Full Title: Building Reliable Trading Systems
Author: Keith Fitschen
Publisher/Date: Wiley (2013)
List Cost/Pages: $75 Hardcover / 304 pages
A tradable strategy is one that fits your own risk-reward goals and trades as well in real time as it performs in a development backtest. While it’s not easy to create a tradable strategy, due to pitfalls ranging from excessive curve-fitting to greed, if done the right way, you can achieve a realistic level of success.
Nobody understands this better than author Keith Fitschen—a thought leader in trading system development whose most popular system, Aberration, has been named “One of the Top Ten Trading Systems of All Time” by Futures Truth. For more than twenty-five years, Fitschen has developed and actively traded his proven systems, and now he shares his extensive experience in this field with you.
Engaging and accessible, Building Reliable Trading Systems opens with a practical look at exactly what is achievable with a trading strategy. This includes documented performance from some of the best money managers in the world over the last five years, metrics that best characterize a trading strategy’s performance, and a set of questions to help you define what would constitute a “tradable strategy” according to your personal risk-taking tolerance. It also addresses one of the biggest problems in developing a strategy—curve-fitting—and presents a unique methodology known as “Build, Rebuild, and Compare,” or BRAC, that can be used to determine the degree of curve-fitting in your strategy development.
With this information in hand, Fitschen moves on to outline two tradable systems: one a short-term scalping system for stocks, and the other a mid-term trend-following strategy for commodities. Entries, exits, and trading filters are discussed as these systems are developed. By the end of the process, both are “tradable” as is, but in order to tailor them to a range of risk-reward profiles—from large stock and commodity accounts to small—you’ll be introduced to some essential money management techniques. Fitschen also develops a money management overlay to trade the stock and commodity strategies together, which can yield a trading solution that is better than either alone.
And for those who want even more detail about the strategies developed in this book, the trades for both systems can be found on www.keithstrading.com. At the website, you can input your user name and password to find the TradeStation Easy Language code and daily signals for them.
Written with the serious trader in mind, Building Reliable Trading Systems contains information that you’ll be hard-pressed to find elsewhere—from BRAC to bar-scoring—and will put you in a better position to generate realistic trading returns over time.