Trading Systems and Methods

by Perry J. Kaufman

The new edition of the definitive reference to trading systems—expanded and thoroughly updated.

Professional and individual traders haverelied on Trading Systems and Methods for over three decades. Acclaimed trading systems expert Perry Kaufman provides complete, authoritative information on proven indicators, programs, systems, and algorithms. Now in its sixth edition, this respected book continues to provide readers with the knowledge required to develop or select the trading programs best suited for their needs. In-depth discussions of basic mathematical and statistical concepts instruct readers on how much data to use, how to create an index, how to determine probabilities, and how best to test your ideas. These technical tools and indicators help readers identify trends, momentum, and patterns, while an analytical framework enables comparisons of systematic methods and techniques. 

This updated, fully-revised edition offers new examples using stocks, ETFs and futures, and provides expanded coverage of arbitrage, high frequency trading, and sophisticated risk management models. More programs and strategies have been added, such as Artificial Intelligence techniques and Game Theory approaches to trading. Offering a complete array of practical, user-ready tools, this invaluable resource:

Offers comprehensive revisions and additional mathematical and statistical tools, trading systems, and examples of current market situations Explains basic mathematical and statistical concepts with accompanying code Includes new Excel spreadsheets with genetic algorithms, TradeStation code, MetaStock code, and more Provides access to a companion website packed with supplemental materials

Trading Systems and Methods is an indispensable reference on trading systems, as well as system design and methods for professional and individual active traders, money managers, trading systems developers. 

Genres: Finance, Nonfiction

1146 pages, Kindle Edition

First published June 1, 1997

Reviews

[Javier Villar · Rating 3 out of 5]

Designed to be consulted, not to be read. Very detailed.

[David · Rating 4 out of 5]

@ 1200 pages Perry Kaufman's book, Trading Systems and Methods rev5, can be overwhelming.

You've got to be motivated to find the chapters of most value and then apply the new knowledge to something.

I'm already trading > $500/day on less than 3-5 lot CME futures and I didn't need basics:

I need DEPTH and BREADTH for creation of new and far more optimized ideas. The vision from a player who's lived 10-1000x larger monthly contract counts. The floor trader and evolved system trader's perspective.

Kaufman is the real deal.<\b> The 20 hrs I could squeeze into a 14 day library loan while holding a 9-5 job, trading 15 hr /wk opened a new picture on 2 subjects and pushed me to purchase the > $100 book on amazon.

There's an amazing amount of breadth in this book. You could never fill depth for the topics without doing the work to trade it.

Good trading to you all.
Never trade what you can't afford to loose.

[Karsten Nielsen · Rating 3 out of 5]

Contains a thorough description of most tools for technical analyses. However, it do not reveal where these different techniques fits the best.

[Tech Nossomy · Rating 3 out of 5]

A vast compendium of methods to trade stocks and futures, but one that tends to buckle under its own weight. Much statistical introduction, with again the near-obligatory assumption that price returns on stocks are normally distributed (they are not), and then continuing with trading systems of which the majority outdated, such as breakout strategies. More concerning are the sections on spectral analysis, seasonal patterns and behavioural patterns, as these have been debunked countless times. Many pages are stuffed with tables with prices, and the programming language of choice is Tradestation, which is proprietary. The appendix contains Fortran code, which not every aspiring trader will have installed or is prepared to use. The sections on the practicalities of trading systems are perhaps the most useful, or at least align with the title of the book the best, and combine many of the strands from the preceding chapters.

[Kurishin · Rating 4 out of 5]

This book is a broad starting point for traders looking to have a technically driven strategy. As such, it does what it sets out to do.
As a fundamentally driven investor, I still had some takeaways but it was hard work getting to them. That's not Kaufman's fault-I'm not his target reader. Still glad I read/skimmed the book.

[SUDHARANI · Rating 4 out of 5]

I am interested in reading this book.. I will give my feedback after finishing my study

[Dave · Rating 4 out of 5]

Yep it's all there. Pretty dense, but then that's the point.

[Julia · Rating 5 out of 5]

There's a lot of material in this book. Best to purchase a copy and keep as reference rather than to try and finish all at one go.