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Mean Reversion Trading Systems, Practical Methods for Swing Trading
- GenresFinance
240 pages, Paperback
First published January 1, 2013
18 people are currently reading
233 people want to read
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Displaying 1 - 3 of 3 reviews
April 11, 2022
This is the third book I read by Howard Bandy. I think there is too little useful content between the many AmiBroker codes and theoretical stuff.
A good chunk of the book is for theoretical transformations, which honestly, didn't even need to be treated here, as it isn't the main subject of the book.
Bandy likes to use high win rates systems, which indeed are easier to check whether the performance is deteriorating, but I'm not fan of that approach, maybe because I'm not able to find consistent patterns that can repeated successfully when accounting for slippage/commissions.
He says the sweet spot for a trading system is one which trades 20-30 times a year, holds for 1-3 days, wins at least 65% of days, and limit loss sizes. I think that's beautiful indeed, but as soon as you throw more spread/slippage you usually see that you must trade minimum lots under perfect conditions to achieve good results on that kind of strategies.
There is some good advice on the last chapter, regarding to when the strategy stops working, like trying to change timeframes, using non-standard indicators, and specially, prepare for the time when trading is no longer profitable, which I think it's largely overlooked, as traders usually thinks that their strategies are going to work forever.
I think the book should have focused more on many different mean reversion trading systems, like the book title says, but presents too few.
Estimated reading time: 3h30m
A good chunk of the book is for theoretical transformations, which honestly, didn't even need to be treated here, as it isn't the main subject of the book.
Bandy likes to use high win rates systems, which indeed are easier to check whether the performance is deteriorating, but I'm not fan of that approach, maybe because I'm not able to find consistent patterns that can repeated successfully when accounting for slippage/commissions.
He says the sweet spot for a trading system is one which trades 20-30 times a year, holds for 1-3 days, wins at least 65% of days, and limit loss sizes. I think that's beautiful indeed, but as soon as you throw more spread/slippage you usually see that you must trade minimum lots under perfect conditions to achieve good results on that kind of strategies.
There is some good advice on the last chapter, regarding to when the strategy stops working, like trying to change timeframes, using non-standard indicators, and specially, prepare for the time when trading is no longer profitable, which I think it's largely overlooked, as traders usually thinks that their strategies are going to work forever.
I think the book should have focused more on many different mean reversion trading systems, like the book title says, but presents too few.
Estimated reading time: 3h30m
October 23, 2020
Love it
This entire review has been hidden because of spoilers.
January 31, 2025
Very nice book
Displaying 1 - 3 of 3 reviews