World Famous Comics: Quantitative Trading Strategies: Harnessing the Power of Quantitative Techniques to Create a Winning Trading Program (McGraw-Hill Traders Edge Series)
Quantitative Trading Strategies: Harnessing the Power of Quantitative Techniques to Create a Winning Trading Program (McGraw-Hill Traders Edge Series)
By: Lars Kestner Publisher: McGraw-Hill Average Rating: Binding: Hardcover Label: McGraw-Hill Number of Items: 1 Number of Pages: 256 Publication Date: July 16, 2003
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.
CAIA should reconsider this book for their program I know this book because it is one of CAIA required reading for level 2 exam under the topic of quantitative trading strategies. I share other reviewer, this book is nothing but systematic reviews of some technical analysis techniques.
Mis-titled I agree with several others here. This book should be called "Technical Analysis with Backtesting". It is required reading for the CAIA, and that is unfortunate. I am going to write to the CAIA people and ask them to change it to Modern Investment Management by Litterman or something comparable. If you are looking for quantitative buy-side ideas, please compare this to "Active Portfolio Management" by Grinold and Kahn, or "Modern Investment Management" by Litterman, or "Quantitative Equity Portfolio Management" by Qian, Hua, and Sorensen before buying. If you are looking for a framework for possible alpha ideas, read those other books. You are unlikely to find it in this current book -- 1) the backtests here are not set up for alpha, and 2) consistent outperformance through actively varying market beta, as recommended, is unlikely and, even if you do outperform, leads to lower average Sharpe ratios with a wider dispersion, as compared to alpha strategies. This book has all the usual suspects: the story about Richard Dennis and his training program, Gann, Welles Wilder, Larry Williams, Edwards and Magee. It is amusing when the author tries to link all this with organizations like Citadel and Renaissance. Jim Simons was one of the top geometers in the world - who thinks he is sitting out on Long Island counting 20 day breakouts? Ha!
save your money this book is required reading for the quant part of the CAIA. It really has nothing to quant trading strats. Dust off all your old grad math books in prob theory, review your calc and linear alg.. learn PDE, ODE, SDE.. and how this relates to huge number of assets and derivatives. At that point your ready to understand stuff thats been around since fischer black.. all the new stuff that works.. well you can always knock on Citadel's or SAC door and ask them if well give away there secrets to you.
Very disappointing It really depends upon how you interpret the three title words. I have to agree with others here. An author should keep in mind her reputation first before collecting money from book buyers.
Not substantive enough 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.
Anything Goes Trivia
Megaton Man
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