Description
An award winning system developer explains how to create, test, and implement a profitable trading system
Traders have long been drawn to the idea of translating their strategies and ideas into trading systems. While successful trading systems have been developed, in most cases, they work very well for a period of time in specific markets, but perform less well across all markets in all time frames. Nobody understands this better than author Keith Fitschen—a thought-leader in trading system development—and now, with Trading Strategy Generation + Website, he shares his extensive experience in this field with you.

Trading Strategy Generation skillfully explains how to take market insights or trading ideas and develop them into a robust trading system. In it, Fitschen describes the critical steps a trader needs to follow, including: translating the market insight into a rules-based approach; determining entry and exit points; testing against historical data; and integrating money management and position sizing into the system.

Written by an award winning system developer who has actively traded his systems for thirty years
Introduces new ideas on money management and position sizing for different markets
Details exactly what it takes to build, test, and implement a profitable technical trading system
A companion Website contains supplementary material, including Excel spreadsheets designed to rate the strength of entry signals and provide money management guidance based on market volatility and portfolio correlations
Written with the serious trader in mind, Trading Strategy Generation is an accessible guide to building a system that will generate realistic returns over time.


Table of Contents
Preface vii
Chapter 1 What Is a “Tradeable Strategy?” 1

Chapter 2 Developing a Strategy So it Trades Like it Back-Tests 7

Chapter 3 Find the Path of Least Resistance in the Market You Want to Trade 31

Chapter 4 Trading System Elements: Entries 45

Chapter 5 Trading System Elements: Exits 65

Chapter 6 Trading System Elements: Filters 89

Chapter 7 Why You Should Include Money Management Feedback in Your System Development 107

Chapter 8 Bar-Scoring: A New Trading Approach 119

Chapter 9 Avoid Being Swayed by the “Well-Chosen Example” 133

Chapter 10 Trading Lore 153

Chapter 11 Introduction to Money Management 175

Chapter 12 Traditional Money Management Techniques for Small Accounts: Commodities 191

Chapter 13 Traditional Money Management Techniques for Small Accounts: Stock Strategy 215

Chapter 14 Traditional Money Management Techniques for Large Accounts: Commodities 221

Chapter 15 Traditional Money Management Techniques for Large Accounts: Stocks 233

Chapter 16 Trading the Stock and Commodity Strategies Together 241

Appendix A Understanding the Formulas 245

Appendix B Understanding Futures 251

Appendix C Understanding Continuous Contracts 265

Appendix D More Curve-Fitting Examples 273

Index 277


Author Information
KEITH FITSCHEN has been developing technical trading systems for the futures markets for over twenty-five years and has actively traded his systems during that time. In 1986, he developed Aberration, one of the most successful mechanical systems ever. It was commercially released in 1993 and four times has been named "One of the Top Ten Trading Systems of All Time" by Futures Truth. Fitschen recently developed a stock-trading system that profits in both bull and bear markets. He has spoken at numerous technical conferences and workshops, and hosts seminars across the country each year. Fitschen is the President of TradeSystem, Inc., and provides trading system information on his website: www.keithstrading.com.