Anyone planing on or currently trading using technical analysis should read this book. The lessens inside can help prevent loss of savings.

This book takes a careful look at various types of technical indicators and trading strategies that use technical analysis, the types of methods commonly found in charting software and technical analysis books. For me the bottom line is that making a consistent income from trading, using technical analysis, is difficult. (Losing money is not so difficult).

The software referenced in the book and available for a relatively small price, is in my opinion very powerful, but difficult to master (C++ source code that must be compiled, debugged for your compiler, and modified to create useful systems).

This book provides an overview on the type of strategies available and shows the results done on the different strategies. For system developers it is useful to know that most strategies - pure trending, oscillators etc do not perform well at all!
What is lacking is a more thorough analysis of the different methods. Overall a useful book which highlight the pitfalls which system developers will fall into.

The book should be compulsory reading for any aspiring systems trader.
The testing methodology is thorough, and they cover many of the more common approaches to systems trading as well as a few that many will find a tad too esoteric. My only complaint is that the book could present us with more detailed stats on the tested systems. In e.g Way of the turtle (a much less comprehensive text) the author does an excellent job of presenting stats on any tested system, including a number of important measures you will not find in the Encyclopedia. Overall, I still believe it is a must read. For beginners I also recommend the following books (for starters):

Way of the Turtle (Faith)
Evidence Based Technical Analysis
Design, testing and optimization of trading systems (Pardo)

Also, check out the Trading Blox forum at tradingblox.com for
tons of useful info on systems trading.

* s p e c t r e *

I liked this book.
it presented many ideas and a right pragmatic approach to test a trading system.
I found tough the statistics part, but it's not an author's fault: it's statistics.
in the final part I found many repetition (many pages might be saved just writing: " hey, for this system we apply the same said at pag. xyz..").

Only two things remained a mistery to me (but I'm not much intellingent..): why didn't the author make any test for longer horizons? in the end, the strategies never approached a longer term trading strategy: usually the trades last few days.
maybe it's not worth? the author doesn't tell us

ah, and it's not an encyclopedia: why did he choose this name?
this is the second mistery...

I liked this book.
it presented many ideas and a right pragmatic approach to test a trading system.
I found tough the statistics part, but it's not an author's fault: it's statistics.
in the final part I found many repetition (many pages might be saved just writing: " hey, for this system we apply the same said at pag. xyz..").

Only two things remained a mistery to me (but I'm not much intellingent..): why didn't the author make any test for longer horizons? in the end, the strategies never approached a longer term trading strategy: usually the trades last few days.
maybe it's not worth? the author doesn't tell us

ah, and it's not an encyclopedia: why did he chose this name?
this is the second mistery...

This is not an 'encyclopedia of trading strategies', but one 'technical' trader's (i.e. chartist's) account of a few familiar, simple 'technical' trading strategies, sprinkled with (sometimes incisive, sometimes amusingly off-base) statistics/finance name-checking. 90% of references come from a publication named Technical Analysis of Stocks and Commodities. Most of these are by Katz and McCormick themselves; in contrast, Dr. Katz (it's always 'Jeffrey Owen Katz, Ph.D.') lists no publications in an academic finance journal - not exactly a big surprise, given that academic finance dismisses 'technical analysis'. Between Dr. Katz and Dr. Phil, I think it's the latter who does better service to his under-educated audience.

I bought this book to read on an hour-and-a-half flight, and was done with it about midway. This is not an encyclopedia of trading strategies, but rather one 'technical' trader's (i.e. chartist's) account of a number of simple technical trading rules that he had developed. 90% of listed references come from a publication named Technical Analysis of Stocks and Commodities. Most of these are by Katz and McCormick themselves; in contrast, I don't find Dr. Katz - and it's always 'Jeffrey Owen Katz, Ph.D.' - listing a single publication in an academic finance journal. No surprise here: academic finance scoffs at 'technical analysis'. Real quantitative traders, intrigued by the title, will scan this book with amusement and put it away; under-educated wannabes will take Dr. Katz seriously, and maybe even try his recipes, to discover that the book, though doing a lot of statistics name-checking, never goes into the level of detail needed for actual implementation. I think I saw only one formula in the book, that of a moving average. Oh well..

I bought this book to read on an hour-and-a-half flight, and was done with it about midway. I want to give credit where it's due: the book is written very accessibly, and its organization is well thought-out. (I appreciated the brief 'What have we learned?' recaps, for example). Now the bad stuff. This is not an encyclopedia of trading strategies, but rather one 'technical' trader's (i.e. chartist's) account of a number of simple technical trading rules that he had developed. Tellingly, 90% of sources in the references come from a publication named Technical Analysis of Stocks and Commdities. Most of these are by Katz and McCormick themselves; in contrast, I don't find Dr. Katz - and it's always 'Jeffrey Owen Katz, Ph.D.' - listing a single publication in a respected academic finance journal. (I am sorry, I am not familiar with the Journal of Multivariate Behavioral Research). No surprise here: academic finance laughs at so-called 'technical analysis'. Real quantitative traders, intrigued by the title, will scan this book with amusement and put it away; under-educated wannabes will take Dr. Katz seriously, and maybe even try his recipes, to discover that the book, though doing a lot of statistics name-checking, never goes into the level of detail needed for actual implementation. I think I saw a single formula in the book - that of a moving average :) Oh, well..

The Encyclopedia of Trading Strategies is well written and is a good book if you are looking for something very technical and mechanical. I was disappointed with the book. I thought it would offer chart set ups or set ups per technical indicators. Instead, it offered codes, etc for setting up mechanical systems.

Wow! For the research oriented person, this book is great! Not
only does it go over large variety of different approaches
to the commodities market, but the authors let you know the
pitfalls and traps to various methods of evaluating the markets.
The book is written in a concise manner that allows quick naviagation
and further study of any desired topics. The authors have
documented their sources well and really covered a lot of ground!
A *must* read for traders! *AND* I was interested in
the companion CD, called the number listed on the web site
and got to speak with one of the authors! He was very helpful
and answered all my questions right away! You can't beat
that for service with a book!

This is by far the most complete and advanced work I've read on the subject. However, read Robert Pardo's "Design, Testing, and Optimization of Trading Systems" first if you are new to backtesting.

This is a good book. Everyone who is thinking about trading and/or is trading already should get a copy of the book. There isn't any "holy grail" strategy in this book, by the way. Rather, this book is about teaching how all these different indicators have performed under strict test conditions and unveils some of the mysteries about different strategies that people have talked about over the years. IMO, the author's work can be the basis of a great system. The first step has already been taken by the author, and you just have to elaborate it to add your flair and style. Happy trading!

This is a good book. Everyone who is thinking about trading and/or is trading already should get a copy of the book. There isn't any "holy grail" strategy in this book, by the way. Rather, this book is about teaching how all these different indicators have performed under strict test conditions and unveils some of the mysteries about different strategies that people have talked about over the years. IMO, the author's work can be the basis of a great system. The first step has already been taken by the author, and you just have to elaborate it to add your flair and style. Happy trading!

I was new to the topic of automated trading systems when I purchased this book. If it is your case, I can tell you that this is the place you want to start. why? Because it will teach you the truth about system development and give you a scientific perspective on the topic. No promises, no blabla you will be rich in 2 weeks. You will realize that there is a lot of work to do to get there, and the book will help you enter this great subject with smooth.
In short: no promises, only scientific realities on how to take out profits from the markets.

I was new to the topic of automated trading systems when I purchased this book. If it is your case, I can tell you that this is the place you want to start. why? Because it will teach you the truth about system development and give you a scientific perspective on the topic. No promises, no blabla you will be rich in 2 weeks. You will realize that there is a lot of work to do to get there, and the book will help you enter this great subject with smooth.
In short: no promises, only scientific realities on how to take out profits from the markets.

Great book if you are interested in writing system code. Good backgound about ideas that may work and those that do not. The most valuable part of the book is the companion CD that is availabe. The software on the CD allows for testing of portfolio systems (something not really possible with most retail charting/trading software). Source code is fully revealed allowing for as much customization as one would like.

The Encyclopedia Of Trading Strategies provides a solid foundation for developing the skills and knowledge base to develop one's own set of quantifiable trading rules and for developing a reliable trading "system."

The book begins laying the foundation with a description of the tools necessary to construct a system. Data -- the cleaner, naturally, the better -- is the point of departure. A discussion of simulators -- software that allows you to simulate trading -- ensues and walks you through the mechanics of interpreting output and determining their reliability and power.

A discussion of optimizers, or tools that find the best possible solutions to a problem follows, critically describing the major types of optimization and products available and how to achieve success, or failure, in their implementation.

Statistics for systems analysis are the next tool detailed. Without statistics, there is no way of knowing whether the profits (or losses) resulting from a tested system are real, an artifact of sampling or chance.

With the tools required for systems testing in place, the book launches into the discussion of its primary focus, the study of entries and exits. Ultimately, and deceptively simply, a trading system is nothing more than a system of entries and exits (at a profit or at a loss).

The Encyclopedia of Trading Strategies is something of a misnomer in that the title leaves the impression that one will find a catalogue of trading strategies and methods that the reader can scrutinize to extract specific techniques and use as a reference guide. In fact, the book provides the framework and background-knowledge necessary to design, test and analyze one's own trading system and could have as easily been dubbed A Primer On Developing Trading Systems.

Mostly testing of trading models in C or C++. then testing of exit strategies. Well organized and easy to read, interesting even if you are not interested in optimizing.
Too much talk about slippage which he should point out that this is a problem for day traders that could be solved by automated trading platform and its not for everybody to worry about that much. Then talks also about gunning, as the name implies.

This book is one of the best trading books ever published. It provides a very systematic and scientific approach of evaluating entry and exit techniques across a diversified futures portfolio. It presents by far the most rigorous and sound methodology of evaluating trading system robustness. The section on the use of statistical analysis to evaluate model validity is easily worth the price of the book.

The authors did an excellent job defining the correct way of optimizing system parameters. The part on exit techniques is also impressive. It contains a methodology on the development of exit strategies and presents many exit techniques.

Overall, the book is packed with a wealth of information. Every time I re-read a chapter I find a new gem. I strongly recommend this book to all mechanical system traders, especially those trading diversified commodity portfolios.

This may be a good book if one wants to build a trading system starting from writing the code with a language such as C++. Especially given the fact that one can order the software from the author.

The book also examines some of the most common trading strategies. However, having reviewed other books on this topic and given the title describes the book as an 'Encyclopedia of Trading Strategies", it would be a useful book but not all-encompassing as one may hope.

Overall a useful book, particularly for programmers. As a book on trading strategies it does give some valuable insights but other books on the topic come first..

2 stars

This is a great book if one wants to build a trading system starting from writing the code with a language such as C++. Especially given the fact that one can order the software from the author.

The book also examines some of the most common trading strategies. However, having reviewed other books on this topic and given the title describes the book as an 'Encyclopedia of Trading Strategies", it would be a useful book but not all-encompassing as one may hope.

Overall a useful book, particularly for programmers. As a book on trading strategies it does give some valuable insights but other books on the topic have to be reviewed as well..

2 stars

When you begin studying the markets learning how to trade, you investigate many trading strategies. Your investigations lead you to develop a trading style, one unique to you, one that works for you. If you are serious about developing a trading system, consider buying this book and its companion CD. You can reproduce the results, modify the routines and expand the strategies in ways to suit your trading style tastes. It sure beats reinventing the wheel!

Thomas N. Bulkowski, author of the other Encyclopedia book: "Encyclopedia of Chart Patterns" (Wiley, 2000) and "Trading Classic Chart Patterns" (Wiley, due in spring 2002)