• Building Winning Trading Systems with TradeStation

• by George Pruitt and John R. Hill

Reviews

Reviews

• The authors John Hill and George Pruitt are well know in the trading world for running Futures Truth, an organisation which provides independent testing of commercial trading systems. Futures Truth is a real godsend to the would-be trading system purchaser as the performance statistics that commercial system developers provide for their own systems often turn out to be rather "optimistic" to say the least! Following the Futures Truth rankings month after month gives you an idea of how robust a system is and they also publish "all time" rankings to asses long term performance. This background means that the authors have a great deal of knowledge on all aspects of trading system development and so are well placed to write this book. Because of its high-level built-in programming language Easy Language, TradeStation is generally considered to be the state of the art with regards to trading system development and is therefore an ideal platform for such a purpose. The book is ambitious in that it aims to cover a lot of ground. It consists of 11 chapters and can broadly be divided into three sections. The first section is concerned with the tools that are used in developing systems on the TradeStation platform including the Easy Language programming language, the functionality of two TradeStation platforms TS2000i and TS6 (though TS7.1 is now the current version), good programming habits and the various analytical components within TradeStation. The second section deals with measuring system performance and optimisation and also includes the full coding (also on CD) and description of seven different trading strategies that actually work. These systems are based on ideas that the authors have seen working over their many years of system testing and are therefore worth considering. The third section is more eclectic, including chapters on debugging of code, using the platform for general research, a couple of guest chapters from other authors and finally, following in a tradition started by the Market Wizards books, a series of interviews with system developers. The appendices consist of Easy Language syntax errors, the full source code for some of the featured systems and a list of reserved words in Easy Language. For someone starting out in the subject of trading system development there is much to offer. It gives a good introduction to Easy Language and the Trade Station platform and gives some pointers on good programming habits which are useful. However this book alone is not enough to take you from beginner to expert Easy Language programmer and it should be viewed instead as a solid introduction. The chapter on measuring system performance is also useful in pointing out what are useful statistics for evaluating systems. The thorny issue of parameter optimisation is also discussed and good advice given. There are also useful hints on common pitfalls of system testing including possible errors from testing systems on bar data that is too coarse. There is also an introductory chapter on options for those that are new to these products. However, for many the most useful chapter will be the seven trading strategies that work. This gives any would-be system developer a great head-start: with these systems one can start out with something that has genuine validity, reaping the benefit from the authors many years of experience without having to go down all the blind alleys of trying out ideas that prove to have no value. The authors themselves suggest that these systems are used as starting points for development rather than finished products in their own right. I should point out that many of these systems are designed to be traded on daily bar data across a wide range of commodities and for the more specialised or short-term trader these systems may not be so useful. The more experienced developer may well wish to skip the first few chapters, but he or she will still find the working strategies a useful source of ideas. The inclusion of all the source code on CD is helpful in getting started quickly. The interviews with professional system developers again will no doubt offer something of value. Even one new system idea may well be worth the price of the book for the serious developer. There is nothing really radical in this book. Instead it gives a solid grounding in the science and art of trading system development from people who know all about it and who are used to sorting out what really does and does not work. Whilst it is very much geared towards TradeStation, even other platform users will benefit from the chapters that are more specifically on trading system development itself rather than TradeStation. It is felt that this book will be of most benefit to those who are starting out in trading system development though more experience developers will no doubt find something useful in it.
  S Brennan