediocre and in some-ways even worse than what the same desks would achieve before. And they continue to plod along trying to apply everything they learned while doing statistical arbitrage to this problem. Three basic problems: Law of large numbers is rarely available, you have to complete the trade most times and you do not get to choose the stocks you trade.

Also traditional statistical arbitrage techniques are not a source of alpha anymore. Theses inefficiencies are well understood and have been exploited mostly. (I know some folks are going to point to Renaissance etc. but from what I know their alpha persists because of very different reasons)

A better way is to combine statistics/econometrics and expert-systems. The results are much better.

Outstanding.......2004-12-10

I have to say, I have excelled at my job at the trading desk because of this book. You'll have to brush up on your calculus to understand some of the mathematics, but if your in the business of managing large accounts, you'd be foolish not to utilize these strategies.

QUANTITATIVE ANALYSIS, DERIVATIVES MODELING, AND TRADING STRATEGIES: IN THE PRESENCE OF COUNTERPARTY CREDIT RISK FOR THE FIXED-INCOME MARKET

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QUANTITATIVE ANALYSIS, DERIVATIVES MODELING, AND TRADING STRATEGIES: IN THE PRESENCE OF COUNTERPARTY CREDIT RISK FOR THE FIXED-INCOME MARKET
Yi Tang , and Bin Li
Manufacturer: World Scientific Publishing
ProductGroup: Book
Binding: Hardcover

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ASIN: 9810240791

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This book addresses selected practical applications and recent developments in the areas of quantitative financial modeling in derivatives instruments, some of which are from the authors own research and practice.

Quantitative Strategies for Derivatives Trading

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Quantitative Strategies for Derivatives Trading
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Manufacturer: ATMIF
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ASIN: 0978578708

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This is the first book that provides a solid foundation to address the question of how to trade derivatives; it offers a systematic way of determining the optimal trading size under a given market price. Additional information on the book can be found at www.atmif.com/qsdt.

Quantitative Trading Strategies (The Irwin Trader's Edge Series)

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Quantitative Trading Strategies (The Irwin Trader's Edge Series)
Lars Kestner
Manufacturer: McGraw-Hill
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Binding: Paperback
ASIN: B000OFK646

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The field of molecular biology has revolutionized the study of biology. The applications to medicine are enormous, ranging from diagnostic techniques for disease and genetic disorders, to drugs, to gene therapy. Focusing on the fundamentals of molecular biology and encompassing all aspects of the expression of genetic information, the Encyclopedia of Molecular Biology will become the first point of reference for both newcomers and established professionals in molecular biology needing to learn about any particular aspect of the field.

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Magnetoacoustic Polarization Phenomena in Solids
V. V./ Gavenda, J. D. Gudkov
Manufacturer: Springer Verlag 01/1//2000
ProductGroup: Book
Binding: Paperback
ASIN: B000N623JW

Book Description

Abby has been estranged from the family farm since her rebellious mother ran off with her when she was a small child. Kit is a burned out New York stockbroker who's down on his luck. But that's all about to change, now that he and Abby have converged on the farm just in time to help Corrie and Fee, two old cheesemakers in a time of need. Full of delightful and quirky characters-from dairy cows who only give their best product to pregnant, vegetarian teens to an odd collection of whiskey-soaked men and broken-hearted women who find refuge under Corrie and Fee's roof-BLESSEDARETHECHEESEMAKERS is an irresistible tale about taking life's spilled milk and turning it into the best cheese in the world.

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Set mainly in Ireland on a dairy farm, BLESSED ARE THE CHEESEMAKERS is the delightful tale of two old men who make the best cheese in the world, and of the broken hearted women and whiskey soaked men they rescue in the course of their daily doings. Full of wonderfully appealing characters-from the dairy cows who only give their top grade product when milked by pregnant, vegetarian teenagers to the sweet old farmers Corrie and Fee who own the secret to the greatest cheese ever made - story focuses on an unlikely pair who leave unhappy lives and find themselves caught up in the magic of this quirky community. Corrie's granddaughter Abbey has been estranged from the farm since she was taken away by her rebellious mother while still a child. Now she returns, badly bruised by life, the victim of a feckless, no-good husband and a rotten mother. Kit is a burned out New York stockbroker down on his luck: He has lost his wife and his job, and has turned to drink. Driven by unhappy fortune, Kit and Abbey converge on the farm just in time to help the aging farmers in a time of need and possibly find some solace of their own.

Customer Reviews:

Romance novel with a Culinary Twist.......2007-09-10

The typical "love-lost-then-unexpectedly-refound" formula is intertwined with the art of cheesemaking. It's like two books in one, a romance and a 'how to' guide. That sounds a little odd, but in this case it works. Especially if you have any interest in natural/artesian/whole foods, which increasingly more people do these days. While most of us can't up and leave our jobs to 'get back to the farm', it's fun to fantasize what it might be like to spend ones days simply making the perfect cheese (or wine or chocolate).

Quirky but fun summer read.......2007-06-05

Many of the reviews I read about this book called it "charming". I understand why some others would label it as charming, but I think that potential readers should be advised about the language, the explicitness of some scenes, and some of the lifestyle choices characters make in the book including drug use, alcoholism, and one night stands between adults and teenagers. Those parts I did not find so "charming". I was disappointed in a lot of the moral choices the characters were making. However, the bad choices and sad lives were redeemed in the magical setting of an Irish cheese making farm by the book's end. Overall, I really did like the book, but in the first few chapters I wondered what I was getting into. It was certainly unusual and quirky and a fun summer read. There were lots of surprised throughout the story to keep me guessing.

Heartwarming, funny, with a dash of Irish blarney.......2007-04-11

"Blessed are the Cheesemakers" is a must-read for anyone with a sense of humor. It is a delightful story of relationships, growing up, growing old, being in love with life and each other. I cannot recommend this book enough - especially to anyone who loves Irish wit, has Irish relatives, and/or loves a good laugh.

Fun read.......2007-02-15

I picked up this book from our local library (it was recommened by one of the staff members) and I just loved it. It was a fast, easy read and full of great characters. It reminded me of those fun, quirky UK movies like "Waking Ned Devine" and "Local Hero." This is a feel-good book...kind of a fluffier version of Sue Kids,"The Secret Lives of Bees" (which is a fabulous book). I definitely recommend this book if you are looking for a good escape.

It's about as good a diversion to 'normal' live as they come!.......2006-10-20

We just listened to this book on CD. We could not stop. We drove around the block an extra time every time we were in the car together. We had to know what happened next.

In the beginning, there were single pregnant milkmaids milking to the Sound of Music. We were skeptical at best.

But then there were the Cheesemakers, people like many we happen to know in Ireland, where life is more 'real' than in America. Their perceptions are not unusual, they are life forming for many there, including us. They let themselves live.

And there were the people needing healing. All of them.

Sorry to the cheesemaker, but it's really not about cheesemaking at all. Although I'll never look at cheese the same way again (I love it even more now and experiment with it all the more), this story is about finding a calling in life. It's about cheesemaking if that's what you are good at, it's about singing if that's your forte, and it's about helping people find their way. That's the bottom line. The line I want drawn on my headstone.

Yes, it was quirky. We both laughed, we both cried. We wanted more in the end.

Thank you to the author. The title caught my eye. The sentiment stirred my soul.

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Blessed Are the Cheesemakers
Sara-Kate Lynch
Manufacturer: Warner Books Inc
ProductGroup: Book
Binding: Hardcover
ASIN: B000O2FEUA

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