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261
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ranked #107,079 most helpful out of 571,544,897 reviews
★★★★★
Good ideas about building robust system
Updating the review with 5 Stars, 08/10/2020, Very good concept of creating a system of systems and building in diversification of signals. After my original run I felt that there was some curve fitting going on but I reran the system to ignoring all the minimum volume recommendations from the author and instead used a fixed filter of dollar x Volume greater than 10 Million for all screens. Attached are the charts of system performance over past 13 years or so, it isn't as good in the book but pretty close and very impressive for a long term backtest. Older Review (leaving here for Posterity) The book has decent ideas on diversifying systems to build a system-of-systems, which is a good concept but not a magical elixir. Unfortunately the author went down the curve fitting and data mining path after ironically warning against that. Most of curve fitting is taking place in the universe selection instead of actual buy/sell setups, you only need to eliminate a hand-full of bad apples to smooth the curve. Another important thing that author left out is how do you manage when you get more signals than what your system is designed to trade (10 as an example in the book). Its suggested to use ranking to limit the number of trades at the entry but what happens when you are fully invested and get more signals? Do you use re-balance using the ranking and get out of positions? Otherwise a decent book, took less than 3-4 hours to finish and I have read a lot worse in just past few days.
June 2020 · Kindle Store · verified purchase
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